GOVT iShares U.S. Treasury Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for GOVT (iShares U.S. Treasury Bond ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -5.4% (compared to the benchmark's drawdown of -19.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.6%, compared to a Buy-and-Hold benchmark return of 1.4%. The strategy executed 25 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
Advanced Dynamic Sleeve: MMA ensemble signals on the primary asset combined with a momentum-based cash alternative ETF rotation.
Excess Return SMA
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
GOVT Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.44% | 3.86% | 2.28% | -0.34% | 2.56% | 0.97% | 2.59% | 1.39% |
| Sharpe Ratio | 1.23 | 1.03 | 0.83 | -0.06 | 0.78 | 0.19 | 0.78 | 0.28 |
| Max Drawdown | -1.63% | -2.83% | -4.22% | -16.62% | -5.43% | -19.07% | -5.43% | -19.07% |
| % Time Invested | 100.0% | 100.0% | 63.4% | 100.0% | 75.0% | 100.0% | 79.6% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 2.4 | 0.0 | 1.9 | 0.0 | 2.0 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
Trade History
This log shows every signal-driven transition. Completed trades reflect standard market cycles. An Open / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| Pending (2026-05-30) | — | Pending Buy | 33.33% | — | — | —% | Pending Next-Day Open |
| 2025-12-30 | Open | Open | 33.33% | $22.80 | $22.78 | -0.09% | Mark-to-Market |
| 2026-05-19 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.12% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2025-05-01 | 2026-05-19 | Completed | 33.33% | $22.22 | $22.50 | 1.24% | Signal |
| 2026-03-03 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.60% | Interest Income |
| 2026-02-09 | 2026-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2025-09-12 | 2026-02-09 | Completed | 33.33% | $22.63 | $22.83 | 0.86% | Signal |
| 2025-09-05 | 2025-12-30 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.46% | Interest Income |
| 2025-07-24 | 2025-09-12 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.60% | Interest Income |
| 2024-08-05 | 2025-09-05 | Completed | 33.33% | $22.09 | $22.59 | 2.23% | Signal |
| 2025-04-25 | 2025-07-24 | Completed | 33.33% | $22.05 | $22.06 | 0.08% | Signal |
| 2025-03-05 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.51% | Interest Income |
| 2024-12-16 | 2025-04-25 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.44% | Interest Income |
| 2024-08-05 | 2025-03-05 | Completed | 33.33% | $22.09 | $22.03 | -0.30% | Signal |
| 2024-08-05 | 2024-12-16 | Completed | 33.33% | $22.09 | $21.59 | -2.27% | Signal |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-06-13 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.79% | Interest Income |
| 2024-05-01 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.50% | Interest Income |
| 2023-06-02 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.08 | 7.87% | Interest Income |
| 2024-05-16 | 2024-06-13 | Completed | 33.33% | $21.06 | $21.22 | 0.75% | Signal |
| 2023-06-02 | 2024-05-16 | Interest (FLOT) | 33.33% | $1.00 | $1.07 | 6.56% | Interest Income |
| 2024-01-25 | 2024-05-01 | Completed | 33.33% | $21.05 | $20.67 | -1.80% | Signal |
| 2023-06-30 | 2024-01-25 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 3.64% | Interest Income |
| 2023-06-15 | 2023-06-30 | Completed | 33.33% | $20.91 | $20.79 | -0.56% | Signal |
| 2023-06-02 | 2023-06-15 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.28% | Interest Income |
| 2023-05-23 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-02-23 | 2023-05-23 | Completed | 33.33% | $20.52 | $20.86 | 1.63% | Signal |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-02-23 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.83% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-02-16 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-11-04 | 2022-02-16 | Completed | 33.33% | $23.35 | $22.58 | -3.30% | Signal |
| 2021-11-29 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-11-02 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2021-07-28 | 2021-11-29 | Completed | 33.33% | $23.63 | $23.38 | -1.05% | Signal |
| 2021-11-02 | 2021-11-04 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-10-04 | 2021-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2021-09-02 | 2021-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2018-11-20 | 2021-10-04 | Completed | 33.33% | $20.38 | $23.42 | 14.90% | Signal |
| 2021-08-03 | 2021-09-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-05-04 | 2021-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2021-05-04 | 2021-07-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-01-27 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2020-12-02 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2018-11-20 | 2021-01-27 | Completed | 33.33% | $20.38 | $23.86 | 17.05% | Signal |
| 2020-11-06 | 2020-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2020-02-28 | 2020-11-06 | Completed | 33.33% | $23.33 | $24.04 | 3.04% | Signal |
| 2020-01-13 | 2020-02-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2018-11-20 | 2020-01-13 | Completed | 33.33% | $20.38 | $22.34 | 9.61% | Signal |
| 2018-11-02 | 2018-11-20 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2018-11-02 | 2018-11-20 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2018-11-02 | 2018-11-20 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2018-10-04 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2018-02-09 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.54% | Interest Income |
| 2017-06-29 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 2.76% | Interest Income |
| 2018-08-23 | 2018-10-04 | Completed | 33.33% | $20.54 | $20.18 | -1.77% | Signal |
| 2017-11-29 | 2018-08-23 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2017-06-05 | 2018-02-09 | Completed | 33.33% | $20.68 | $20.27 | -1.99% | Signal |
| 2017-05-11 | 2017-11-29 | Completed | 33.33% | $20.39 | $20.66 | 1.31% | Signal |
| 2014-04-15 | 2017-06-29 | Completed | 33.33% | $19.40 | $20.63 | 6.38% | Signal |
| 2017-05-02 | 2017-06-05 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2017-05-02 | 2017-05-11 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2017-04-04 | 2017-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2017-04-04 | 2017-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2017-01-04 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2016-11-14 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.55% | Interest Income |
| 2015-12-14 | 2017-01-04 | Completed | 33.33% | $20.28 | $20.22 | -0.31% | Signal |
| 2016-02-29 | 2016-11-14 | Completed | 33.33% | $20.71 | $20.34 | -1.78% | Signal |
| 2016-02-04 | 2016-02-29 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-10-01 | 2016-02-04 | Completed | 33.33% | $20.32 | $20.60 | 1.37% | Signal |
| 2015-11-03 | 2015-12-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-10-06 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2014-04-07 | 2015-10-06 | Completed | 33.33% | $19.29 | $20.32 | 5.30% | Signal |
| 2015-09-02 | 2015-10-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2015-08-04 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-07-02 | 2015-08-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2015-06-23 | 2015-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2014-02-21 | 2015-06-23 | Completed | 33.33% | $19.22 | $19.85 | 3.30% | Signal |
| 2014-04-02 | 2014-04-15 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2014-04-02 | 2014-04-07 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2014-03-04 | 2014-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2014-03-04 | 2014-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2014-02-19 | 2014-03-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2014-02-19 | 2014-03-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2014-02-19 | 2014-02-21 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |