GOVT
iShares U.S. Treasury Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for GOVT (iShares U.S. Treasury Bond ETF) using the Excess Return MMA* 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 2.4%, compared to a Buy-and-Hold benchmark return of 1.3%. The strategy executed 25 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Mathematical Model
Excess Return MMA Active
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA
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 | 2.37% | 2.42% | 1.86% | -0.85% | 2.13% | 0.71% | 2.35% | 1.32% |
| Sharpe Ratio | 0.96 | 0.67 | 0.70 | -0.14 | 0.67 | 0.14 | 0.72 | 0.26 |
| Max Drawdown | -1.66% | -2.83% | -4.29% | -16.62% | -5.08% | -19.07% | -5.44% | -19.07% |
| % Time Invested | 100.0% | 100.0% | 63.4% | 100.0% | 75.0% | 100.0% | 79.9% | 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 or Mark-to-Market exit denotes an active position (either in the primary asset or a cash/yield sleeve) valued at the current price for reporting purposes. Interest entries record yield accrued from cash or cash alternatives (like BIL) during out-of-market defensive periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason | |
|---|---|---|---|---|---|---|---|---|
| 🔒 Active Positions & Recent Execution Signals Hidden Trading on delayed data carries high execution risk. Current allocations, pending next-day rebalances, and active execution signals (last 60 days) require a Premium subscription. Upgrade to Pro to Unlock | ||||||||
| 2025-05-01 | 2026-05-19 | Completed | 33.33% | $22.09 | $22.36 | 1.19% | Signal | |
| 2025-09-12 | 2026-02-09 | Completed | 33.33% | $22.50 | $22.69 | 0.81% | Signal | |
| 2025-09-05 | 2025-12-30 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.23% | Interest Income | |
| 2025-07-24 | 2025-09-12 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.58% | Interest Income | |
| 2024-08-05 | 2025-09-05 | Completed | 33.33% | $21.96 | $22.45 | 2.18% | Signal | |
| 2025-04-25 | 2025-07-24 | Completed | 33.33% | $21.91 | $21.93 | 0.03% | Signal | |
| 2025-03-05 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.67% | Interest Income | |
| 2024-12-16 | 2025-04-25 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.49% | Interest Income | |
| 2024-08-05 | 2025-03-05 | Completed | 33.33% | $21.96 | $21.89 | -0.35% | Signal | |
| 2024-08-05 | 2024-12-16 | Completed | 33.33% | $21.96 | $21.46 | -2.32% | Signal | |
| 2024-06-13 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.74% | Interest Income | |
| 2024-05-01 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.38% | Interest Income | |
| 2021-10-04 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.11 | 10.85% | Interest Income | |
| 2024-05-16 | 2024-06-13 | Completed | 33.33% | $20.93 | $21.09 | 0.70% | Signal | |
| 2022-02-16 | 2024-05-16 | Interest (CASH) | 33.33% | $1.00 | $1.10 | 9.55% | Interest Income | |
| 2024-01-25 | 2024-05-01 | Completed | 33.33% | $20.93 | $20.55 | -1.85% | Signal | |
| 2023-06-30 | 2024-01-25 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.10% | Interest Income | |
| 2023-06-15 | 2023-06-30 | Completed | 33.33% | $20.79 | $20.67 | -0.61% | Signal | |
| 2023-05-23 | 2023-06-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-02-23 | 2023-05-23 | Completed | 33.33% | $20.40 | $20.73 | 1.58% | Signal | |
| 2021-11-29 | 2023-02-23 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.74% | Interest Income | |
| 2021-11-04 | 2022-02-16 | Completed | 33.33% | $23.21 | $22.44 | -3.35% | Signal | |
| 2021-07-28 | 2021-11-29 | Completed | 33.33% | $23.49 | $23.24 | -1.10% | Signal | |
| 2021-01-27 | 2021-11-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2018-11-20 | 2021-10-04 | Completed | 33.33% | $20.26 | $23.28 | 14.84% | Signal | |
| 2020-11-06 | 2021-07-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2018-11-20 | 2021-01-27 | Completed | 33.33% | $20.26 | $23.71 | 16.99% | Signal | |
| 2020-02-28 | 2020-11-06 | Completed | 33.33% | $23.19 | $23.89 | 2.99% | Signal | |
| 2020-01-13 | 2020-02-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income | |
| 2018-11-20 | 2020-01-13 | Completed | 33.33% | $20.26 | $22.21 | 9.56% | Signal | |
| 2018-10-04 | 2018-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2018-02-09 | 2018-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.55% | Interest Income | |
| 2017-06-29 | 2018-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.29% | Interest Income | |
| 2018-08-23 | 2018-10-04 | Completed | 33.33% | $20.42 | $20.06 | -1.82% | Signal | |
| 2017-11-29 | 2018-08-23 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.27% | Interest Income | |
| 2017-06-05 | 2018-02-09 | Completed | 33.33% | $20.56 | $20.15 | -2.04% | Signal | |
| 2017-05-11 | 2017-11-29 | Completed | 33.33% | $20.27 | $20.53 | 1.26% | Signal | |
| 2014-04-15 | 2017-06-29 | Completed | 33.33% | $19.28 | $20.51 | 6.33% | Signal | |
| 2017-01-04 | 2017-06-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2016-11-14 | 2017-05-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2015-12-14 | 2017-01-04 | Completed | 33.33% | $20.16 | $20.09 | -0.36% | Signal | |
| 2016-02-29 | 2016-11-14 | Completed | 33.33% | $20.58 | $20.21 | -1.83% | Signal | |
| 2016-02-04 | 2016-02-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-10-01 | 2016-02-04 | Completed | 33.33% | $20.20 | $20.48 | 1.31% | Signal | |
| 2015-10-06 | 2015-12-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2014-04-07 | 2015-10-06 | Completed | 33.33% | $19.18 | $20.19 | 5.25% | Signal | |
| 2015-06-23 | 2015-10-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-02-21 | 2015-06-23 | Completed | 33.33% | $19.10 | $19.73 | 3.25% | Signal | |
| 2014-02-19 | 2014-04-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-02-19 | 2014-04-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-02-19 | 2014-02-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |