IAU
iShares Gold Trust
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-28
Executive Summary
The quantitative backtest for IAU (iShares Gold Trust) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -42.8% (compared to the benchmark's drawdown of -45.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.2%, compared to a Buy-and-Hold benchmark return of 9.4%. The strategy executed 15 total trades.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
📊 Mathematical Model
Excess Return MMA
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 Active
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.
🎯 Investment Objective
🛡️ Long-Term Investing Active
Ideal for wealth preservation and multi-year horizons. Optimized for low turnover and tax efficiency.
⚔️ Tactical Trading
Ideal for active capital rotation and momentum-first accounts. Optimized for high sensitivity to price shifts.
Switch to MMA to enable
IAU Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 15.69% | 21.10% | 15.06% | 17.06% | 8.91% | 11.37% | 8.17% | 9.37% |
| Sharpe Ratio | 0.56 | 0.68 | 0.90 | 0.86 | 0.60 | 0.67 | 0.51 | 0.50 |
| Max Drawdown | -29.64% | -26.36% | -29.64% | -26.36% | -29.64% | -26.36% | -42.83% | -45.14% |
| % Time Invested | 87.3% | 100.0% | 62.3% | 100.0% | 72.7% | 100.0% | 68.9% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 0.4 | 0.0 | 0.7 | 0.0 | 0.8 | 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 | ||||||||
| 2026-03-20 | 2026-04-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2023-10-30 | 2026-03-20 | Completed | 100% | $37.89 | $87.69 | 131.32% | Stop | |
| 2022-01-27 | 2023-10-30 | Interest (CASH) | 100% | $1.00 | $1.06 | 6.44% | Interest Income | |
| 2021-03-23 | 2022-01-27 | Completed | 100% | $33.02 | $34.22 | 3.58% | Signal | |
| 2021-03-01 | 2021-03-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2019-06-07 | 2021-03-01 | Completed | 100% | $25.72 | $33.16 | 28.86% | Stop | |
| 2018-11-23 | 2019-06-07 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.27% | Interest Income | |
| 2017-12-27 | 2018-11-23 | Completed | 100% | $24.68 | $23.46 | -4.99% | Signal | |
| 2017-11-07 | 2017-12-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2017-01-10 | 2017-11-07 | Completed | 100% | $22.82 | $24.58 | 7.66% | Signal | |
| 2016-12-15 | 2017-01-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2016-08-18 | 2016-12-15 | Completed | 100% | $26.04 | $21.78 | -16.40% | Stop | |
| 2014-11-03 | 2016-08-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2014-10-15 | 2014-11-03 | Completed | 100% | $24.00 | $22.66 | -5.63% | Stop | |
| 2014-06-02 | 2014-10-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-02-19 | 2014-06-02 | Completed | 100% | $25.62 | $24.14 | -5.82% | Stop | |
| 2013-04-09 | 2014-02-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2012-01-25 | 2013-04-09 | Completed | 100% | $32.32 | $30.62 | -5.31% | Signal | |
| 2011-12-30 | 2012-01-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-10-19 | 2011-12-30 | Completed | 100% | $32.30 | $30.52 | -5.56% | Stop | |
| 2011-09-27 | 2011-10-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2008-11-11 | 2011-09-27 | Completed | 100% | $14.52 | $32.38 | 122.92% | Stop | |
| 2008-10-20 | 2008-11-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2008-09-04 | 2008-10-20 | Completed | 100% | $15.96 | $15.56 | -2.51% | Stop | |
| 2008-08-12 | 2008-09-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2008-05-27 | 2008-08-12 | Completed | 100% | $17.97 | $16.14 | -10.22% | Stop | |
| 2008-05-02 | 2008-05-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2007-03-01 | 2008-05-02 | Completed | 100% | $13.33 | $16.80 | 25.97% | Stop | |
| 2007-02-27 | 2007-03-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |