IJH
iShares Core S&P Mid-Cap ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for IJH (iShares Core S&P Mid-Cap ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -25.0% (compared to the benchmark's drawdown of -55.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.3%, compared to a Buy-and-Hold benchmark return of 10.0%. The strategy executed 72 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.
IJH Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 20.46% | 20.33% | 5.01% | 8.81% | 7.72% | 11.03% | 8.32% | 9.96% |
| Sharpe Ratio | 1.27 | 1.19 | 0.38 | 0.43 | 0.57 | 0.49 | 0.62 | 0.44 |
| Max Drawdown | -8.83% | -8.83% | -18.92% | -24.10% | -20.42% | -42.18% | -24.98% | -55.06% |
| % Time Invested | 100.0% | 100.0% | 92.7% | 100.0% | 93.6% | 100.0% | 91.3% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 3.2 | 0.0 | 3.3 | 0.0 | 3.0 | 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 | ||||||||
| 2025-05-20 | 2025-10-13 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.68% | Interest Income | |
| 2025-03-05 | 2025-07-18 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.59% | Interest Income | |
| 2025-04-30 | 2025-05-20 | Completed | 33.33% | $55.39 | $60.53 | 9.22% | Signal | |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-04-04 | 2025-04-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-03-27 | 2025-04-07 | Completed | 33.33% | $58.59 | $50.10 | -14.52% | Stop | |
| 2024-01-29 | 2025-04-04 | Completed | 33.33% | $53.32 | $52.65 | -1.29% | Stop | |
| 2025-03-05 | 2025-03-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-02-08 | 2025-03-05 | Completed | 33.33% | $53.36 | $58.51 | 9.61% | Stop | |
| 2024-01-17 | 2025-03-05 | Completed | 33.33% | $51.75 | $58.51 | 13.01% | Stop | |
| 2024-01-17 | 2024-02-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2022-10-26 | 2024-01-29 | Interest (CASH) | 33.33% | $1.00 | $1.06 | 6.46% | Interest Income | |
| 2023-11-15 | 2024-01-17 | Completed | 33.33% | $48.77 | $51.75 | 6.06% | Signal | |
| 2023-10-24 | 2024-01-17 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.22% | Interest Income | |
| 2023-10-20 | 2023-11-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2023-07-27 | 2023-10-24 | Completed | 33.33% | $52.54 | $45.83 | -12.83% | Stop | |
| 2023-03-16 | 2023-10-20 | Completed | 33.33% | $45.18 | $46.54 | 2.97% | Signal | |
| 2023-05-09 | 2023-07-27 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.14% | Interest Income | |
| 2023-04-10 | 2023-05-09 | Completed | 33.33% | $46.42 | $46.56 | 0.25% | Signal | |
| 2023-03-16 | 2023-04-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2023-01-03 | 2023-03-16 | Completed | 33.33% | $46.43 | $45.18 | -2.75% | Stop | |
| 2022-05-05 | 2023-03-16 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.88% | Interest Income | |
| 2022-11-11 | 2023-01-03 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.58% | Interest Income | |
| 2022-10-11 | 2022-11-11 | Completed | 33.33% | $42.54 | $47.81 | 12.33% | Signal | |
| 2022-10-18 | 2022-10-26 | Completed | 33.33% | $44.57 | $45.26 | 1.50% | Signal | |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-02-22 | 2022-10-11 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.09% | Interest Income | |
| 2022-06-02 | 2022-09-26 | Completed | 33.33% | $46.95 | $42.10 | -10.38% | Stop | |
| 2022-05-10 | 2022-06-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2021-02-10 | 2022-05-10 | Completed | 33.33% | $46.84 | $45.47 | -2.96% | Stop | |
| 2022-02-16 | 2022-05-05 | Completed | 33.33% | $50.18 | $48.49 | -3.41% | Signal | |
| 2022-02-16 | 2022-02-22 | Completed | 33.33% | $50.18 | $49.01 | -2.38% | Signal | |
| 2022-01-25 | 2022-02-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2022-01-25 | 2022-02-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2021-10-22 | 2022-01-25 | Completed | 33.33% | $52.08 | $48.68 | -6.58% | Stop | |
| 2020-10-05 | 2022-01-25 | Completed | 33.33% | $35.30 | $48.68 | 37.83% | Stop | |
| 2021-09-30 | 2021-10-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-06-29 | 2021-09-30 | Completed | 33.33% | $31.79 | $50.16 | 57.73% | Signal | |
| 2020-11-06 | 2021-02-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-08-27 | 2020-11-06 | Completed | 33.33% | $35.51 | $37.57 | 5.75% | Signal | |
| 2020-04-17 | 2020-10-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2020-04-24 | 2020-08-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2020-03-26 | 2020-06-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2020-03-31 | 2020-04-24 | Completed | 33.33% | $26.53 | $28.12 | 5.96% | Signal | |
| 2020-03-24 | 2020-04-17 | Completed | 33.33% | $23.25 | $28.52 | 22.61% | Signal | |
| 2020-03-09 | 2020-03-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-24 | 2020-03-26 | Completed | 33.33% | $23.25 | $25.60 | 10.05% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-12-31 | 2020-03-09 | Completed | 33.33% | $37.33 | $30.41 | -18.59% | Stop | |
| 2019-11-05 | 2020-03-02 | Completed | 33.33% | $36.19 | $33.21 | -8.27% | Stop | |
| 2019-06-12 | 2020-03-02 | Completed | 33.33% | $34.22 | $33.21 | -2.99% | Stop | |
| 2019-08-09 | 2019-12-31 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.68% | Interest Income | |
| 2019-10-04 | 2019-11-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2019-09-03 | 2019-10-04 | Completed | 33.33% | $33.69 | $34.15 | 1.34% | Signal | |
| 2019-08-06 | 2019-09-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2019-01-11 | 2019-08-09 | Completed | 33.33% | $31.33 | $34.57 | 10.27% | Signal | |
| 2019-03-28 | 2019-08-06 | Completed | 33.33% | $33.69 | $33.71 | 0.02% | Signal | |
| 2018-12-21 | 2019-06-12 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.12% | Interest Income | |
| 2018-10-29 | 2019-03-28 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.97% | Interest Income | |
| 2018-12-18 | 2019-01-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-11-20 | 2018-12-21 | Completed | 33.33% | $32.38 | $29.46 | -9.08% | Stop | |
| 2016-11-01 | 2018-12-18 | Completed | 33.33% | $26.14 | $30.46 | 16.44% | Stop | |
| 2018-10-29 | 2018-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-05-31 | 2018-10-29 | Completed | 33.33% | $34.83 | $32.30 | -7.30% | Stop | |
| 2016-07-07 | 2018-10-29 | Completed | 33.33% | $25.69 | $32.30 | 25.70% | Stop | |
| 2018-05-02 | 2018-05-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-04-26 | 2018-05-02 | Completed | 33.33% | $25.25 | $33.17 | 31.29% | Signal | |
| 2016-10-10 | 2016-11-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2016-09-30 | 2016-10-10 | Completed | 33.33% | $26.71 | $26.63 | -0.34% | Signal | |
| 2016-05-27 | 2016-09-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2015-11-06 | 2016-07-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2016-02-12 | 2016-05-27 | Completed | 33.33% | $21.36 | $25.43 | 19.01% | Signal | |
| 2015-08-21 | 2016-04-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2016-01-21 | 2016-02-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2016-01-21 | Completed | 33.33% | $24.42 | $21.46 | -12.13% | Stop | |
| 2015-09-17 | 2015-11-06 | Completed | 33.33% | $24.42 | $24.87 | 1.79% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-03-22 | 2015-08-25 | Completed | 33.33% | $15.94 | $23.81 | 49.28% | Stop | |
| 2011-10-27 | 2015-08-25 | Completed | 33.33% | $14.53 | $23.81 | 63.81% | Stop | |
| 2014-12-29 | 2015-08-21 | Completed | 33.33% | $24.65 | $24.44 | -0.89% | Signal | |
| 2014-11-24 | 2014-12-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-11-20 | 2014-11-24 | Completed | 33.33% | $23.89 | $24.26 | 1.51% | Signal | |
| 2014-10-29 | 2014-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-09-14 | 2014-10-29 | Completed | 33.33% | $16.59 | $23.49 | 41.47% | Signal | |
| 2012-07-02 | 2012-09-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2012-01-03 | 2012-07-02 | Completed | 33.33% | $14.47 | $15.36 | 6.07% | Signal | |
| 2011-10-04 | 2012-03-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-08-05 | 2012-01-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-10-05 | 2011-10-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-30 | 2011-10-05 | Completed | 33.33% | $13.83 | $12.47 | -9.92% | Stop | |
| 2011-08-29 | 2011-10-04 | Completed | 33.33% | $13.57 | $11.86 | -12.64% | Stop | |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-05 | 2011-08-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-08 | Completed | 33.33% | $11.93 | $13.05 | 9.37% | Stop | |
| 2010-10-11 | 2011-08-05 | Completed | 33.33% | $12.86 | $13.91 | 8.09% | Stop | |
| 2010-06-01 | 2011-08-05 | Completed | 33.33% | $11.93 | $13.91 | 16.54% | Stop | |
| 2010-07-30 | 2010-10-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2010-06-01 | 2010-07-30 | Completed | 33.33% | $11.93 | $11.84 | -0.77% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-09-15 | 2010-05-07 | Completed | 33.33% | $10.76 | $12.19 | 13.22% | Stop | |
| 2009-08-04 | 2010-05-07 | Completed | 33.33% | $9.97 | $12.19 | 22.21% | Stop | |
| 2009-05-11 | 2010-05-07 | Completed | 33.33% | $8.96 | $12.19 | 35.93% | Stop | |
| 2008-08-20 | 2009-09-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income | |
| 2008-07-16 | 2009-08-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.51% | Interest Income | |
| 2008-09-08 | 2009-05-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2008-07-30 | 2008-09-08 | Completed | 33.33% | $12.35 | $12.36 | 0.05% | Signal | |
| 2008-02-12 | 2008-08-20 | Completed | 33.33% | $12.18 | $12.38 | 1.60% | Signal | |
| 2008-07-08 | 2008-07-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2008-04-09 | 2008-07-16 | Completed | 33.33% | $12.49 | $11.87 | -5.00% | Stop | |
| 2008-04-09 | 2008-07-08 | Completed | 33.33% | $12.49 | $11.95 | -4.40% | Stop | |
| 2007-12-20 | 2008-04-09 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.63% | Interest Income | |
| 2007-08-17 | 2008-04-09 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.89% | Interest Income | |
| 2008-01-18 | 2008-02-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2003-03-21 | 2008-01-18 | Completed | 33.33% | $6.07 | $11.60 | 90.87% | Stop | |
| 2007-09-11 | 2007-12-20 | Completed | 33.33% | $12.90 | $12.94 | 0.28% | Signal | |
| 2007-08-17 | 2007-09-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2007-01-30 | 2007-08-17 | Completed | 33.33% | $12.41 | $12.67 | 2.03% | Stop | |
| 2006-11-02 | 2007-08-17 | Completed | 33.33% | $11.58 | $12.67 | 9.40% | Stop | |
| 2006-09-26 | 2007-01-30 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.67% | Interest Income | |
| 2006-06-29 | 2006-11-02 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.73% | Interest Income | |
| 2006-08-15 | 2006-09-26 | Completed | 33.33% | $11.04 | $11.23 | 1.67% | Signal | |
| 2006-07-24 | 2006-08-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 2004-12-16 | 2006-07-24 | Completed | 33.33% | $9.68 | $10.77 | 11.17% | Stop | |
| 2005-06-30 | 2006-06-29 | Completed | 33.33% | $10.25 | $11.11 | 8.39% | Signal | |
| 2005-06-08 | 2005-06-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income | |
| 2004-11-05 | 2005-06-08 | Completed | 33.33% | $9.17 | $10.05 | 9.61% | Signal | |
| 2004-11-23 | 2004-12-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2004-11-18 | 2004-11-23 | Completed | 33.33% | $9.38 | $9.34 | -0.46% | Signal | |
| 2004-10-15 | 2004-11-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income | |
| 2004-07-02 | 2004-11-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.56% | Interest Income | |
| 2003-03-21 | 2004-10-15 | Completed | 33.33% | $6.07 | $8.62 | 41.91% | Signal | |
| 2003-05-07 | 2004-07-02 | Completed | 33.33% | $6.51 | $8.82 | 35.47% | Signal | |
| 2003-03-12 | 2003-05-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2002-09-18 | 2003-03-21 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.66% | Interest Income | |
| 2002-05-24 | 2003-03-21 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.19% | Interest Income | |
| 2003-01-08 | 2003-03-12 | Completed | 33.33% | $6.38 | $5.60 | -12.26% | Stop | |
| 2002-07-05 | 2003-01-08 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income | |
| 2002-07-29 | 2002-09-18 | Completed | 33.33% | $6.15 | $6.14 | -0.22% | Signal | |
| 2002-07-05 | 2002-07-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2002-05-29 | 2002-07-05 | Completed | 33.33% | $7.62 | $6.73 | -11.65% | Stop | |
| 2002-05-29 | 2002-07-05 | Completed | 33.33% | $7.62 | $6.73 | -11.65% | Stop | |
| 2002-05-24 | 2002-05-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2002-05-24 | 2002-05-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |