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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -21.4% (compared to the benchmark's drawdown of -55.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.1%, compared to a Buy-and-Hold benchmark return of 10.0%. The strategy executed 16 total trades.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
📊 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
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active
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
IJH Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 20.33% | 20.33% | 3.95% | 8.81% | 7.35% | 11.03% | 8.14% | 9.96% |
| Sharpe Ratio | 1.19 | 1.19 | 0.28 | 0.43 | 0.52 | 0.49 | 0.58 | 0.44 |
| Max Drawdown | -8.83% | -8.83% | -18.24% | -24.10% | -19.92% | -42.18% | -21.44% | -55.06% |
| % Time Invested | 100.0% | 100.0% | 71.4% | 100.0% | 77.4% | 100.0% | 75.3% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.5 | 0.0 | 0.7 | 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 | ||||||||
| 2025-03-14 | 2025-07-23 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.52% | Interest Income | |
| 2023-12-22 | 2025-03-14 | Completed | 100% | $53.79 | $56.70 | 5.35% | Stop | |
| 2023-10-24 | 2023-12-22 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.90% | Interest Income | |
| 2023-06-09 | 2023-10-24 | Completed | 100% | $48.94 | $45.83 | -6.40% | Signal | |
| 2023-05-17 | 2023-06-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2022-12-27 | 2023-05-17 | Completed | 100% | $46.19 | $46.33 | 0.25% | Signal | |
| 2022-02-23 | 2022-12-27 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.98% | Interest Income | |
| 2020-08-10 | 2022-02-23 | Completed | 100% | $35.63 | $48.89 | 37.16% | Signal | |
| 2020-03-02 | 2020-08-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2019-04-10 | 2020-03-02 | Completed | 100% | $34.63 | $33.21 | -4.15% | Stop | |
| 2018-11-16 | 2019-04-10 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.93% | Interest Income | |
| 2016-04-27 | 2018-11-16 | Completed | 100% | $25.40 | $33.05 | 30.03% | Signal | |
| 2015-08-25 | 2016-04-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2012-02-09 | 2015-08-25 | Completed | 100% | $15.76 | $23.81 | 51.03% | Stop | |
| 2011-08-05 | 2012-02-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-09-22 | 2011-08-05 | Completed | 100% | $12.49 | $13.91 | 11.31% | Stop | |
| 2010-08-25 | 2010-09-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-06-01 | 2010-08-25 | Completed | 100% | $11.93 | $11.28 | -5.50% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-06-11 | 2010-05-07 | Completed | 100% | $9.33 | $12.19 | 30.63% | Stop | |
| 2008-08-13 | 2009-06-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2008-08-07 | 2008-08-13 | Completed | 100% | $12.31 | $12.45 | 1.08% | Signal | |
| 2008-07-16 | 2008-08-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2008-04-09 | 2008-07-16 | Completed | 100% | $12.49 | $11.87 | -5.00% | Stop | |
| 2007-12-19 | 2008-04-09 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.64% | Interest Income | |
| 2006-11-07 | 2007-12-19 | Completed | 100% | $11.79 | $12.84 | 8.83% | Signal | |
| 2006-07-21 | 2006-11-07 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.49% | Interest Income | |
| 2004-11-01 | 2006-07-21 | Completed | 100% | $8.89 | $10.81 | 21.51% | Signal | |
| 2004-08-20 | 2004-11-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2003-03-21 | 2004-08-20 | Completed | 100% | $6.07 | $8.32 | 36.85% | Signal | |
| 2002-07-11 | 2003-03-21 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.97% | Interest Income | |
| 2002-05-29 | 2002-07-11 | Completed | 100% | $7.62 | $6.35 | -16.70% | Stop | |
| 2002-05-24 | 2002-05-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |