IJS
iShares S&P Small-Cap 600 Value ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-07
Executive Summary
The quantitative backtest for IJS (iShares S&P Small-Cap 600 Value ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -28.8% (compared to the benchmark's drawdown of -60.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 6.6%, compared to a Buy-and-Hold benchmark return of 9.9%. The strategy executed 77 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.
IJS Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 24.50% | 37.04% | -0.62% | 5.29% | 5.36% | 9.88% | 6.59% | 9.90% |
| Sharpe Ratio | 1.56 | 1.73 | -0.05 | 0.24 | 0.39 | 0.40 | 0.46 | 0.39 |
| Max Drawdown | -8.34% | -9.28% | -28.81% | -28.65% | -28.81% | -47.68% | -28.81% | -60.11% |
| % Time Invested | 100.0% | 100.0% | 88.7% | 100.0% | 88.8% | 100.0% | 88.3% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 3.8 | 0.0 | 3.4 | 0.0 | 3.2 | 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 |
|---|---|---|---|---|---|---|---|
| 2026-03-04 | Open | Open | 33.33% | $122.80 | $130.17 | 6.00% | Mark-to-Market |
| 2025-10-24 | Open | Open | 33.33% | $112.77 | $130.17 | 15.43% | Mark-to-Market |
| 2025-07-25 | Open | Open | 33.33% | $102.68 | $130.17 | 26.78% | Mark-to-Market |
| 2025-12-04 | 2026-03-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.86% | Interest Income |
| 2025-04-02 | 2025-12-04 | Completed | 33.33% | $95.04 | $113.79 | 19.73% | Signal |
| 2025-05-15 | 2025-10-24 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2025-03-04 | 2025-07-25 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.69% | Interest Income |
| 2025-04-30 | 2025-05-15 | Completed | 33.33% | $89.71 | $96.02 | 7.04% | Signal |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2025-03-26 | 2025-04-07 | Completed | 33.33% | $98.71 | $83.09 | -15.82% | Stop |
| 2025-03-11 | 2025-04-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2025-03-04 | 2025-03-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2024-09-10 | 2025-03-11 | Completed | 33.33% | $99.39 | $97.45 | -1.95% | Stop |
| 2024-07-26 | 2025-03-04 | Completed | 33.33% | $104.64 | $99.03 | -5.36% | Stop |
| 2024-03-25 | 2025-03-04 | Completed | 33.33% | $96.57 | $99.03 | 2.54% | Stop |
| 2022-11-08 | 2024-09-10 | Interest (CASH) | 33.33% | $1.00 | $1.10 | 9.81% | Interest Income |
| 2024-05-29 | 2024-07-26 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.85% | Interest Income |
| 2024-01-12 | 2024-05-29 | Completed | 33.33% | $96.40 | $94.60 | -1.86% | Signal |
| 2023-07-28 | 2024-03-25 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.57% | Interest Income |
| 2023-10-05 | 2024-01-12 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.46% | Interest Income |
| 2023-08-09 | 2023-10-05 | Completed | 33.33% | $94.62 | $82.78 | -12.51% | Stop |
| 2023-05-05 | 2023-08-09 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.37% | Interest Income |
| 2023-03-23 | 2023-07-28 | Completed | 33.33% | $85.99 | $95.53 | 11.09% | Signal |
| 2023-04-05 | 2023-05-05 | Completed | 33.33% | $87.02 | $84.94 | -2.38% | Signal |
| 2023-03-14 | 2023-04-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2022-12-20 | 2023-03-23 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.16% | Interest Income |
| 2023-01-13 | 2023-03-14 | Completed | 33.33% | $92.49 | $89.22 | -3.54% | Stop |
| 2022-12-20 | 2023-01-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.28% | Interest Income |
| 2022-11-01 | 2022-12-20 | Completed | 33.33% | $90.06 | $85.07 | -5.55% | Stop |
| 2022-11-01 | 2022-12-20 | Completed | 33.33% | $90.06 | $85.07 | -5.55% | Stop |
| 2022-10-18 | 2022-11-08 | Completed | 33.33% | $84.27 | $89.08 | 5.71% | Signal |
| 2022-05-05 | 2022-11-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.21% | Interest Income |
| 2022-01-31 | 2022-11-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.35% | Interest Income |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2022-06-03 | 2022-09-26 | Completed | 33.33% | $92.55 | $79.07 | -14.57% | Stop |
| 2022-05-11 | 2022-06-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2021-02-12 | 2022-05-11 | Completed | 33.33% | $85.61 | $86.81 | 1.40% | Stop |
| 2022-02-23 | 2022-05-05 | Completed | 33.33% | $93.74 | $92.61 | -1.21% | Signal |
| 2022-01-31 | 2022-02-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2021-11-12 | 2022-01-31 | Completed | 33.33% | $102.76 | $91.27 | -11.19% | Stop |
| 2021-08-11 | 2022-01-31 | Completed | 33.33% | $94.71 | $91.27 | -3.63% | Stop |
| 2021-09-03 | 2021-11-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-08-11 | 2021-09-03 | Completed | 33.33% | $94.71 | $95.28 | 0.61% | Signal |
| 2021-07-20 | 2021-08-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2021-07-20 | 2021-08-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2020-10-30 | 2021-07-20 | Completed | 33.33% | $58.75 | $89.16 | 51.75% | Stop |
| 2020-07-09 | 2021-07-20 | Completed | 33.33% | $53.77 | $89.16 | 65.82% | Stop |
| 2019-07-18 | 2021-02-12 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.18% | Interest Income |
| 2020-04-06 | 2020-10-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-02-28 | 2020-07-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-03-23 | 2020-04-06 | Completed | 33.33% | $41.10 | $42.80 | 4.15% | Stop |
| 2020-02-28 | 2020-03-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2019-11-06 | 2020-02-28 | Completed | 33.33% | $71.27 | $60.46 | -15.17% | Stop |
| 2019-10-24 | 2020-02-28 | Completed | 33.33% | $69.11 | $60.46 | -12.51% | Stop |
| 2019-10-14 | 2019-11-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2019-07-10 | 2019-10-24 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.57% | Interest Income |
| 2019-09-20 | 2019-10-14 | Completed | 33.33% | $68.43 | $66.40 | -2.96% | Signal |
| 2019-03-08 | 2019-09-20 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.20% | Interest Income |
| 2019-01-02 | 2019-07-18 | Completed | 33.33% | $57.92 | $65.53 | 13.13% | Signal |
| 2019-04-01 | 2019-07-10 | Completed | 33.33% | $66.47 | $66.51 | 0.05% | Signal |
| 2019-03-08 | 2019-04-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2019-02-21 | 2019-03-08 | Completed | 33.33% | $69.88 | $65.60 | -6.12% | Stop |
| 2019-02-21 | 2019-03-08 | Completed | 33.33% | $69.88 | $65.60 | -6.12% | Stop |
| 2018-12-20 | 2019-02-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2018-10-24 | 2019-02-21 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.76% | Interest Income |
| 2018-12-07 | 2019-01-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2018-11-15 | 2018-12-20 | Completed | 33.33% | $66.07 | $58.24 | -11.86% | Stop |
| 2016-10-05 | 2018-12-07 | Completed | 33.33% | $53.48 | $64.17 | 20.00% | Stop |
| 2018-10-24 | 2018-11-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2018-05-23 | 2018-10-24 | Completed | 33.33% | $71.34 | $67.10 | -5.95% | Stop |
| 2016-03-04 | 2018-10-24 | Completed | 33.33% | $46.34 | $67.10 | 44.81% | Stop |
| 2018-05-01 | 2018-05-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2017-07-10 | 2018-05-01 | Completed | 33.33% | $60.63 | $67.59 | 11.48% | Signal |
| 2017-05-17 | 2017-07-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2016-03-04 | 2017-05-17 | Completed | 33.33% | $46.34 | $59.02 | 27.38% | Signal |
| 2016-03-17 | 2016-10-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2016-02-10 | 2016-03-17 | Completed | 33.33% | $41.82 | $46.62 | 11.48% | Signal |
| 2016-01-19 | 2016-03-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2015-10-05 | 2016-03-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2016-01-19 | 2016-02-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-12-30 | 2016-01-19 | Completed | 33.33% | $47.14 | $41.96 | -10.99% | Stop |
| 2015-09-17 | 2016-01-19 | Completed | 33.33% | $46.37 | $41.96 | -9.51% | Stop |
| 2015-08-07 | 2015-12-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2015-09-17 | 2015-10-05 | Completed | 33.33% | $46.37 | $45.08 | -2.78% | 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 |
| 2012-06-26 | 2015-08-25 | Completed | 33.33% | $28.53 | $44.91 | 57.43% | Stop |
| 2011-10-27 | 2015-08-25 | Completed | 33.33% | $27.60 | $44.91 | 62.71% | Stop |
| 2014-12-26 | 2015-08-07 | Completed | 33.33% | $49.50 | $47.81 | -3.42% | Signal |
| 2014-10-10 | 2014-12-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2012-07-06 | 2014-10-10 | Completed | 33.33% | $30.40 | $43.68 | 43.67% | Signal |
| 2012-06-04 | 2012-07-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2012-06-04 | 2012-06-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2012-03-07 | 2012-06-04 | Completed | 33.33% | $29.82 | $27.91 | -6.40% | Stop |
| 2011-12-23 | 2012-06-04 | Completed | 33.33% | $28.38 | $27.91 | -1.67% | Stop |
| 2011-09-23 | 2012-03-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2011-07-26 | 2011-12-23 | 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% | $26.15 | $24.00 | -8.22% | Stop |
| 2011-08-29 | 2011-09-23 | Completed | 33.33% | $25.42 | $23.24 | -8.56% | 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% | $24.18 | $25.13 | 3.93% | Stop |
| 2010-12-08 | 2011-08-05 | Completed | 33.33% | $27.53 | $26.74 | -2.86% | Stop |
| 2010-10-25 | 2011-07-26 | Completed | 33.33% | $25.78 | $29.70 | 15.21% | Signal |
| 2010-11-08 | 2010-12-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-06-01 | 2010-11-08 | Completed | 33.33% | $24.18 | $26.63 | 10.15% | Signal |
| 2010-08-02 | 2010-10-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2010-06-01 | 2010-08-02 | Completed | 33.33% | $24.18 | $24.34 | 0.66% | 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 |
| 2010-02-19 | 2010-05-07 | Completed | 33.33% | $22.97 | $24.88 | 8.30% | Stop |
| 2009-08-18 | 2010-05-07 | Completed | 33.33% | $20.20 | $24.88 | 23.16% | Stop |
| 2009-05-28 | 2010-05-07 | Completed | 33.33% | $17.90 | $24.88 | 38.98% | Stop |
| 2008-04-24 | 2010-02-19 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.96% | Interest Income |
| 2007-11-01 | 2009-08-18 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.03% | Interest Income |
| 2008-08-22 | 2009-05-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2008-07-30 | 2008-08-22 | Completed | 33.33% | $25.17 | $25.64 | 1.86% | Signal |
| 2008-07-08 | 2008-07-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2008-06-05 | 2008-07-08 | Completed | 33.33% | $26.41 | $22.95 | -13.10% | Stop |
| 2007-08-31 | 2008-06-05 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.99% | Interest Income |
| 2008-02-13 | 2008-04-24 | Completed | 33.33% | $24.90 | $25.03 | 0.49% | Signal |
| 2008-01-22 | 2008-02-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2007-12-14 | 2008-01-22 | Completed | 33.33% | $26.16 | $22.29 | -14.81% | Stop |
| 2007-11-21 | 2007-12-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2003-05-30 | 2007-11-21 | Completed | 33.33% | $13.85 | $25.81 | 86.34% | Stop |
| 2007-08-29 | 2007-11-01 | Completed | 33.33% | $27.53 | $28.14 | 2.22% | Signal |
| 2007-08-29 | 2007-08-31 | Completed | 33.33% | $27.53 | $28.16 | 2.30% | Signal |
| 2007-08-07 | 2007-08-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2007-08-07 | 2007-08-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2006-12-29 | 2007-08-07 | Completed | 33.33% | $28.16 | $27.25 | -3.23% | Stop |
| 2006-10-24 | 2007-08-07 | Completed | 33.33% | $26.99 | $27.25 | 0.95% | Stop |
| 2006-10-18 | 2006-12-29 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.98% | Interest Income |
| 2006-07-17 | 2006-10-24 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.37% | Interest Income |
| 2006-07-07 | 2006-10-18 | Completed | 33.33% | $25.41 | $27.38 | 7.76% | Signal |
| 2006-07-07 | 2006-07-17 | Completed | 33.33% | $25.41 | $24.23 | -4.63% | Signal |
| 2006-06-14 | 2006-07-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2006-06-14 | 2006-07-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2006-01-13 | 2006-06-14 | Completed | 33.33% | $24.59 | $24.04 | -2.22% | Stop |
| 2003-05-30 | 2006-06-14 | Completed | 33.33% | $13.85 | $24.04 | 73.56% | Stop |
| 2005-11-22 | 2006-01-13 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.55% | Interest Income |
| 2005-07-15 | 2005-11-22 | Completed | 33.33% | $23.24 | $23.70 | 1.97% | Signal |
| 2005-05-09 | 2005-07-15 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.56% | Interest Income |
| 2004-08-23 | 2005-05-09 | Completed | 33.33% | $18.93 | $20.94 | 10.65% | Signal |
| 2004-07-14 | 2004-08-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2003-05-30 | 2004-07-14 | Completed | 33.33% | $13.85 | $18.95 | 36.77% | Signal |
| 2003-03-10 | 2003-05-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2003-02-10 | 2003-05-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2002-09-24 | 2003-05-30 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.84% | Interest Income |
| 2003-01-14 | 2003-03-10 | Completed | 33.33% | $13.20 | $11.46 | -13.16% | Stop |
| 2002-10-30 | 2003-02-10 | Completed | 33.33% | $12.35 | $11.78 | -4.56% | Signal |
| 2002-08-01 | 2003-01-14 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.66% | Interest Income |
| 2002-10-08 | 2002-10-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2002-07-30 | 2002-10-08 | Completed | 33.33% | $13.65 | $11.65 | -14.70% | Stop |
| 2002-07-30 | 2002-09-24 | Completed | 33.33% | $13.65 | $11.98 | -12.24% | Stop |
| 2002-07-30 | 2002-08-01 | Completed | 33.33% | $13.65 | $13.35 | -2.26% | Signal |
| 2002-07-26 | 2002-07-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2002-07-26 | 2002-07-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2002-07-26 | 2002-07-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |