IJS
iShares S&P Small-Cap 600 Value ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
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 -29.3% (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 10.1%. 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 | 26.68% | 33.41% | 2.33% | 7.94% | 5.49% | 10.04% | 6.64% | 10.06% |
| Sharpe Ratio | 1.60 | 1.63 | 0.18 | 0.35 | 0.40 | 0.41 | 0.47 | 0.40 |
| Max Drawdown | -8.36% | -9.28% | -25.21% | -28.65% | -29.26% | -47.68% | -29.26% | -60.11% |
| % Time Invested | 100.0% | 100.0% | 88.7% | 100.0% | 88.7% | 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 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 | ||||||||
| 2025-12-04 | 2026-03-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.86% | Interest Income | |
| 2025-04-02 | 2025-12-04 | Completed | 33.33% | $94.66 | $113.33 | 19.67% | 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% | $89.35 | $95.64 | 6.98% | 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% | $98.32 | $82.76 | -15.86% | 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% | $99.00 | $97.06 | -2.00% | Stop | |
| 2024-07-26 | 2025-03-04 | Completed | 33.33% | $104.22 | $98.64 | -5.41% | Stop | |
| 2024-03-25 | 2025-03-04 | Completed | 33.33% | $96.19 | $98.64 | 2.49% | 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% | $96.01 | $94.22 | -1.91% | 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% | $94.24 | $82.45 | -12.55% | 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% | $85.65 | $95.15 | 11.04% | Signal | |
| 2023-04-05 | 2023-05-05 | Completed | 33.33% | $86.67 | $84.60 | -2.43% | 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% | $92.12 | $88.86 | -3.58% | 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% | $89.71 | $84.73 | -5.59% | Stop | |
| 2022-11-01 | 2022-12-20 | Completed | 33.33% | $89.71 | $84.73 | -5.59% | Stop | |
| 2022-10-18 | 2022-11-08 | Completed | 33.33% | $83.93 | $88.73 | 5.66% | 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% | $92.18 | $78.75 | -14.61% | 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% | $85.27 | $86.46 | 1.35% | Stop | |
| 2022-02-23 | 2022-05-05 | Completed | 33.33% | $93.37 | $92.24 | -1.26% | 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% | $102.35 | $90.90 | -11.23% | Stop | |
| 2021-08-11 | 2022-01-31 | Completed | 33.33% | $94.33 | $90.90 | -3.68% | 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% | $94.33 | $94.90 | 0.56% | 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% | $58.52 | $88.80 | 51.68% | Stop | |
| 2020-07-09 | 2021-07-20 | Completed | 33.33% | $53.55 | $88.80 | 65.74% | 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% | $40.93 | $42.63 | 4.10% | 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% | $70.99 | $60.22 | -15.21% | Stop | |
| 2019-10-24 | 2020-02-28 | Completed | 33.33% | $68.83 | $60.22 | -12.55% | 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% | $68.15 | $66.13 | -3.01% | 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% | $57.69 | $65.27 | 13.08% | Signal | |
| 2019-04-01 | 2019-07-10 | Completed | 33.33% | $66.21 | $66.24 | 0.00% | 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% | $69.60 | $65.34 | -6.17% | Stop | |
| 2019-02-21 | 2019-03-08 | Completed | 33.33% | $69.60 | $65.34 | -6.17% | 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% | $65.81 | $58.00 | -11.90% | Stop | |
| 2016-10-05 | 2018-12-07 | Completed | 33.33% | $53.26 | $63.92 | 19.94% | 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% | $71.06 | $66.83 | -6.00% | Stop | |
| 2016-03-04 | 2018-10-24 | Completed | 33.33% | $46.15 | $66.83 | 44.73% | 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% | $60.39 | $67.32 | 11.42% | 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% | $46.15 | $58.79 | 27.32% | 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% | $41.65 | $46.43 | 11.43% | 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% | $46.95 | $41.79 | -11.03% | Stop | |
| 2015-09-17 | 2016-01-19 | Completed | 33.33% | $46.18 | $41.79 | -9.56% | 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% | $46.18 | $44.90 | -2.83% | 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% | $28.41 | $44.73 | 57.35% | Stop | |
| 2011-10-27 | 2015-08-25 | Completed | 33.33% | $27.49 | $44.73 | 62.63% | Stop | |
| 2014-12-26 | 2015-08-07 | Completed | 33.33% | $49.30 | $47.62 | -3.47% | 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% | $30.28 | $43.50 | 43.60% | 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% | $29.70 | $27.80 | -6.45% | Stop | |
| 2011-12-23 | 2012-06-04 | Completed | 33.33% | $28.27 | $27.80 | -1.72% | 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% | $26.05 | $23.91 | -8.27% | Stop | |
| 2011-08-29 | 2011-09-23 | Completed | 33.33% | $25.32 | $23.15 | -8.61% | 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% | $24.08 | $25.03 | 3.88% | Stop | |
| 2010-12-08 | 2011-08-05 | Completed | 33.33% | $27.42 | $26.63 | -2.91% | Stop | |
| 2010-10-25 | 2011-07-26 | Completed | 33.33% | $25.68 | $29.58 | 15.16% | 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% | $24.08 | $26.53 | 10.09% | 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% | $24.08 | $24.24 | 0.61% | 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% | $22.88 | $24.78 | 8.25% | Stop | |
| 2009-08-18 | 2010-05-07 | Completed | 33.33% | $20.12 | $24.78 | 23.10% | Stop | |
| 2009-05-28 | 2010-05-07 | Completed | 33.33% | $17.83 | $24.78 | 38.91% | 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% | $25.07 | $25.54 | 1.81% | 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% | $26.30 | $22.86 | -13.14% | 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% | $24.81 | $24.93 | 0.44% | 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% | $26.06 | $22.20 | -14.85% | 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% | $13.80 | $25.71 | 86.24% | Stop | |
| 2007-08-29 | 2007-11-01 | Completed | 33.33% | $27.42 | $28.03 | 2.17% | Signal | |
| 2007-08-29 | 2007-08-31 | Completed | 33.33% | $27.42 | $28.05 | 2.25% | 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% | $28.05 | $27.14 | -3.28% | Stop | |
| 2006-10-24 | 2007-08-07 | Completed | 33.33% | $26.89 | $27.14 | 0.90% | 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% | $25.31 | $27.27 | 7.71% | Signal | |
| 2006-07-07 | 2006-07-17 | Completed | 33.33% | $25.31 | $24.14 | -4.67% | 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% | $24.49 | $23.94 | -2.27% | Stop | |
| 2003-05-30 | 2006-06-14 | Completed | 33.33% | $13.80 | $23.94 | 73.47% | 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% | $23.15 | $23.61 | 1.91% | 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% | $18.85 | $20.86 | 10.59% | 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% | $13.80 | $18.87 | 36.71% | 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% | $13.15 | $11.42 | -13.20% | Stop | |
| 2002-10-30 | 2003-02-10 | Completed | 33.33% | $12.30 | $11.74 | -4.61% | 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% | $13.60 | $11.60 | -14.74% | Stop | |
| 2002-07-30 | 2002-09-24 | Completed | 33.33% | $13.60 | $11.93 | -12.29% | Stop | |
| 2002-07-30 | 2002-08-01 | Completed | 33.33% | $13.60 | $13.29 | -2.31% | 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 | |