ITOT iShares Core S&P Total U.S. Stock Market ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for ITOT (iShares Core S&P Total U.S. Stock Market ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -19.1% (compared to the benchmark's drawdown of -55.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 11.2%, compared to a Buy-and-Hold benchmark return of 11.0%. The strategy executed 46 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
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.
ITOT Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 23.83% | 29.90% | 9.55% | 12.89% | 14.45% | 15.08% | 11.17% | 10.97% |
| Sharpe Ratio | 1.87 | 2.16 | 0.76 | 0.70 | 1.06 | 0.77 | 0.87 | 0.54 |
| Max Drawdown | -8.90% | -8.90% | -18.72% | -25.36% | -18.72% | -35.00% | -19.14% | -55.20% |
| % Time Invested | 100.0% | 100.0% | 91.4% | 100.0% | 94.8% | 100.0% | 92.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.8 | 0.0 | 2.0 | 0.0 | 2.3 | 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 |
|---|---|---|---|---|---|---|---|
| 2026-05-11 | Open | Open | 33.33% | $161.01 | $165.48 | 2.78% | Mark-to-Market |
| 2025-09-15 | Open | Open | 33.33% | $143.20 | $165.48 | 15.56% | Mark-to-Market |
| 2025-04-30 | Open | Open | 33.33% | $118.08 | $165.48 | 40.14% | Mark-to-Market |
| 2026-05-04 | 2026-05-11 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2026-04-09 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2025-05-01 | 2026-04-09 | Completed | 33.33% | $120.88 | $147.89 | 22.34% | Signal |
| 2025-06-27 | 2025-09-15 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.20% | Interest Income |
| 2025-04-30 | 2025-06-27 | Completed | 33.33% | $118.08 | $132.92 | 12.57% | Signal |
| 2025-03-27 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2023-11-08 | 2025-04-07 | Completed | 33.33% | $92.96 | $105.33 | 13.30% | Stop |
| 2023-04-20 | 2025-04-07 | Completed | 33.33% | $87.19 | $105.33 | 20.81% | Stop |
| 2024-01-04 | 2025-03-27 | Completed | 33.33% | $100.59 | $122.53 | 21.81% | Signal |
| 2023-11-03 | 2024-01-04 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.02% | Interest Income |
| 2023-06-02 | 2023-11-08 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 2.75% | Interest Income |
| 2023-01-30 | 2023-11-03 | Completed | 33.33% | $85.98 | $92.00 | 7.00% | Signal |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-04 | 2023-04-20 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-01-30 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.40% | Interest Income |
| 2022-10-31 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-20 | 2022-10-31 | Completed | 33.33% | $77.94 | $81.97 | 5.17% | Signal |
| 2022-10-04 | 2022-10-20 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2022-09-28 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.24% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-06-01 | 2022-09-28 | Completed | 33.33% | $87.17 | $77.11 | -11.54% | Stop |
| 2022-05-10 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-05-09 | 2022-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-03-21 | 2022-05-10 | Completed | 33.33% | $94.20 | $84.69 | -10.09% | Stop |
| 2020-04-01 | 2022-05-09 | Completed | 33.33% | $50.60 | $85.12 | 68.21% | Stop |
| 2022-03-02 | 2022-03-21 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2022-02-25 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2022-02-25 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-08-11 | 2022-02-25 | Completed | 33.33% | $70.05 | $90.76 | 29.57% | Stop |
| 2020-06-25 | 2022-02-25 | Completed | 33.33% | $62.83 | $90.76 | 44.45% | Stop |
| 2020-06-16 | 2020-08-11 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.62% | Interest Income |
| 2020-06-02 | 2020-06-25 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.62% | Interest Income |
| 2020-03-24 | 2020-06-16 | Completed | 33.33% | $47.80 | $65.30 | 36.60% | Signal |
| 2020-04-08 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2020-03-24 | 2020-04-08 | Completed | 33.33% | $47.80 | $54.55 | 14.11% | Signal |
| 2020-03-10 | 2020-04-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2019-01-16 | 2020-03-10 | Completed | 33.33% | $53.27 | $58.32 | 9.49% | Stop |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2019-06-20 | 2020-03-02 | Completed | 33.33% | $60.56 | $61.45 | 1.48% | Stop |
| 2019-03-28 | 2020-03-02 | Completed | 33.33% | $57.46 | $61.45 | 6.96% | Stop |
| 2019-03-04 | 2019-06-20 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.98% | Interest Income |
| 2019-03-04 | 2019-03-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2019-02-04 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2018-12-04 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2019-01-11 | 2019-02-04 | Completed | 33.33% | $52.67 | $55.29 | 4.97% | Signal |
| 2018-12-21 | 2019-01-16 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2018-12-18 | 2019-01-11 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2015-09-17 | 2018-12-21 | Completed | 33.33% | $38.30 | $50.10 | 30.81% | Stop |
| 2016-07-07 | 2018-12-18 | Completed | 33.33% | $40.78 | $51.96 | 27.41% | Stop |
| 2018-11-29 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2018-07-03 | 2018-11-29 | Completed | 33.33% | $55.78 | $55.56 | -0.38% | Signal |
| 2018-05-23 | 2018-07-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2016-05-02 | 2018-05-23 | Completed | 33.33% | $40.06 | $55.06 | 37.43% | Signal |
| 2016-04-04 | 2016-07-07 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.72% | Interest Income |
| 2016-04-04 | 2016-05-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-02-22 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2016-02-12 | 2016-02-22 | Completed | 33.33% | $35.19 | $37.00 | 5.14% | Signal |
| 2016-02-02 | 2016-02-12 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2016-01-21 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-11-10 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-12-17 | 2016-01-21 | Completed | 33.33% | $39.92 | $35.62 | -10.76% | Stop |
| 2015-11-03 | 2015-12-17 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-09-17 | 2015-11-10 | Completed | 33.33% | $38.30 | $39.88 | 4.13% | Signal |
| 2015-09-02 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-09-02 | 2015-09-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-09-02 | 2015-09-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2012-08-31 | 2015-08-25 | Completed | 33.33% | $24.97 | $36.73 | 47.13% | Stop |
| 2011-12-06 | 2015-08-25 | Completed | 33.33% | $22.17 | $36.73 | 65.67% | Stop |
| 2011-08-31 | 2015-08-25 | Completed | 33.33% | $21.41 | $36.73 | 71.60% | Stop |
| 2012-07-10 | 2012-08-31 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.74% | Interest Income |
| 2011-12-06 | 2012-07-10 | Completed | 33.33% | $22.17 | $24.21 | 9.19% | Signal |
| 2011-12-02 | 2011-12-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-12-02 | 2011-12-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-10-14 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2011-08-04 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.07% | Interest Income |
| 2011-08-30 | 2011-10-14 | Completed | 33.33% | $21.13 | $21.38 | 1.19% | Signal |
| 2011-08-09 | 2011-08-31 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-08 | 2011-08-30 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-06-01 | 2011-08-09 | Completed | 33.33% | $18.55 | $19.81 | 6.77% | Stop |
| 2010-11-19 | 2011-08-08 | Completed | 33.33% | $20.65 | $20.37 | -1.39% | Stop |
| 2010-10-11 | 2011-08-04 | Completed | 33.33% | $20.10 | $21.77 | 8.31% | Signal |
| 2010-11-02 | 2010-11-19 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2010-10-15 | 2010-11-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2010-06-01 | 2010-10-15 | Completed | 33.33% | $18.55 | $20.38 | 9.87% | Signal |
| 2010-09-02 | 2010-10-11 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2010-07-20 | 2010-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-06-01 | 2010-07-20 | Completed | 33.33% | $18.55 | $18.08 | -2.54% | Signal |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2009-11-11 | 2010-05-07 | Completed | 33.33% | $18.46 | $19.16 | 3.79% | Stop |
| 2009-08-17 | 2010-05-07 | Completed | 33.33% | $16.50 | $19.16 | 16.09% | Stop |
| 2009-05-28 | 2010-05-07 | Completed | 33.33% | $14.99 | $19.16 | 27.77% | Stop |
| 2009-10-02 | 2009-11-11 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2009-07-02 | 2009-10-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2009-07-02 | 2009-08-17 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2009-06-02 | 2009-07-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2009-06-02 | 2009-07-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2009-05-04 | 2009-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2009-05-04 | 2009-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2009-05-04 | 2009-05-28 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2009-04-02 | 2009-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-04-02 | 2009-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-04-02 | 2009-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-01-05 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2009-01-05 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2009-01-05 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2008-09-03 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income |
| 2008-09-03 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income |
| 2008-09-03 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income |
| 2008-08-01 | 2008-09-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2008-07-23 | 2008-09-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2008-06-03 | 2008-09-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income |
| 2008-06-11 | 2008-08-01 | Completed | 33.33% | $21.99 | $20.65 | -6.06% | Signal |
| 2008-02-13 | 2008-07-23 | Completed | 33.33% | $21.79 | $20.81 | -4.52% | Signal |
| 2008-06-03 | 2008-06-11 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2008-01-07 | 2008-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 1.22% | Interest Income |
| 2007-12-28 | 2008-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 1.34% | Interest Income |
| 2008-01-22 | 2008-02-13 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2006-01-18 | 2008-01-22 | Completed | 33.33% | $19.81 | $20.14 | 1.67% | Stop |
| 2006-11-21 | 2008-01-07 | Completed | 33.33% | $21.96 | $22.58 | 2.81% | Signal |
| 2007-12-10 | 2007-12-28 | Completed | 33.33% | $24.06 | $23.74 | -1.34% | Signal |
| 2007-09-17 | 2007-12-10 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 1.22% | Interest Income |
| 2006-10-06 | 2007-09-17 | Completed | 33.33% | $21.05 | $23.42 | 11.26% | Signal |
| 2006-10-03 | 2006-11-21 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.69% | Interest Income |
| 2006-06-26 | 2006-10-06 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.41% | Interest Income |
| 2006-01-18 | 2006-10-03 | Completed | 33.33% | $19.81 | $20.73 | 4.68% | Signal |
| 2006-01-18 | 2006-06-26 | Completed | 33.33% | $19.81 | $19.47 | -1.69% | Signal |
| 2006-01-13 | 2006-01-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2006-01-13 | 2006-01-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2006-01-13 | 2006-01-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |