ITOT
iShares Core S&P Total U.S. Stock Market ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for ITOT (iShares Core S&P Total U.S. Stock Market ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -19.2% (compared to the benchmark's drawdown of -55.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 10.7%, compared to a Buy-and-Hold benchmark return of 10.8%. The strategy executed 46 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.
ITOT Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 13.55% | 18.06% | 7.87% | 11.44% | 13.54% | 14.44% | 10.72% | 10.78% |
| Sharpe Ratio | 1.03 | 1.29 | 0.63 | 0.62 | 0.99 | 0.74 | 0.83 | 0.53 |
| Max Drawdown | -8.90% | -8.90% | -18.76% | -25.36% | -18.76% | -35.00% | -19.20% | -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 | 1.9 | 0.0 | 2.2 | 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 | ||||||||
| 2026-04-09 | 2026-05-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 2025-05-01 | 2026-04-09 | Completed | 33.33% | $120.57 | $147.51 | 22.28% | Signal | |
| 2025-06-27 | 2025-09-15 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.91% | Interest Income | |
| 2025-04-30 | 2025-06-27 | Completed | 33.33% | $117.78 | $132.58 | 12.51% | Signal | |
| 2025-03-27 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income | |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-11-08 | 2025-04-07 | Completed | 33.33% | $92.72 | $105.06 | 13.24% | Stop | |
| 2023-04-20 | 2025-04-07 | Completed | 33.33% | $86.96 | $105.06 | 20.75% | Stop | |
| 2024-01-04 | 2025-03-27 | Completed | 33.33% | $100.33 | $122.22 | 21.75% | Signal | |
| 2023-11-03 | 2024-01-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.87% | Interest Income | |
| 2022-10-31 | 2023-11-08 | Interest (CASH) | 33.33% | $1.00 | $1.05 | 5.20% | Interest Income | |
| 2023-01-30 | 2023-11-03 | Completed | 33.33% | $85.76 | $91.77 | 6.95% | Signal | |
| 2022-05-10 | 2023-04-20 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.34% | Interest Income | |
| 2022-02-25 | 2023-01-30 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.38% | Interest Income | |
| 2022-10-20 | 2022-10-31 | Completed | 33.33% | $77.74 | $81.76 | 5.12% | Signal | |
| 2022-09-28 | 2022-10-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2022-06-01 | 2022-09-28 | Completed | 33.33% | $86.95 | $76.91 | -11.58% | Stop | |
| 2022-05-09 | 2022-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2022-03-21 | 2022-05-10 | Completed | 33.33% | $93.96 | $84.47 | -10.14% | Stop | |
| 2020-04-01 | 2022-05-09 | Completed | 33.33% | $50.47 | $84.90 | 68.12% | Stop | |
| 2022-02-25 | 2022-03-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-08-11 | 2022-02-25 | Completed | 33.33% | $69.87 | $90.53 | 29.50% | Stop | |
| 2020-06-25 | 2022-02-25 | Completed | 33.33% | $62.67 | $90.53 | 44.38% | Stop | |
| 2020-06-16 | 2020-08-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-04-08 | 2020-06-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-03-24 | 2020-06-16 | Completed | 33.33% | $47.68 | $65.13 | 36.53% | Signal | |
| 2020-03-24 | 2020-04-08 | Completed | 33.33% | $47.68 | $54.41 | 14.05% | Signal | |
| 2020-03-10 | 2020-04-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 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 | |
| 2019-01-16 | 2020-03-10 | Completed | 33.33% | $53.13 | $58.17 | 9.43% | Stop | |
| 2019-06-20 | 2020-03-02 | Completed | 33.33% | $60.40 | $61.30 | 1.43% | Stop | |
| 2019-03-28 | 2020-03-02 | Completed | 33.33% | $57.31 | $61.30 | 6.90% | Stop | |
| 2019-02-04 | 2019-06-20 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.90% | Interest Income | |
| 2018-11-29 | 2019-03-28 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income | |
| 2019-01-11 | 2019-02-04 | Completed | 33.33% | $52.54 | $55.15 | 4.92% | Signal | |
| 2018-12-21 | 2019-01-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-12-18 | 2019-01-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2015-09-17 | 2018-12-21 | Completed | 33.33% | $38.20 | $49.97 | 30.75% | Stop | |
| 2016-07-07 | 2018-12-18 | Completed | 33.33% | $40.68 | $51.83 | 27.35% | Stop | |
| 2018-07-03 | 2018-11-29 | Completed | 33.33% | $55.63 | $55.42 | -0.43% | Signal | |
| 2018-05-23 | 2018-07-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income | |
| 2016-05-02 | 2018-05-23 | Completed | 33.33% | $39.96 | $54.92 | 37.37% | Signal | |
| 2015-11-10 | 2016-07-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2016-02-22 | 2016-05-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2016-02-12 | 2016-02-22 | Completed | 33.33% | $35.10 | $36.90 | 5.09% | Signal | |
| 2016-01-21 | 2016-02-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-12-17 | 2016-01-21 | Completed | 33.33% | $39.81 | $35.53 | -10.80% | Stop | |
| 2015-08-25 | 2015-12-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2015-09-17 | 2015-11-10 | Completed | 33.33% | $38.20 | $39.78 | 4.08% | 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 | |
| 2012-08-31 | 2015-08-25 | Completed | 33.33% | $24.90 | $36.64 | 47.06% | Stop | |
| 2011-12-06 | 2015-08-25 | Completed | 33.33% | $22.12 | $36.64 | 65.58% | Stop | |
| 2011-08-31 | 2015-08-25 | Completed | 33.33% | $21.35 | $36.64 | 71.51% | Stop | |
| 2012-07-10 | 2012-08-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-12-06 | 2012-07-10 | Completed | 33.33% | $22.12 | $24.15 | 9.13% | Signal | |
| 2011-10-14 | 2011-12-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-04 | 2011-12-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-08-30 | 2011-10-14 | Completed | 33.33% | $21.08 | $21.33 | 1.14% | Signal | |
| 2011-08-09 | 2011-08-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-09 | Completed | 33.33% | $18.50 | $19.76 | 6.71% | Stop | |
| 2010-11-19 | 2011-08-08 | Completed | 33.33% | $20.60 | $20.31 | -1.44% | Stop | |
| 2010-10-11 | 2011-08-04 | Completed | 33.33% | $20.05 | $21.72 | 8.26% | Signal | |
| 2010-10-15 | 2010-11-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-06-01 | 2010-10-15 | Completed | 33.33% | $18.50 | $20.33 | 9.82% | Signal | |
| 2010-07-20 | 2010-10-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2010-06-01 | 2010-07-20 | Completed | 33.33% | $18.50 | $18.03 | -2.59% | 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 | |
| 2009-11-11 | 2010-05-07 | Completed | 33.33% | $18.41 | $19.11 | 3.74% | Stop | |
| 2009-08-17 | 2010-05-07 | Completed | 33.33% | $16.46 | $19.11 | 16.03% | Stop | |
| 2009-05-28 | 2010-05-07 | Completed | 33.33% | $14.96 | $19.11 | 27.71% | Stop | |
| 2008-07-23 | 2009-11-11 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.51% | Interest Income | |
| 2008-01-07 | 2009-08-17 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.47% | Interest Income | |
| 2008-08-01 | 2009-05-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income | |
| 2008-06-11 | 2008-08-01 | Completed | 33.33% | $21.93 | $20.60 | -6.11% | Signal | |
| 2008-02-13 | 2008-07-23 | Completed | 33.33% | $21.74 | $20.75 | -4.57% | Signal | |
| 2007-12-28 | 2008-06-11 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.84% | Interest Income | |
| 2008-01-22 | 2008-02-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2006-01-18 | 2008-01-22 | Completed | 33.33% | $19.76 | $20.08 | 1.62% | Stop | |
| 2006-11-21 | 2008-01-07 | Completed | 33.33% | $21.91 | $22.52 | 2.76% | Signal | |
| 2007-12-10 | 2007-12-28 | Completed | 33.33% | $24.00 | $23.67 | -1.39% | Signal | |
| 2007-09-17 | 2007-12-10 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.85% | Interest Income | |
| 2006-10-06 | 2007-09-17 | Completed | 33.33% | $21.00 | $23.36 | 11.20% | 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% | $19.76 | $20.68 | 4.63% | Signal | |
| 2006-01-18 | 2006-06-26 | Completed | 33.33% | $19.76 | $19.42 | -1.74% | 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 | |