IWB
iShares Russell 1000 ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for IWB (iShares Russell 1000 ETF) using the Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -20.5% (compared to the benchmark's drawdown of -55.4%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 10.3%, compared to a Buy-and-Hold benchmark return of 10.2%. The strategy executed 14 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
IWB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 17.15% | 17.15% | 10.02% | 11.62% | 12.98% | 14.59% | 10.32% | 10.24% |
| Sharpe Ratio | 1.25 | 1.25 | 0.74 | 0.64 | 0.95 | 0.75 | 0.82 | 0.52 |
| Max Drawdown | -8.86% | -8.86% | -20.48% | -25.20% | -20.48% | -34.60% | -20.48% | -55.38% |
| % Time Invested | 100.0% | 100.0% | 80.8% | 100.0% | 84.3% | 100.0% | 76.4% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.4 | 0.0 | 0.6 | 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 | ||||||||
| 2025-04-07 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2023-01-31 | 2025-04-07 | Completed | 100% | $212.49 | $264.79 | 24.55% | Stop | |
| 2022-03-10 | 2023-01-31 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.39% | Interest Income | |
| 2020-07-07 | 2022-03-10 | Completed | 100% | $162.63 | $221.37 | 36.05% | Signal | |
| 2020-04-01 | 2020-07-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2020-03-24 | 2020-04-01 | Completed | 100% | $119.18 | $125.92 | 5.61% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-03-27 | 2020-03-02 | Completed | 100% | $141.45 | $152.08 | 7.46% | Stop | |
| 2018-12-11 | 2019-03-27 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.69% | Interest Income | |
| 2016-04-25 | 2018-12-11 | Completed | 100% | $99.07 | $133.02 | 34.21% | Signal | |
| 2016-01-12 | 2016-04-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2015-12-17 | 2016-01-12 | Completed | 100% | $97.94 | $91.59 | -6.53% | Signal | |
| 2015-08-25 | 2015-12-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2012-01-27 | 2015-08-25 | Completed | 100% | $57.38 | $92.14 | 60.50% | Stop | |
| 2011-08-09 | 2012-01-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-10-14 | 2011-08-09 | Completed | 100% | $50.18 | $49.19 | -2.01% | Stop | |
| 2010-07-12 | 2010-10-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2010-06-01 | 2010-07-12 | Completed | 100% | $45.77 | $45.50 | -0.63% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-06-18 | 2010-05-07 | Completed | 100% | $37.58 | $47.45 | 26.19% | Stop | |
| 2007-12-31 | 2009-06-18 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.49% | Interest Income | |
| 2006-09-06 | 2007-12-31 | Completed | 100% | $50.56 | $58.36 | 15.38% | Signal | |
| 2006-07-25 | 2006-09-06 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.59% | Interest Income | |
| 2004-11-01 | 2006-07-25 | Completed | 100% | $41.74 | $48.46 | 16.04% | Signal | |
| 2004-08-23 | 2004-11-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2003-05-12 | 2004-08-23 | Completed | 100% | $33.10 | $40.31 | 21.71% | Signal | |
| 2002-05-29 | 2003-05-12 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.34% | Interest Income | |
| 2002-05-21 | 2002-05-29 | Completed | 100% | $38.47 | $37.61 | -2.31% | Signal | |
| 2002-05-17 | 2002-05-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |