IWM
iShares Russell 2000 ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-28
Executive Summary
The quantitative backtest for IWM (iShares Russell 2000 ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -27.7% (compared to the benchmark's drawdown of -58.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 6.5%, compared to a Buy-and-Hold benchmark return of 9.1%. The strategy executed 73 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.
IWM Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 28.29% | 32.28% | 2.34% | 7.17% | 6.16% | 10.66% | 6.50% | 9.10% |
| Sharpe Ratio | 1.36 | 1.46 | 0.16 | 0.31 | 0.42 | 0.44 | 0.44 | 0.37 |
| Max Drawdown | -11.03% | -11.03% | -27.70% | -31.91% | -27.70% | -41.13% | -27.70% | -58.64% |
| % Time Invested | 100.0% | 100.0% | 80.4% | 100.0% | 86.5% | 100.0% | 87.7% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 3.6 | 0.0 | 3.3 | 0.0 | 3.0 | 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 | ||||||||
| 2025-05-13 | 2025-10-07 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.70% | Interest Income | |
| 2025-03-04 | 2025-07-18 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.61% | Interest Income | |
| 2025-04-30 | 2025-05-13 | Completed | 33.33% | $190.63 | $206.21 | 8.12% | 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% | $205.25 | $172.05 | -16.22% | Stop | |
| 2025-03-10 | 2025-04-01 | 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 | |
| 2024-04-19 | 2025-03-10 | Completed | 33.33% | $187.30 | $200.34 | 6.91% | Stop | |
| 2024-07-31 | 2025-03-04 | Completed | 33.33% | $218.91 | $202.80 | -7.41% | Stop | |
| 2024-03-12 | 2025-03-04 | Completed | 33.33% | $199.68 | $202.80 | 1.51% | Stop | |
| 2024-07-09 | 2024-07-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2024-01-18 | 2024-07-09 | Completed | 33.33% | $185.62 | $197.58 | 6.39% | Signal | |
| 2022-11-10 | 2024-04-19 | Interest (CASH) | 33.33% | $1.00 | $1.08 | 7.55% | Interest Income | |
| 2023-05-04 | 2024-03-12 | Interest (CASH) | 33.33% | $1.00 | $1.05 | 4.64% | Interest Income | |
| 2023-10-04 | 2024-01-18 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.55% | Interest Income | |
| 2023-07-27 | 2023-10-04 | Completed | 33.33% | $190.76 | $165.84 | -13.11% | Stop | |
| 2023-05-02 | 2023-07-27 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.24% | Interest Income | |
| 2023-04-14 | 2023-05-04 | Completed | 33.33% | $171.66 | $164.91 | -3.98% | Signal | |
| 2023-04-05 | 2023-05-02 | Completed | 33.33% | $167.73 | $167.87 | 0.04% | Signal | |
| 2022-11-10 | 2023-04-14 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.91% | Interest Income | |
| 2023-03-14 | 2023-04-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2023-01-27 | 2023-03-14 | Completed | 33.33% | $180.28 | $171.28 | -5.04% | Stop | |
| 2022-11-14 | 2023-01-27 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.87% | Interest Income | |
| 2022-09-29 | 2022-11-14 | Completed | 33.33% | $160.17 | $177.36 | 10.68% | Signal | |
| 2022-11-01 | 2022-11-10 | Completed | 33.33% | $176.84 | $173.60 | -1.88% | Stop | |
| 2022-11-01 | 2022-11-10 | Completed | 33.33% | $176.84 | $173.60 | -1.88% | Stop | |
| 2022-09-12 | 2022-11-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.51% | Interest Income | |
| 2022-01-28 | 2022-11-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.35% | Interest Income | |
| 2022-01-31 | 2022-09-29 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.00% | Interest Income | |
| 2022-06-02 | 2022-09-12 | Completed | 33.33% | $174.85 | $179.12 | 2.39% | Signal | |
| 2022-05-10 | 2022-06-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2022-02-14 | 2022-05-10 | Completed | 33.33% | $190.61 | $168.20 | -11.80% | Stop | |
| 2022-01-21 | 2022-02-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2022-01-12 | 2022-01-31 | Completed | 33.33% | $206.58 | $183.77 | -11.09% | Stop | |
| 2022-01-12 | 2022-01-28 | Completed | 33.33% | $206.58 | $181.23 | -12.32% | Signal | |
| 2021-01-26 | 2022-01-21 | Completed | 33.33% | $202.56 | $188.85 | -6.82% | Stop | |
| 2021-12-20 | 2022-01-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-12-20 | 2022-01-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-11-03 | 2021-12-20 | Completed | 33.33% | $220.69 | $200.50 | -9.19% | Stop | |
| 2020-10-02 | 2021-12-20 | Completed | 33.33% | $139.49 | $200.50 | 43.67% | Stop | |
| 2021-09-21 | 2021-11-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-06-30 | 2021-09-21 | Completed | 33.33% | $130.83 | $205.57 | 57.05% | Signal | |
| 2020-02-26 | 2021-01-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2020-04-21 | 2020-10-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2020-03-31 | 2020-06-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2020-03-24 | 2020-04-21 | Completed | 33.33% | $97.29 | $108.84 | 11.81% | Signal | |
| 2020-03-24 | 2020-03-31 | Completed | 33.33% | $97.29 | $106.22 | 9.13% | Signal | |
| 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 | |
| 2019-11-14 | 2020-03-02 | Completed | 33.33% | $145.29 | $136.62 | -6.01% | Stop | |
| 2019-07-23 | 2020-03-02 | Completed | 33.33% | $141.43 | $136.62 | -3.45% | Stop | |
| 2019-12-26 | 2020-02-26 | Completed | 33.33% | $154.04 | $145.01 | -5.91% | Stop | |
| 2019-08-02 | 2019-12-26 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.70% | Interest Income | |
| 2019-07-25 | 2019-11-14 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.57% | Interest Income | |
| 2019-01-17 | 2019-08-02 | Completed | 33.33% | $131.19 | $140.58 | 7.11% | Signal | |
| 2019-02-20 | 2019-07-25 | Completed | 33.33% | $142.73 | $144.09 | 0.90% | Signal | |
| 2019-05-30 | 2019-07-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 2019-02-20 | 2019-05-30 | Completed | 33.33% | $142.73 | $135.88 | -4.84% | Stop | |
| 2018-12-20 | 2019-02-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income | |
| 2018-10-24 | 2019-02-20 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.75% | Interest Income | |
| 2018-12-24 | 2019-01-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-11-20 | 2018-12-24 | Completed | 33.33% | $133.71 | $116.37 | -13.01% | Stop | |
| 2018-11-15 | 2018-12-20 | Completed | 33.33% | $134.84 | $121.75 | -9.75% | Stop | |
| 2018-10-29 | 2018-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-10-24 | 2018-11-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-11-15 | 2018-10-29 | Completed | 33.33% | $113.99 | $135.42 | 18.74% | Stop | |
| 2016-07-28 | 2018-10-24 | Completed | 33.33% | $106.64 | $137.50 | 28.87% | Stop | |
| 2016-05-10 | 2018-10-24 | Completed | 33.33% | $97.97 | $137.50 | 40.28% | Stop | |
| 2016-04-22 | 2016-11-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2015-11-06 | 2016-07-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income | |
| 2015-08-25 | 2016-05-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2016-02-08 | 2016-04-22 | Completed | 33.33% | $84.86 | $99.13 | 16.75% | Signal | |
| 2016-01-14 | 2016-02-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-10-22 | 2016-01-14 | Completed | 33.33% | $99.65 | $88.23 | -11.51% | Stop | |
| 2015-09-17 | 2015-11-06 | Completed | 33.33% | $101.55 | $102.79 | 1.17% | Signal | |
| 2015-09-30 | 2015-10-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-10-27 | 2015-09-30 | Completed | 33.33% | $61.63 | $94.49 | 53.24% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-12-29 | 2015-08-25 | Completed | 33.33% | $104.01 | $99.05 | -4.81% | Stop | |
| 2014-11-05 | 2015-08-25 | Completed | 33.33% | $100.22 | $99.05 | -1.21% | Stop | |
| 2014-10-14 | 2014-12-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-10-14 | 2014-11-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-08-14 | 2014-10-14 | Completed | 33.33% | $97.25 | $90.39 | -7.09% | Signal | |
| 2012-06-27 | 2014-10-14 | Completed | 33.33% | $63.37 | $90.39 | 42.56% | Stop | |
| 2014-06-10 | 2014-08-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-09-06 | 2014-06-10 | Completed | 33.33% | $68.47 | $99.53 | 45.28% | Signal | |
| 2012-06-05 | 2012-09-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2012-06-05 | 2012-06-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-03-22 | 2012-06-05 | Completed | 33.33% | $67.52 | $60.45 | -10.53% | Stop | |
| 2011-12-29 | 2012-06-05 | Completed | 33.33% | $60.65 | $60.45 | -0.38% | Stop | |
| 2011-10-04 | 2012-03-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-08-03 | 2011-12-29 | 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% | $58.63 | $53.03 | -9.60% | Stop | |
| 2011-08-26 | 2011-10-04 | Completed | 33.33% | $54.84 | $49.38 | -10.02% | Stop | |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-04 | 2011-08-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-18 | 2011-08-08 | Completed | 33.33% | $53.77 | $56.27 | 4.59% | Stop | |
| 2010-06-01 | 2011-08-04 | Completed | 33.33% | $52.67 | $62.03 | 17.70% | Stop | |
| 2010-10-19 | 2011-08-03 | Completed | 33.33% | $56.56 | $62.53 | 10.50% | Signal | |
| 2010-08-02 | 2010-10-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2010-06-01 | 2010-08-02 | Completed | 33.33% | $52.67 | $53.31 | 1.15% | Signal | |
| 2010-05-26 | 2010-06-18 | 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 | 2010-05-26 | Completed | 33.33% | $50.25 | $51.74 | 2.91% | Stop | |
| 2009-08-14 | 2010-05-07 | Completed | 33.33% | $45.76 | $53.56 | 16.99% | Stop | |
| 2009-05-28 | 2010-05-07 | Completed | 33.33% | $39.30 | $53.56 | 36.21% | Stop | |
| 2009-10-29 | 2010-02-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2009-09-15 | 2009-10-29 | Completed | 33.33% | $47.76 | $45.73 | -4.29% | Stop | |
| 2008-05-28 | 2009-09-15 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income | |
| 2007-11-14 | 2009-08-14 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.91% | Interest Income | |
| 2008-09-12 | 2009-05-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income | |
| 2008-06-10 | 2008-09-12 | Completed | 33.33% | $56.94 | $55.83 | -2.00% | Signal | |
| 2007-08-17 | 2008-06-10 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.17% | Interest Income | |
| 2008-02-01 | 2008-05-28 | Completed | 33.33% | $55.54 | $57.43 | 3.36% | Signal | |
| 2008-01-09 | 2008-02-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2003-06-02 | 2008-01-09 | Completed | 33.33% | $32.73 | $54.45 | 66.28% | Stop | |
| 2007-09-11 | 2007-11-14 | Completed | 33.33% | $59.75 | $61.44 | 2.78% | Signal | |
| 2007-08-17 | 2007-09-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2007-01-05 | 2007-08-17 | Completed | 33.33% | $60.17 | $61.32 | 1.86% | Stop | |
| 2006-10-23 | 2007-08-17 | Completed | 33.33% | $57.87 | $61.32 | 5.92% | Stop | |
| 2006-10-10 | 2007-01-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.16% | Interest Income | |
| 2006-06-14 | 2006-10-23 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.78% | Interest Income | |
| 2006-07-07 | 2006-10-10 | Completed | 33.33% | $54.70 | $56.91 | 3.99% | Signal | |
| 2006-06-14 | 2006-07-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2006-01-11 | 2006-06-14 | Completed | 33.33% | $53.92 | $51.03 | -5.42% | Stop | |
| 2004-12-02 | 2006-06-14 | Completed | 33.33% | $47.99 | $51.03 | 6.27% | Stop | |
| 2005-12-06 | 2006-01-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income | |
| 2005-07-20 | 2005-12-06 | Completed | 33.33% | $50.17 | $52.12 | 3.83% | Signal | |
| 2005-04-22 | 2005-07-20 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.72% | Interest Income | |
| 2004-11-02 | 2005-04-22 | Completed | 33.33% | $43.97 | $44.93 | 2.15% | Signal | |
| 2004-10-01 | 2004-12-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2004-06-10 | 2004-11-02 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income | |
| 2004-08-31 | 2004-10-01 | Completed | 33.33% | $40.70 | $42.95 | 5.50% | Signal | |
| 2004-08-09 | 2004-08-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2003-06-02 | 2004-08-09 | Completed | 33.33% | $32.73 | $38.86 | 18.67% | Stop | |
| 2003-05-20 | 2004-06-10 | Completed | 33.33% | $30.15 | $42.51 | 40.93% | Signal | |
| 2002-09-11 | 2003-06-02 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.91% | Interest Income | |
| 2002-05-24 | 2003-06-02 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.41% | Interest Income | |
| 2003-03-13 | 2003-05-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income | |
| 2003-01-09 | 2003-03-13 | Completed | 33.33% | $28.69 | $25.74 | -10.33% | Stop | |
| 2002-07-05 | 2003-01-09 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income | |
| 2002-07-29 | 2002-09-11 | Completed | 33.33% | $28.58 | $29.20 | 2.12% | Signal | |
| 2002-07-05 | 2002-07-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2002-05-29 | 2002-07-05 | Completed | 33.33% | $35.64 | $31.44 | -11.81% | Stop | |
| 2002-05-29 | 2002-07-05 | Completed | 33.33% | $35.64 | $31.44 | -11.81% | Stop | |
| 2002-05-24 | 2002-05-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2002-05-24 | 2002-05-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |