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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -41.7% (compared to the benchmark's drawdown of -58.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 6.1%, compared to a Buy-and-Hold benchmark return of 9.1%. The strategy executed 19 total trades.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
📊 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 Active
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.
🎯 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
IWM Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 32.28% | 32.28% | 5.03% | 7.17% | 3.50% | 10.66% | 6.09% | 9.10% |
| Sharpe Ratio | 1.46 | 1.46 | 0.28 | 0.31 | 0.22 | 0.44 | 0.36 | 0.37 |
| Max Drawdown | -11.03% | -11.03% | -34.02% | -31.91% | -41.66% | -41.13% | -41.66% | -58.64% |
| % Time Invested | 100.0% | 100.0% | 63.6% | 100.0% | 64.2% | 100.0% | 71.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.0 | 0.0 | 1.0 | 0.0 | 0.8 | 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 | ||||||||
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-03-27 | 2025-04-08 | Completed | 100% | $202.66 | $183.27 | -9.61% | Stop | |
| 2025-03-05 | 2025-03-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-04-19 | 2025-03-05 | Completed | 100% | $187.30 | $203.31 | 8.50% | Stop | |
| 2022-11-10 | 2024-04-19 | Interest (CASH) | 100% | $1.00 | $1.08 | 7.55% | Interest Income | |
| 2022-11-01 | 2022-11-10 | Completed | 100% | $176.84 | $173.60 | -1.88% | Stop | |
| 2022-09-15 | 2022-11-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.47% | Interest Income | |
| 2022-06-02 | 2022-09-15 | Completed | 100% | $174.85 | $172.77 | -1.24% | Signal | |
| 2022-05-10 | 2022-06-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2022-02-11 | 2022-05-10 | Completed | 100% | $192.52 | $168.20 | -12.68% | Stop | |
| 2022-01-20 | 2022-02-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-01-28 | 2022-01-20 | Completed | 100% | $197.45 | $194.16 | -1.72% | Stop | |
| 2020-02-26 | 2021-01-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2019-12-26 | 2020-02-26 | Completed | 100% | $154.04 | $145.01 | -5.91% | Stop | |
| 2019-08-02 | 2019-12-26 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.70% | Interest Income | |
| 2019-01-16 | 2019-08-02 | Completed | 100% | $130.90 | $140.58 | 7.34% | Signal | |
| 2018-12-21 | 2019-01-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-11-16 | 2018-12-21 | Completed | 100% | $136.76 | $120.61 | -11.85% | Stop | |
| 2018-10-25 | 2018-11-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-11-15 | 2018-10-25 | Completed | 100% | $113.99 | $133.24 | 16.83% | Stop | |
| 2016-04-25 | 2016-11-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2016-02-08 | 2016-04-25 | Completed | 100% | $84.86 | $99.85 | 17.60% | Signal | |
| 2016-01-14 | 2016-02-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2016-01-14 | Completed | 100% | $101.55 | $88.23 | -13.16% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-10-26 | 2015-08-25 | Completed | 100% | $59.43 | $99.05 | 66.60% | Stop | |
| 2011-10-04 | 2011-10-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-29 | 2011-10-04 | Completed | 100% | $57.14 | $49.38 | -13.62% | Stop | |
| 2011-08-05 | 2011-08-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-16 | 2011-08-05 | Completed | 100% | $53.32 | $59.95 | 12.38% | Stop | |
| 2010-05-24 | 2010-06-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-02-19 | 2010-05-24 | Completed | 100% | $50.25 | $52.03 | 3.49% | Stop | |
| 2009-10-29 | 2010-02-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2009-09-15 | 2009-10-29 | Completed | 100% | $47.76 | $45.73 | -4.29% | Stop | |
| 2008-05-08 | 2009-09-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.87% | Interest Income | |
| 2008-01-30 | 2008-05-08 | Completed | 100% | $54.29 | $55.94 | 2.99% | Signal | |
| 2008-01-07 | 2008-01-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2003-06-02 | 2008-01-07 | Completed | 100% | $32.73 | $56.28 | 71.86% | Stop | |
| 2002-05-24 | 2003-06-02 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.41% | Interest Income | |