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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -31.0% (compared to the benchmark's drawdown of -58.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 6.3%, compared to a Buy-and-Hold benchmark return of 9.1%. The strategy executed 20 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
IWM Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 34.47% | 32.28% | 2.93% | 7.17% | 6.10% | 10.66% | 6.34% | 9.10% |
| Sharpe Ratio | 1.57 | 1.46 | 0.18 | 0.31 | 0.38 | 0.44 | 0.40 | 0.37 |
| Max Drawdown | -11.03% | -11.03% | -30.39% | -31.91% | -31.04% | -41.13% | -31.04% | -58.64% |
| % Time Invested | 97.6% | 100.0% | 63.0% | 100.0% | 73.1% | 100.0% | 68.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.0 | 0.0 | 0.8 | 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 | ||||||||
| 2025-03-05 | 2025-08-05 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.80% | Interest Income | |
| 2024-01-02 | 2025-03-05 | Completed | 100% | $194.08 | $203.31 | 4.70% | Stop | |
| 2023-10-17 | 2024-01-02 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.11% | Interest Income | |
| 2023-07-05 | 2023-10-17 | Completed | 100% | $180.63 | $166.74 | -7.73% | Signal | |
| 2023-04-27 | 2023-07-05 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.96% | Interest Income | |
| 2023-04-19 | 2023-04-27 | Completed | 100% | $170.45 | $165.59 | -2.90% | Signal | |
| 2023-03-27 | 2023-04-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2023-01-23 | 2023-03-27 | Completed | 100% | $177.84 | $167.33 | -5.95% | Stop | |
| 2022-11-10 | 2023-01-23 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.83% | Interest Income | |
| 2022-11-01 | 2022-11-10 | Completed | 100% | $176.84 | $173.60 | -1.88% | Stop | |
| 2022-01-20 | 2022-11-01 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.35% | Interest Income | |
| 2020-08-12 | 2022-01-20 | Completed | 100% | $147.57 | $194.16 | 31.51% | Stop | |
| 2020-03-02 | 2020-08-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2019-11-07 | 2020-03-02 | Completed | 100% | $146.95 | $136.62 | -7.07% | Stop | |
| 2019-10-09 | 2019-11-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2019-02-20 | 2019-10-09 | Completed | 100% | $142.73 | $135.73 | -4.95% | Signal | |
| 2018-10-25 | 2019-02-20 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.74% | Interest Income | |
| 2016-05-23 | 2018-10-25 | Completed | 100% | $97.19 | $133.24 | 37.02% | Stop | |
| 2015-08-25 | 2016-05-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2014-12-17 | 2015-08-25 | Completed | 100% | $97.62 | $99.05 | 1.42% | Stop | |
| 2014-10-02 | 2014-12-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-02-08 | 2014-10-02 | Completed | 100% | $68.11 | $92.59 | 35.88% | Signal | |
| 2011-08-05 | 2012-02-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-10-25 | 2011-08-05 | Completed | 100% | $57.21 | $59.95 | 4.73% | Stop | |
| 2010-08-11 | 2010-10-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2010-06-16 | 2010-08-11 | Completed | 100% | $53.32 | $51.02 | -4.36% | Signal | |
| 2010-05-24 | 2010-06-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-06-19 | 2010-05-24 | Completed | 100% | $41.02 | $52.03 | 26.79% | Stop | |
| 2008-10-03 | 2009-06-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2008-09-16 | 2008-10-03 | Completed | 100% | $53.08 | $50.49 | -4.92% | Stop | |
| 2007-09-12 | 2008-09-16 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.37% | Interest Income | |
| 2006-10-19 | 2007-09-12 | Completed | 100% | $58.16 | $60.13 | 3.34% | Signal | |
| 2006-07-25 | 2006-10-19 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.19% | Interest Income | |
| 2005-06-29 | 2006-07-25 | Completed | 100% | $48.36 | $52.59 | 8.68% | Signal | |
| 2005-06-01 | 2005-06-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.24% | Interest Income | |
| 2004-11-01 | 2005-06-01 | Completed | 100% | $43.69 | $46.35 | 6.03% | Signal | |
| 2004-08-10 | 2004-11-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.38% | Interest Income | |
| 2003-05-13 | 2004-08-10 | Completed | 100% | $30.75 | $38.72 | 25.87% | Signal | |
| 2002-07-12 | 2003-05-13 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.13% | Interest Income | |
| 2002-05-29 | 2002-07-12 | Completed | 100% | $35.64 | $30.29 | -15.04% | Stop | |
| 2002-05-24 | 2002-05-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |