IWR
iShares Russell Mid-Cap ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for IWR (iShares Russell Mid-Cap ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -21.3% (compared to the benchmark's drawdown of -58.8%). 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 49 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.
IWR Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 16.30% | 16.93% | 3.81% | 8.06% | 9.97% | 11.31% | 10.74% | 10.84% |
| Sharpe Ratio | 1.16 | 1.15 | 0.33 | 0.43 | 0.79 | 0.55 | 0.83 | 0.51 |
| Max Drawdown | -8.17% | -8.17% | -21.14% | -26.18% | -21.14% | -40.59% | -21.34% | -58.83% |
| % Time Invested | 100.0% | 100.0% | 91.2% | 100.0% | 94.6% | 100.0% | 92.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 2.2 | 0.0 | 2.1 | 0.0 | 2.1 | 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 | ||||||||
| 2025-06-11 | 2025-09-29 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.26% | Interest Income | |
| 2025-03-14 | 2025-07-11 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.38% | Interest Income | |
| 2025-04-07 | 2025-06-11 | Completed | 33.33% | $73.66 | $89.40 | 21.31% | Signal | |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-03-14 | 2025-04-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-03-13 | 2025-04-07 | Completed | 33.33% | $79.63 | $73.66 | -7.55% | Stop | |
| 2024-09-13 | 2025-03-14 | Completed | 33.33% | $83.22 | $82.17 | -1.31% | Stop | |
| 2023-11-17 | 2025-03-14 | Completed | 33.33% | $68.38 | $82.17 | 20.10% | Stop | |
| 2024-08-21 | 2024-09-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 2024-01-12 | 2024-08-21 | Completed | 33.33% | $74.67 | $82.62 | 10.60% | Signal | |
| 2022-09-26 | 2024-03-13 | Interest (CASH) | 33.33% | $1.00 | $1.07 | 7.49% | Interest Income | |
| 2023-10-26 | 2024-01-12 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.13% | Interest Income | |
| 2023-10-26 | 2023-11-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-07-25 | 2023-10-26 | Completed | 33.33% | $72.37 | $63.31 | -12.57% | Stop | |
| 2023-04-10 | 2023-10-26 | Completed | 33.33% | $65.38 | $63.31 | -3.22% | Stop | |
| 2023-05-09 | 2023-07-25 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.09% | Interest Income | |
| 2023-01-18 | 2023-05-09 | Completed | 33.33% | $68.25 | $65.36 | -4.28% | Signal | |
| 2022-04-22 | 2023-04-10 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.22% | Interest Income | |
| 2022-01-25 | 2023-01-18 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.26% | Interest Income | |
| 2022-06-07 | 2022-09-26 | Completed | 33.33% | $67.52 | $59.87 | -11.37% | Stop | |
| 2022-05-13 | 2022-06-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2022-03-21 | 2022-05-13 | Completed | 33.33% | $72.74 | $64.58 | -11.26% | Stop | |
| 2022-02-16 | 2022-04-22 | Completed | 33.33% | $72.65 | $71.93 | -1.04% | Signal | |
| 2022-02-25 | 2022-03-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-04-01 | 2022-02-25 | Completed | 33.33% | $38.28 | $70.16 | 83.18% | Stop | |
| 2022-01-25 | 2022-02-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-09-24 | 2022-01-25 | Completed | 33.33% | $51.17 | $70.35 | 37.40% | Stop | |
| 2020-06-29 | 2022-01-25 | Completed | 33.33% | $48.42 | $70.35 | 45.23% | Stop | |
| 2020-04-28 | 2020-09-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2020-04-01 | 2020-06-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-03-24 | 2020-04-28 | Completed | 33.33% | $35.63 | $45.69 | 28.17% | Signal | |
| 2020-03-24 | 2020-04-01 | Completed | 33.33% | $35.63 | $38.28 | 7.39% | 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 | |
| 2019-01-15 | 2020-03-10 | Completed | 33.33% | $43.78 | $46.08 | 5.19% | Stop | |
| 2019-06-17 | 2020-03-02 | Completed | 33.33% | $49.78 | $49.64 | -0.32% | Stop | |
| 2019-03-25 | 2020-03-02 | Completed | 33.33% | $47.82 | $49.64 | 3.76% | Stop | |
| 2018-12-18 | 2019-06-17 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.17% | Interest Income | |
| 2018-11-15 | 2019-03-25 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.82% | Interest Income | |
| 2018-12-20 | 2019-01-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-11-15 | 2018-12-20 | Completed | 33.33% | $37.75 | $41.65 | 10.30% | Stop | |
| 2016-07-13 | 2018-12-18 | Completed | 33.33% | $37.34 | $42.86 | 14.72% | Stop | |
| 2018-06-29 | 2018-11-15 | Completed | 33.33% | $47.15 | $45.10 | -4.40% | Signal | |
| 2018-05-04 | 2018-06-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2016-04-28 | 2018-05-04 | Completed | 33.33% | $35.68 | $45.24 | 26.75% | Signal | |
| 2016-05-13 | 2016-11-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2015-10-22 | 2016-07-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2016-02-12 | 2016-05-13 | Completed | 33.33% | $30.16 | $35.12 | 16.37% | Signal | |
| 2015-08-06 | 2016-04-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2016-01-21 | 2016-02-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2016-01-21 | Completed | 33.33% | $34.72 | $30.70 | -11.62% | Stop | |
| 2015-09-17 | 2015-10-22 | Completed | 33.33% | $34.72 | $34.64 | -0.28% | 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 | |
| 2012-03-22 | 2015-08-25 | Completed | 33.33% | $22.06 | $34.00 | 54.05% | Stop | |
| 2011-08-30 | 2015-08-25 | Completed | 33.33% | $19.12 | $34.00 | 77.74% | Stop | |
| 2012-09-12 | 2015-08-06 | Completed | 33.33% | $22.66 | $36.20 | 59.69% | Signal | |
| 2012-07-03 | 2012-09-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-12-30 | 2012-07-03 | Completed | 33.33% | $19.80 | $21.37 | 7.87% | Signal | |
| 2011-10-04 | 2012-03-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-08-05 | 2011-12-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-08-29 | 2011-10-04 | Completed | 33.33% | $18.81 | $16.73 | -11.09% | Stop | |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-05 | 2011-08-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-08 | Completed | 33.33% | $16.57 | $18.23 | 9.99% | Stop | |
| 2010-10-07 | 2011-08-05 | Completed | 33.33% | $18.00 | $19.27 | 6.98% | Stop | |
| 2010-06-01 | 2011-08-05 | Completed | 33.33% | $16.57 | $19.27 | 16.26% | Stop | |
| 2010-07-29 | 2010-10-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2010-06-01 | 2010-07-29 | Completed | 33.33% | $16.57 | $16.98 | 2.43% | 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 | |
| 2009-09-15 | 2010-05-07 | Completed | 33.33% | $15.02 | $16.95 | 12.79% | Stop | |
| 2009-08-04 | 2010-05-07 | Completed | 33.33% | $13.87 | $16.95 | 22.14% | Stop | |
| 2009-05-13 | 2010-05-07 | Completed | 33.33% | $12.07 | $16.95 | 40.34% | Stop | |
| 2008-07-16 | 2009-09-15 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income | |
| 2007-12-10 | 2009-08-04 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.69% | Interest Income | |
| 2008-08-21 | 2009-05-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2008-07-30 | 2008-08-21 | Completed | 33.33% | $17.62 | $17.66 | 0.17% | Signal | |
| 2008-07-08 | 2008-07-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2008-02-11 | 2008-07-16 | Completed | 33.33% | $17.91 | $16.89 | -5.74% | Stop | |
| 2008-06-04 | 2008-07-08 | Completed | 33.33% | $19.29 | $17.29 | -10.39% | Stop | |
| 2007-08-17 | 2008-06-04 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.14% | Interest Income | |
| 2008-01-17 | 2008-02-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2003-09-05 | 2008-01-17 | Completed | 33.33% | $10.75 | $17.85 | 66.03% | Stop | |
| 2007-09-11 | 2007-12-10 | Completed | 33.33% | $19.34 | $20.11 | 3.91% | Signal | |
| 2007-08-17 | 2007-09-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2006-12-19 | 2007-08-17 | Completed | 33.33% | $18.46 | $19.12 | 3.52% | Stop | |
| 2006-09-06 | 2007-08-17 | Completed | 33.33% | $16.89 | $19.12 | 13.12% | Stop | |
| 2006-10-09 | 2006-12-19 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.98% | Interest Income | |
| 2003-08-27 | 2006-10-09 | Completed | 33.33% | $10.36 | $17.43 | 68.15% | Signal | |
| 2006-07-03 | 2006-09-06 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.89% | Interest Income | |
| 2005-07-05 | 2006-07-03 | Completed | 33.33% | $14.91 | $16.89 | 13.19% | Signal | |
| 2005-06-10 | 2005-07-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income | |
| 2004-10-25 | 2005-06-10 | Completed | 33.33% | $12.53 | $14.68 | 17.08% | Signal | |
| 2004-07-01 | 2004-10-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income | |
| 2003-08-27 | 2004-07-01 | Completed | 33.33% | $10.36 | $12.70 | 22.52% | Signal | |
| 2003-08-25 | 2003-09-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2003-08-25 | 2003-08-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2003-08-25 | 2003-08-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |