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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -24.7% (compared to the benchmark's drawdown of -58.8%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.9%, compared to a Buy-and-Hold benchmark return of 10.8%. The strategy executed 15 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
IWR Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 16.93% | 16.93% | 1.90% | 8.06% | 6.97% | 11.31% | 8.92% | 10.84% |
| Sharpe Ratio | 1.15 | 1.15 | 0.15 | 0.43 | 0.54 | 0.55 | 0.67 | 0.51 |
| Max Drawdown | -8.17% | -8.17% | -21.63% | -26.18% | -21.63% | -40.59% | -24.66% | -58.83% |
| % Time Invested | 100.0% | 100.0% | 72.0% | 100.0% | 78.6% | 100.0% | 77.4% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.5 | 0.0 | 0.7 | 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 | 2025-07-07 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.04% | Interest Income | |
| 2023-12-20 | 2025-04-07 | Completed | 100% | $75.00 | $73.66 | -1.85% | Stop | |
| 2023-10-24 | 2023-12-20 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.85% | Interest Income | |
| 2023-06-08 | 2023-10-24 | Completed | 100% | $67.60 | $64.24 | -5.02% | Signal | |
| 2023-05-16 | 2023-06-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2023-01-17 | 2023-05-16 | Completed | 100% | $67.95 | $65.41 | -3.79% | Signal | |
| 2022-02-09 | 2023-01-17 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.23% | Interest Income | |
| 2020-07-29 | 2022-02-09 | Completed | 100% | $51.87 | $73.60 | 41.81% | Signal | |
| 2020-03-02 | 2020-07-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2019-03-25 | 2020-03-02 | Completed | 100% | $47.82 | $49.64 | 3.76% | Stop | |
| 2018-11-21 | 2019-03-25 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.78% | Interest Income | |
| 2016-04-28 | 2018-11-21 | Completed | 100% | $35.68 | $44.70 | 25.24% | Signal | |
| 2015-08-25 | 2016-04-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2012-02-09 | 2015-08-25 | Completed | 100% | $21.73 | $34.00 | 56.41% | Stop | |
| 2011-08-08 | 2012-02-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-09-20 | 2011-08-08 | Completed | 100% | $17.41 | $18.23 | 4.65% | Stop | |
| 2010-08-26 | 2010-09-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-06-01 | 2010-08-26 | Completed | 100% | $16.57 | $16.18 | -2.38% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-06-12 | 2010-05-07 | Completed | 100% | $12.89 | $16.95 | 31.45% | Stop | |
| 2008-07-15 | 2009-06-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 2008-06-18 | 2008-07-15 | Completed | 100% | $19.05 | $16.83 | -11.70% | Signal | |
| 2007-12-12 | 2008-06-18 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.02% | Interest Income | |
| 2007-10-19 | 2007-12-12 | Completed | 100% | $20.47 | $20.11 | -1.82% | Signal | |
| 2007-09-27 | 2007-10-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2006-09-06 | 2007-09-27 | Completed | 100% | $16.89 | $20.21 | 19.59% | Signal | |
| 2006-07-28 | 2006-09-06 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.53% | Interest Income | |
| 2004-10-18 | 2006-07-28 | Completed | 100% | $12.51 | $16.35 | 30.57% | Signal | |
| 2004-09-02 | 2004-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.21% | Interest Income | |
| 2003-08-27 | 2004-09-02 | Completed | 100% | $10.36 | $12.27 | 18.37% | Signal | |
| 2003-08-25 | 2003-08-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |