JEPI
J.P. Morgan Equity Premium Income ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for JEPI (J.P. Morgan Equity Premium Income ETF) using the Excess Return MMA* strategy in a Trading context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -10.1% (compared to the benchmark's drawdown of -13.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 5.8%, compared to a Buy-and-Hold benchmark return of 9.4%. The strategy executed 42 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.
Available in Investing Mode
Moving Average (50/200)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
Available in Investing Mode
JEPI Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 5.19% | 7.63% | 3.45% | 7.21% | 5.77% | 9.37% |
| Sharpe Ratio | 0.83 | 0.92 | 0.56 | 0.63 | 0.89 | 0.84 |
| Max Drawdown | -5.16% | -6.68% | -10.13% | -13.71% | -10.13% | -13.71% |
| % Time Invested | 92.9% | 100.0% | 93.3% | 100.0% | 94.0% | 100.0% |
| Trades / Year | 4.0 | 0.0 | 7.6 | 0.0 | 7.4 | 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 | ||||||||
| 2025-05-01 | 2026-05-22 | Completed | 33.33% | $50.39 | $55.49 | 10.05% | Signal | |
| 2026-04-13 | 2026-05-05 | Completed | 33.33% | $56.22 | $55.94 | -0.55% | Signal | |
| 2026-03-11 | 2026-04-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 2025-05-01 | 2026-04-07 | Completed | 33.33% | $50.39 | $55.39 | 9.85% | Signal | |
| 2025-12-04 | 2026-03-11 | Completed | 33.33% | $54.81 | $56.54 | 3.11% | Signal | |
| 2025-11-11 | 2025-12-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income | |
| 2025-10-21 | 2025-11-11 | Completed | 33.33% | $53.84 | $53.72 | -0.28% | Signal | |
| 2025-09-29 | 2025-10-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2025-08-28 | 2025-09-29 | Completed | 33.33% | $53.18 | $53.36 | 0.30% | Signal | |
| 2025-08-06 | 2025-08-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-04-25 | 2025-08-06 | Completed | 33.33% | $49.36 | $51.97 | 5.24% | Signal | |
| 2025-04-02 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2025-03-10 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.62% | Interest Income | |
| 2025-03-07 | 2025-04-25 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.57% | Interest Income | |
| 2025-02-28 | 2025-04-02 | Completed | 33.33% | $52.32 | $50.76 | -3.04% | Signal | |
| 2024-01-22 | 2025-03-10 | Completed | 33.33% | $45.60 | $51.51 | 12.90% | Signal | |
| 2025-01-22 | 2025-03-07 | Completed | 33.33% | $52.21 | $51.63 | -1.16% | Signal | |
| 2025-01-14 | 2025-02-28 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income | |
| 2024-12-19 | 2025-01-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2024-09-06 | 2025-01-14 | Completed | 33.33% | $49.87 | $50.74 | 1.71% | Signal | |
| 2024-11-26 | 2024-12-19 | Completed | 33.33% | $52.89 | $50.96 | -3.70% | Signal | |
| 2024-11-04 | 2024-11-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2024-08-28 | 2024-11-04 | Completed | 33.33% | $49.89 | $50.98 | 2.13% | Signal | |
| 2024-08-14 | 2024-09-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2024-08-06 | 2024-08-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2024-06-18 | 2024-08-14 | Completed | 33.33% | $47.61 | $48.56 | 1.94% | Signal | |
| 2024-08-02 | 2024-08-06 | Completed | 33.33% | $48.31 | $47.21 | -2.33% | Signal | |
| 2024-07-11 | 2024-08-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2024-06-28 | 2024-07-11 | Completed | 33.33% | $48.04 | $47.83 | -0.47% | Signal | |
| 2024-06-05 | 2024-06-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2024-05-13 | 2024-06-18 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.53% | Interest Income | |
| 2024-05-08 | 2024-06-05 | Completed | 33.33% | $47.59 | $47.74 | 0.27% | Signal | |
| 2023-12-11 | 2024-05-13 | Completed | 33.33% | $44.40 | $48.03 | 8.11% | Signal | |
| 2024-04-12 | 2024-05-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income | |
| 2023-11-21 | 2024-04-12 | Completed | 33.33% | $43.93 | $47.25 | 7.51% | Signal | |
| 2023-10-26 | 2024-01-22 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.24% | Interest Income | |
| 2023-09-26 | 2023-12-11 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.14% | Interest Income | |
| 2023-10-30 | 2023-11-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-10-20 | 2023-10-30 | Completed | 33.33% | $42.66 | $41.63 | -2.46% | Signal | |
| 2023-06-09 | 2023-10-26 | Completed | 33.33% | $42.73 | $41.97 | -1.83% | Signal | |
| 2023-09-26 | 2023-10-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2023-09-07 | 2023-09-26 | Completed | 33.33% | $43.83 | $43.12 | -1.68% | Signal | |
| 2023-04-03 | 2023-09-26 | Completed | 33.33% | $41.87 | $43.12 | 2.93% | Signal | |
| 2023-08-15 | 2023-09-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-06-14 | 2023-08-15 | Completed | 33.33% | $42.82 | $44.02 | 2.74% | Signal | |
| 2023-05-17 | 2023-06-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income | |
| 2023-04-27 | 2023-06-09 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.62% | Interest Income | |
| 2023-03-30 | 2023-05-17 | Completed | 33.33% | $41.55 | $42.43 | 2.06% | Signal | |
| 2023-01-04 | 2023-04-27 | Completed | 33.33% | $41.21 | $42.04 | 1.97% | Signal | |
| 2023-02-28 | 2023-04-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.45% | Interest Income | |
| 2023-02-02 | 2023-03-30 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.73% | Interest Income | |
| 2022-11-23 | 2023-02-28 | Completed | 33.33% | $41.51 | $41.07 | -1.11% | Signal | |
| 2023-01-17 | 2023-02-02 | Completed | 33.33% | $42.04 | $41.86 | -0.47% | Signal | |
| 2022-12-21 | 2023-01-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.28% | Interest Income | |
| 2022-04-07 | 2023-01-04 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.01% | Interest Income | |
| 2022-10-25 | 2022-12-21 | Completed | 33.33% | $38.74 | $40.99 | 5.73% | Signal | |
| 2022-10-03 | 2022-11-23 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.58% | Interest Income | |
| 2022-09-02 | 2022-10-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income | |
| 2022-08-09 | 2022-10-03 | Completed | 33.33% | $40.82 | $37.36 | -8.52% | Signal | |
| 2022-07-13 | 2022-09-02 | Completed | 33.33% | $38.91 | $40.09 | 2.96% | Signal | |
| 2022-05-27 | 2022-08-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income | |
| 2022-06-17 | 2022-07-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2022-06-01 | 2022-06-17 | Completed | 33.33% | $40.50 | $37.22 | -8.14% | Stop | |
| 2022-04-28 | 2022-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2022-04-11 | 2022-05-27 | Completed | 33.33% | $42.66 | $40.27 | -5.64% | Signal | |
| 2022-03-21 | 2022-04-28 | Completed | 33.33% | $41.70 | $41.28 | -1.05% | Signal | |
| 2022-02-22 | 2022-04-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2020-11-18 | 2022-04-07 | Completed | 33.33% | $34.33 | $42.40 | 23.45% | Signal | |
| 2022-02-25 | 2022-03-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2022-02-14 | 2022-02-25 | Completed | 33.33% | $40.57 | $40.03 | -1.37% | Signal | |
| 2021-11-16 | 2022-02-22 | Completed | 33.33% | $41.24 | $40.23 | -2.48% | Signal | |
| 2022-01-21 | 2022-02-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-12-27 | 2022-01-21 | Completed | 33.33% | $42.17 | $40.79 | -3.32% | Signal | |
| 2021-12-02 | 2021-12-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-10-18 | 2021-12-02 | Completed | 33.33% | $40.40 | $40.07 | -0.87% | Signal | |
| 2021-10-14 | 2021-11-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-09-15 | 2021-10-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-11-18 | 2021-10-14 | Completed | 33.33% | $34.33 | $40.04 | 16.58% | Signal | |
| 2021-03-15 | 2021-09-15 | Completed | 33.33% | $36.21 | $40.23 | 11.06% | Signal | |
| 2021-02-10 | 2021-03-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-11-18 | 2021-02-10 | Completed | 33.33% | $34.33 | $35.54 | 3.48% | Signal | |
| 2020-11-16 | 2020-11-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-11-16 | 2020-11-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-11-16 | 2020-11-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |