JEPQ J.P. Morgan NASDAQ Equity Premium Income ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for JEPQ (J.P. Morgan NASDAQ Equity Premium Income ETF) using the Excess Return MMA CA* strategy in a Trading context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -13.6% (compared to the benchmark's drawdown of -20.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 15.8%, compared to a Buy-and-Hold benchmark return of 23.6%. The strategy executed 24 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
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
JEPQ Quality Metrics & KPI Summary
| Metric | 1Y | Full History | ||
|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | |
| CAGR | 26.48% | 29.47% | 15.80% | 23.56% |
| Sharpe Ratio | 2.49 | 2.21 | 1.48 | 1.41 |
| Max Drawdown | -4.45% | -8.82% | -13.55% | -20.07% |
| % Time Invested | 100.0% | 100.0% | 97.1% | 100.0% |
| Trades / Year | 3.0 | 0.0 | 6.7 | 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 / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| 2026-04-17 | Open | Open | 33.33% | $58.09 | $61.15 | 5.26% | Mark-to-Market |
| 2026-04-14 | Open | Open | 33.33% | $57.57 | $61.15 | 6.23% | Mark-to-Market |
| 2025-05-01 | Open | Open | 33.33% | $45.89 | $61.15 | 33.26% | Mark-to-Market |
| 2026-03-16 | 2026-04-17 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2026-03-13 | 2026-04-14 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2025-05-01 | 2026-03-16 | Completed | 33.33% | $45.89 | $55.99 | 22.02% | Signal |
| 2026-03-09 | 2026-03-13 | Completed | 33.33% | $55.22 | $55.96 | 1.33% | Signal |
| 2026-03-03 | 2026-03-09 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2026-02-12 | 2026-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2026-01-23 | 2026-02-12 | Completed | 33.33% | $56.90 | $56.91 | 0.03% | Signal |
| 2025-12-30 | 2026-01-23 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2025-12-12 | 2025-12-30 | Completed | 33.33% | $56.18 | $56.45 | 0.48% | Signal |
| 2025-11-19 | 2025-12-12 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2025-05-01 | 2025-11-19 | Completed | 33.33% | $45.89 | $53.73 | 17.10% | Signal |
| 2025-04-08 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.21% | Interest Income |
| 2025-04-04 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2025-03-12 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2025-04-03 | 2025-04-08 | Completed | 33.33% | $44.43 | $42.58 | -4.16% | Stop |
| 2024-11-08 | 2025-04-04 | Completed | 33.33% | $47.85 | $42.54 | -11.09% | Stop |
| 2025-03-05 | 2025-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.47% | Interest Income |
| 2024-09-27 | 2025-03-12 | Completed | 33.33% | $45.73 | $46.11 | 0.82% | Signal |
| 2025-01-29 | 2025-03-05 | Completed | 33.33% | $49.66 | $47.58 | -4.18% | Signal |
| 2025-01-03 | 2025-01-29 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2024-10-07 | 2025-01-03 | Completed | 33.33% | $45.72 | $48.78 | 6.71% | Signal |
| 2024-10-17 | 2024-11-08 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.68% | Interest Income |
| 2024-08-28 | 2024-10-17 | Completed | 33.33% | $44.38 | $46.43 | 4.62% | Signal |
| 2024-10-02 | 2024-10-07 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2024-09-13 | 2024-10-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2024-08-06 | 2024-09-27 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.81% | Interest Income |
| 2024-08-19 | 2024-09-13 | Completed | 33.33% | $44.05 | $44.55 | 1.14% | Signal |
| 2024-08-06 | 2024-08-28 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2024-08-02 | 2024-08-19 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2024-06-21 | 2024-08-06 | Completed | 33.33% | $44.78 | $41.17 | -8.06% | Stop |
| 2023-01-18 | 2024-08-06 | Completed | 33.33% | $29.95 | $41.17 | 37.43% | Stop |
| 2024-07-25 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2024-05-09 | 2024-07-25 | Completed | 33.33% | $42.90 | $43.40 | 1.15% | Signal |
| 2024-05-29 | 2024-06-21 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2023-11-07 | 2024-05-29 | Completed | 33.33% | $36.72 | $43.77 | 19.20% | Signal |
| 2024-04-17 | 2024-05-09 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.43% | Interest Income |
| 2023-11-21 | 2024-04-17 | Completed | 33.33% | $37.69 | $42.18 | 11.91% | Signal |
| 2023-10-30 | 2023-11-21 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2023-09-25 | 2023-11-07 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2023-10-19 | 2023-10-30 | Completed | 33.33% | $36.01 | $34.77 | -3.42% | Signal |
| 2023-09-27 | 2023-10-19 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2023-09-06 | 2023-09-27 | Completed | 33.33% | $36.62 | $35.17 | -3.95% | Signal |
| 2023-02-22 | 2023-09-25 | Completed | 33.33% | $30.14 | $35.25 | 16.94% | Signal |
| 2023-08-14 | 2023-09-06 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income |
| 2023-03-21 | 2023-08-14 | Completed | 33.33% | $31.42 | $35.66 | 13.49% | Signal |
| 2023-02-27 | 2023-03-21 | Interest (FLOT) | 33.33% | $1.00 | $0.99 | -1.16% | Interest Income |
| 2023-01-17 | 2023-02-27 | Completed | 33.33% | $29.84 | $30.23 | 1.31% | Signal |
| 2023-01-30 | 2023-02-22 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income |
| 2022-12-05 | 2023-01-30 | Completed | 33.33% | $30.27 | $30.21 | -0.20% | Signal |
| 2022-12-02 | 2023-01-18 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.86% | Interest Income |
| 2022-12-20 | 2023-01-17 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.74% | Interest Income |
| 2022-11-02 | 2022-12-20 | Completed | 33.33% | $28.74 | $28.71 | -0.13% | Signal |
| 2022-12-02 | 2022-12-05 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2022-10-31 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2022-10-31 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2022-10-31 | 2022-11-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |