JEPQ
J.P. Morgan NASDAQ Equity Premium Income ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for JEPQ (J.P. Morgan NASDAQ Equity Premium Income ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -18.2% (compared to the benchmark's drawdown of -20.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 9.6%, compared to a Buy-and-Hold benchmark return of 17.2%. The strategy executed 7 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.
JEPQ Quality Metrics & KPI Summary
| Metric | 1Y | Full History | ||
|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | |
| CAGR | 15.93% | 17.33% | 9.62% | 17.18% |
| Sharpe Ratio | 1.07 | 1.13 | 0.67 | 0.96 |
| Max Drawdown | -8.82% | -8.82% | -18.22% | -20.07% |
| % Time Invested | 100.0% | 100.0% | 97.1% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 3.1 | 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 | ||||||||
| 2025-07-23 | 2025-09-12 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.60% | Interest Income | |
| 2025-04-29 | 2025-07-23 | Completed | 33.33% | $44.32 | $49.28 | 11.13% | Signal | |
| 2025-04-04 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-04-04 | 2025-04-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-05-01 | 2025-04-07 | Completed | 33.33% | $40.60 | $39.01 | -3.96% | Stop | |
| 2024-11-06 | 2025-04-04 | Completed | 33.33% | $46.27 | $41.71 | -9.90% | Stop | |
| 2024-08-28 | 2025-04-04 | Completed | 33.33% | $43.51 | $41.71 | -4.19% | Stop | |
| 2024-10-15 | 2024-11-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2024-08-28 | 2024-10-15 | Completed | 33.33% | $43.51 | $45.48 | 4.47% | Signal | |
| 2024-08-06 | 2024-08-28 | 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 | |
| 2024-05-01 | 2024-08-06 | Completed | 33.33% | $40.60 | $40.36 | -0.63% | Stop | |
| 2024-05-01 | 2024-08-06 | Completed | 33.33% | $40.60 | $40.36 | -0.63% | Stop | |
| 2024-04-29 | 2024-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2024-04-29 | 2024-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2024-04-29 | 2024-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |