JPM
J.P. Morgan Chase & Company
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for JPM (J.P. Morgan Chase & Company) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -64.3% (compared to the benchmark's drawdown of -74.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 4.1%, compared to a Buy-and-Hold benchmark return of 13.2%. The strategy executed 73 total trades.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
📊 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 Active
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.
🎯 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
JPM Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 20.31% | 21.40% | 3.98% | 21.45% | 7.55% | 21.82% | 4.11% | 13.24% |
| Sharpe Ratio | 0.86 | 0.88 | 0.19 | 0.80 | 0.34 | 0.73 | 0.19 | 0.35 |
| Max Drawdown | -14.71% | -15.47% | -56.00% | -38.77% | -61.44% | -43.63% | -64.32% | -74.02% |
| % Time Invested | 93.7% | 100.0% | 77.7% | 100.0% | 82.2% | 100.0% | 65.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.8 | 0.0 | 1.7 | 0.0 | 1.7 | 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 | ||||||||
| 2026-03-09 | 2026-03-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2025-05-01 | 2026-03-09 | Completed | 100% | $237.14 | $282.77 | 19.18% | Stop | |
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-04-02 | 2025-04-08 | Completed | 100% | $234.48 | $218.27 | -6.96% | Stop | |
| 2025-03-11 | 2025-04-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-09-28 | 2025-03-11 | Completed | 100% | $136.94 | $224.92 | 64.17% | Stop | |
| 2023-09-06 | 2023-09-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-07-18 | 2023-09-06 | Completed | 100% | $143.58 | $135.46 | -5.71% | Stop | |
| 2023-03-16 | 2023-07-18 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.71% | Interest Income | |
| 2023-01-05 | 2023-03-16 | Completed | 100% | $125.15 | $118.09 | -5.69% | Stop | |
| 2022-09-28 | 2023-01-05 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.10% | Interest Income | |
| 2022-07-13 | 2022-09-28 | Completed | 100% | $101.43 | $96.16 | -5.24% | Stop | |
| 2022-06-17 | 2022-07-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2022-05-24 | 2022-06-17 | Completed | 100% | $111.88 | $102.15 | -8.75% | Stop | |
| 2022-05-02 | 2022-05-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2022-03-30 | 2022-05-02 | Completed | 100% | $126.72 | $107.85 | -14.93% | Stop | |
| 2022-03-08 | 2022-03-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2022-02-15 | 2022-03-08 | Completed | 100% | $137.98 | $115.77 | -16.14% | Stop | |
| 2022-01-24 | 2022-02-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2021-02-24 | 2022-01-24 | Completed | 100% | $130.93 | $127.06 | -3.00% | Stop | |
| 2021-01-26 | 2021-02-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-01-14 | 2021-01-26 | Completed | 100% | $122.54 | $115.79 | -5.56% | Stop | |
| 2020-12-07 | 2021-01-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-07-22 | 2020-12-07 | Completed | 100% | $85.50 | $104.91 | 22.64% | Signal | |
| 2020-06-29 | 2020-07-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-06-09 | 2020-06-29 | Completed | 100% | $94.02 | $79.37 | -15.63% | Stop | |
| 2020-05-15 | 2020-06-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-04-27 | 2020-05-15 | Completed | 100% | $78.12 | $73.80 | -5.58% | Stop | |
| 2020-04-02 | 2020-04-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-24 | 2020-04-02 | Completed | 100% | $71.40 | $70.23 | -1.69% | Stop | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-11-19 | 2020-03-02 | Completed | 100% | $109.46 | $98.09 | -10.44% | Stop | |
| 2019-09-23 | 2019-11-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2019-01-04 | 2019-09-23 | Completed | 100% | $80.96 | $97.64 | 20.53% | Signal | |
| 2018-12-11 | 2019-01-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-02-08 | 2018-12-11 | Completed | 100% | $42.94 | $83.57 | 94.54% | Stop | |
| 2016-01-14 | 2016-02-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2016-01-14 | Completed | 100% | $47.91 | $44.05 | -8.10% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-11-28 | 2015-08-25 | Completed | 100% | $28.09 | $47.13 | 67.68% | Stop | |
| 2011-11-17 | 2012-11-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2011-10-05 | 2011-11-17 | Completed | 100% | $20.37 | $21.16 | 3.82% | Stop | |
| 2011-09-13 | 2011-10-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-31 | 2011-09-13 | Completed | 100% | $24.99 | $21.91 | -12.36% | Stop | |
| 2011-08-09 | 2011-08-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-06-29 | 2011-08-09 | Completed | 100% | $26.58 | $23.63 | -11.14% | Stop | |
| 2011-06-07 | 2011-06-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-06-07 | Completed | 100% | $25.86 | $27.16 | 4.98% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-01-21 | 2010-05-07 | Completed | 100% | $28.28 | $26.99 | -4.61% | Stop | |
| 2008-04-03 | 2010-01-21 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.02% | Interest Income | |
| 2008-04-01 | 2008-04-03 | Completed | 100% | $28.35 | $28.74 | 1.30% | Signal | |
| 2008-03-07 | 2008-04-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2008-02-14 | 2008-03-07 | Completed | 100% | $27.68 | $23.18 | -16.30% | Stop | |
| 2008-01-23 | 2008-02-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2007-12-14 | 2008-01-23 | Completed | 100% | $28.18 | $25.38 | -9.96% | Stop | |
| 2007-11-21 | 2007-12-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.19% | Interest Income | |
| 2007-08-17 | 2007-11-21 | Completed | 100% | $29.70 | $25.42 | -14.47% | Stop | |
| 2007-07-26 | 2007-08-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2006-07-10 | 2007-07-26 | Completed | 100% | $25.53 | $27.37 | 7.15% | Stop | |
| 2006-06-15 | 2006-07-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2005-12-19 | 2006-06-15 | Completed | 100% | $23.25 | $23.87 | 2.62% | Stop | |
| 2005-08-23 | 2005-12-19 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.21% | Interest Income | |
| 2005-04-27 | 2005-08-23 | Completed | 100% | $20.14 | $20.00 | -0.72% | Signal | |
| 2005-04-05 | 2005-04-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2004-06-03 | 2005-04-05 | Completed | 100% | $20.57 | $19.52 | -5.17% | Stop | |
| 2004-05-11 | 2004-06-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2003-10-13 | 2004-05-11 | Completed | 100% | $19.35 | $19.88 | 2.67% | Stop | |
| 2000-10-16 | 2003-10-13 | Interest (CASH) | 100% | $1.00 | $1.07 | 7.31% | Interest Income | |
| 2000-10-10 | 2000-10-16 | Completed | 100% | $20.14 | $19.24 | -4.51% | Signal | |
| 2000-09-18 | 2000-10-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.38% | Interest Income | |
| 2000-07-12 | 2000-09-18 | Completed | 100% | $24.58 | $23.36 | -5.01% | Stop | |
| 2000-06-19 | 2000-07-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2000-04-28 | 2000-06-19 | Completed | 100% | $23.37 | $21.42 | -8.38% | Stop | |
| 2000-04-05 | 2000-04-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.36% | Interest Income | |
| 2000-01-12 | 2000-04-05 | Completed | 100% | $21.82 | $26.52 | 21.47% | Stop | |
| 1999-12-20 | 2000-01-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 1999-11-05 | 1999-12-20 | Completed | 100% | $26.82 | $22.85 | -14.85% | Stop | |
| 1999-10-14 | 1999-11-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 1999-09-02 | 1999-10-14 | Completed | 100% | $25.04 | $22.15 | -11.61% | Stop | |
| 1999-08-11 | 1999-09-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 1999-06-18 | 1999-08-11 | Completed | 100% | $24.54 | $23.26 | -5.25% | Stop | |
| 1999-05-26 | 1999-06-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 1998-10-05 | 1999-05-26 | Completed | 100% | $12.74 | $22.67 | 77.90% | Stop | |
| 1998-09-11 | 1998-10-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 1998-09-03 | 1998-09-11 | Completed | 100% | $15.42 | $12.36 | -19.89% | Stop | |
| 1998-08-12 | 1998-09-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 1998-02-05 | 1998-08-12 | Completed | 100% | $17.21 | $20.24 | 17.53% | Stop | |
| 1998-01-13 | 1998-02-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 1997-12-08 | 1998-01-13 | Completed | 100% | $17.51 | $15.49 | -11.55% | Stop | |
| 1997-11-13 | 1997-12-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 1997-04-23 | 1997-11-13 | Completed | 100% | $12.87 | $15.70 | 21.92% | Stop | |
| 1997-04-01 | 1997-04-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 1996-02-02 | 1997-04-01 | Completed | 100% | $9.35 | $13.59 | 45.31% | Stop | |
| 1996-01-11 | 1996-02-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 1995-11-20 | 1996-01-11 | Completed | 100% | $8.31 | $7.78 | -6.48% | Stop | |
| 1995-10-27 | 1995-11-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 1995-07-10 | 1995-10-27 | Completed | 100% | $6.91 | $7.93 | 14.59% | Stop | |
| 1994-09-21 | 1995-07-10 | Interest (CASH) | 100% | $1.00 | $1.04 | 4.50% | Interest Income | |
| 1994-04-26 | 1994-09-21 | Completed | 100% | $4.71 | $4.92 | 4.49% | Signal | |
| 1994-04-04 | 1994-04-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 1993-11-29 | 1994-04-04 | Completed | 100% | $4.93 | $4.74 | -3.77% | Stop | |
| 1993-11-04 | 1993-11-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.20% | Interest Income | |
| 1993-05-19 | 1993-11-04 | Completed | 100% | $4.66 | $5.20 | 11.60% | Stop | |
| 1993-04-27 | 1993-05-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.19% | Interest Income | |
| 1992-09-02 | 1993-04-27 | Completed | 100% | $4.17 | $4.75 | 14.03% | Stop | |
| 1992-08-11 | 1992-09-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.20% | Interest Income | |
| 1992-05-04 | 1992-08-11 | Completed | 100% | $4.44 | $4.09 | -8.01% | Stop | |
| 1992-04-09 | 1992-05-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 1992-01-07 | 1992-04-09 | Completed | 100% | $2.98 | $3.70 | 24.25% | Stop | |
| 1991-12-12 | 1992-01-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 1991-11-21 | 1991-12-12 | Completed | 100% | $2.75 | $2.31 | -16.03% | Stop | |
| 1990-05-25 | 1991-11-21 | Interest (CASH) | 100% | $1.00 | $1.10 | 9.81% | Interest Income | |
| 1990-04-25 | 1990-05-25 | Completed | 100% | $2.61 | $2.92 | 11.92% | Signal | |
| 1990-04-02 | 1990-04-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.49% | Interest Income | |
| 1990-02-15 | 1990-04-02 | Completed | 100% | $2.77 | $2.50 | -9.77% | Stop | |
| 1990-01-24 | 1990-02-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.49% | Interest Income | |
| 1989-11-15 | 1990-01-24 | Completed | 100% | $3.33 | $2.89 | -13.41% | Stop | |
| 1989-10-24 | 1989-11-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1988-05-31 | 1989-10-24 | Completed | 100% | $2.57 | $3.63 | 41.22% | Stop | |
| 1987-06-30 | 1988-05-31 | Interest (CASH) | 100% | $1.00 | $1.07 | 7.19% | Interest Income | |
| 1987-05-08 | 1987-06-30 | Completed | 100% | $3.73 | $3.70 | -0.80% | Signal | |
| 1987-04-15 | 1987-05-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1986-08-07 | 1987-04-15 | Completed | 100% | $3.74 | $3.45 | -7.75% | Stop | |
| 1986-07-16 | 1986-08-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1986-02-18 | 1986-07-16 | Completed | 100% | $3.51 | $3.71 | 5.70% | Stop | |
| 1986-01-24 | 1986-02-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1985-10-09 | 1986-01-24 | Completed | 100% | $2.87 | $3.28 | 14.36% | Stop | |
| 1985-09-16 | 1985-10-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1985-04-16 | 1985-09-16 | Completed | 100% | $3.02 | $2.78 | -7.80% | Stop | |
| 1984-10-02 | 1985-04-16 | Interest (CASH) | 100% | $1.00 | $1.04 | 4.12% | Interest Income | |
| 1984-09-17 | 1984-10-02 | Completed | 100% | $2.26 | $2.12 | -6.45% | Stop | |
| 1984-07-20 | 1984-09-17 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.20% | Interest Income | |
| 1984-06-15 | 1984-07-20 | Completed | 100% | $1.70 | $1.78 | 4.64% | Signal | |
| 1984-05-23 | 1984-06-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1984-05-03 | 1984-05-23 | Completed | 100% | $2.28 | $1.96 | -14.11% | Stop | |
| 1984-04-10 | 1984-05-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1983-10-10 | 1984-04-10 | Completed | 100% | $1.97 | $1.99 | 0.96% | Stop | |
| 1983-09-16 | 1983-10-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1983-07-22 | 1983-09-16 | Completed | 100% | $2.30 | $1.98 | -13.84% | Stop | |
| 1983-06-29 | 1983-07-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1983-04-19 | 1983-06-29 | Completed | 100% | $2.46 | $2.08 | -15.28% | Stop | |
| 1982-08-11 | 1983-04-19 | Interest (CASH) | 100% | $1.00 | $1.05 | 5.34% | Interest Income | |
| 1982-07-30 | 1982-08-11 | Completed | 100% | $1.25 | $1.30 | 3.57% | Signal | |
| 1982-07-08 | 1982-07-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1982-05-28 | 1982-07-08 | Completed | 100% | $1.45 | $1.26 | -13.32% | Stop | |
| 1982-05-26 | 1982-05-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |