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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -64.2% (compared to the benchmark's drawdown of -74.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 7.9%, compared to a Buy-and-Hold benchmark return of 13.2%. The strategy executed 67 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
JPM Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 10.97% | 21.40% | 17.59% | 21.45% | 19.96% | 21.82% | 7.92% | 13.24% |
| Sharpe Ratio | 0.54 | 0.88 | 0.82 | 0.80 | 0.96 | 0.73 | 0.38 | 0.35 |
| Max Drawdown | -15.11% | -15.47% | -27.38% | -38.77% | -27.38% | -43.63% | -64.21% | -74.02% |
| % Time Invested | 75.0% | 100.0% | 75.1% | 100.0% | 76.2% | 100.0% | 61.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.6 | 0.0 | 1.5 | 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 | 2026-03-09 | 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 | |
| 2022-12-05 | 2025-03-11 | Completed | 100% | $122.93 | $224.92 | 82.88% | Stop | |
| 2022-01-24 | 2022-12-05 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.74% | Interest Income | |
| 2020-11-12 | 2022-01-24 | Completed | 100% | $97.45 | $127.06 | 30.32% | Stop | |
| 2020-03-30 | 2020-11-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2020-03-24 | 2020-03-30 | Completed | 100% | $71.40 | $76.24 | 6.72% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-05-07 | 2020-03-02 | Completed | 100% | $93.87 | $98.09 | 4.44% | Stop | |
| 2018-11-26 | 2019-05-07 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.05% | Interest Income | |
| 2016-05-27 | 2018-11-26 | Completed | 100% | $49.75 | $87.29 | 75.35% | Signal | |
| 2016-01-14 | 2016-05-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2015-12-02 | 2016-01-14 | Completed | 100% | $51.03 | $44.05 | -13.72% | Stop | |
| 2015-10-22 | 2015-12-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2015-09-17 | 2015-10-22 | Completed | 100% | $47.91 | $46.96 | -2.03% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-09-26 | 2015-08-25 | Completed | 100% | $27.65 | $47.13 | 70.35% | Stop | |
| 2012-07-10 | 2012-09-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2012-06-06 | 2012-07-10 | Completed | 100% | $22.34 | $23.57 | 5.44% | Signal | |
| 2012-05-14 | 2012-06-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-02-27 | 2012-05-14 | Completed | 100% | $25.84 | $24.66 | -4.60% | Stop | |
| 2011-07-11 | 2012-02-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-06-29 | 2011-07-11 | Completed | 100% | $26.58 | $26.84 | 0.94% | Signal | |
| 2011-06-07 | 2011-06-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-01-07 | 2011-06-07 | Completed | 100% | $29.41 | $27.16 | -7.68% | Stop | |
| 2010-06-09 | 2011-01-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2010-06-01 | 2010-06-09 | Completed | 100% | $25.86 | $25.09 | -3.02% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-03-03 | 2010-05-07 | Completed | 100% | $27.36 | $26.99 | -1.43% | Stop | |
| 2010-02-08 | 2010-03-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-01-14 | 2010-02-08 | Completed | 100% | $29.04 | $25.16 | -13.41% | Stop | |
| 2009-12-21 | 2010-01-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2009-05-29 | 2009-12-21 | Completed | 100% | $23.79 | $27.27 | 14.55% | Stop | |
| 2008-06-09 | 2009-05-29 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.66% | Interest Income | |
| 2008-05-13 | 2008-06-09 | Completed | 100% | $29.79 | $25.54 | -14.33% | Stop | |
| 2007-07-26 | 2008-05-13 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.32% | 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 | |
| 2005-11-15 | 2006-06-15 | Completed | 100% | $22.26 | $23.87 | 7.19% | Stop | |
| 2005-03-10 | 2005-11-15 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.25% | Interest Income | |
| 2004-09-23 | 2005-03-10 | Completed | 100% | $22.21 | $20.73 | -6.68% | Signal | |
| 2004-06-25 | 2004-09-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.36% | Interest Income | |
| 2004-06-03 | 2004-06-25 | Completed | 100% | $20.57 | $20.92 | 1.64% | Signal | |
| 2004-05-11 | 2004-06-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2003-04-15 | 2004-05-11 | Completed | 100% | $14.15 | $19.88 | 40.46% | Stop | |
| 2002-07-11 | 2003-04-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.05% | Interest Income | |
| 2002-07-02 | 2002-07-11 | Completed | 100% | $15.81 | $15.29 | -3.34% | Signal | |
| 2002-06-10 | 2002-07-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2002-05-22 | 2002-06-10 | Completed | 100% | $18.92 | $16.97 | -10.36% | Stop | |
| 2001-07-12 | 2002-05-22 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.84% | Interest Income | |
| 2001-06-04 | 2001-07-12 | Completed | 100% | $23.70 | $20.79 | -12.32% | Stop | |
| 2001-04-17 | 2001-06-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 2001-04-06 | 2001-04-17 | Completed | 100% | $20.23 | $21.90 | 8.24% | Signal | |
| 2001-03-15 | 2001-04-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2001-02-08 | 2001-03-15 | Completed | 100% | $25.24 | $21.65 | -14.24% | Stop | |
| 2000-09-18 | 2001-02-08 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.29% | Interest Income | |
| 2000-09-08 | 2000-09-18 | Completed | 100% | $27.04 | $23.36 | -13.67% | Stop | |
| 2000-06-08 | 2000-09-08 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.52% | Interest Income | |
| 2000-04-28 | 2000-06-08 | Completed | 100% | $23.37 | $24.45 | 4.58% | Signal | |
| 2000-04-05 | 2000-04-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.36% | Interest Income | |
| 2000-03-20 | 2000-04-05 | Completed | 100% | $28.18 | $26.52 | -5.95% | Stop | |
| 2000-01-11 | 2000-03-20 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.04% | Interest Income | |
| 1999-12-29 | 2000-01-11 | Completed | 100% | $24.03 | $21.92 | -8.84% | Signal | |
| 1999-10-08 | 1999-12-29 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.14% | Interest Income | |
| 1999-09-02 | 1999-10-08 | Completed | 100% | $25.04 | $23.22 | -7.34% | Signal | |
| 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 | |
| 1999-01-08 | 1999-05-26 | Completed | 100% | $23.50 | $22.67 | -3.56% | Stop | |
| 1998-09-11 | 1999-01-08 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.42% | 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 | |
| 1995-01-20 | 1995-10-27 | Completed | 100% | $5.13 | $7.93 | 54.37% | Stop | |
| 1994-10-13 | 1995-01-20 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.47% | Interest Income | |
| 1994-07-21 | 1994-10-13 | Completed | 100% | $5.04 | $5.07 | 0.53% | Signal | |
| 1993-12-20 | 1994-07-21 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.17% | Interest Income | |
| 1993-11-29 | 1993-12-20 | Completed | 100% | $4.93 | $5.15 | 4.57% | Signal | |
| 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 | |
| 1992-11-13 | 1993-04-27 | Completed | 100% | $4.63 | $4.75 | 2.59% | Stop | |
| 1992-10-06 | 1992-11-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 1992-09-02 | 1992-10-06 | Completed | 100% | $4.17 | $4.00 | -4.02% | Signal | |
| 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 | |
| 1992-01-27 | 1992-04-09 | Completed | 100% | $3.48 | $3.70 | 6.19% | Stop | |
| 1992-01-03 | 1992-01-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.24% | Interest Income | |
| 1991-12-23 | 1992-01-03 | Completed | 100% | $2.46 | $2.92 | 18.69% | Signal | |
| 1991-11-29 | 1991-12-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 1991-10-25 | 1991-11-29 | Completed | 100% | $2.89 | $2.58 | -10.52% | Stop | |
| 1991-10-03 | 1991-10-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 1991-06-07 | 1991-10-03 | Completed | 100% | $2.76 | $2.93 | 6.34% | Stop | |
| 1991-05-15 | 1991-06-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 1991-04-08 | 1991-05-15 | Completed | 100% | $2.27 | $2.19 | -3.32% | Stop | |
| 1989-12-08 | 1991-04-08 | Interest (CASH) | 100% | $1.00 | $1.10 | 9.98% | Interest Income | |
| 1989-11-15 | 1989-12-08 | Completed | 100% | $3.33 | $3.33 | -0.05% | Signal | |
| 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 | |
| 1987-04-15 | 1988-05-31 | Interest (CASH) | 100% | $1.00 | $1.09 | 8.87% | Interest Income | |
| 1987-01-13 | 1987-04-15 | Completed | 100% | $3.81 | $3.45 | -9.34% | Stop | |
| 1986-09-09 | 1987-01-13 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.64% | Interest Income | |
| 1986-08-07 | 1986-09-09 | Completed | 100% | $3.74 | $3.74 | 0.01% | Signal | |
| 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 | |
| 1985-10-10 | 1986-01-24 | Completed | 100% | $2.93 | $3.28 | 12.09% | Stop | |
| 1985-09-16 | 1985-10-10 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.51% | Interest Income | |
| 1984-10-24 | 1985-09-16 | Completed | 100% | $2.23 | $2.78 | 24.83% | Stop | |
| 1984-10-02 | 1984-10-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1984-09-17 | 1984-10-02 | Completed | 100% | $2.26 | $2.12 | -6.45% | Stop | |
| 1984-05-23 | 1984-09-17 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.42% | 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 | |
| 1984-02-15 | 1984-04-10 | Completed | 100% | $2.25 | $1.99 | -11.54% | Stop | |
| 1983-09-16 | 1984-02-15 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.19% | 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 | |
| 1983-01-10 | 1983-06-29 | Completed | 100% | $1.83 | $2.08 | 13.92% | Stop | |
| 1982-12-16 | 1983-01-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1982-10-14 | 1982-12-16 | Completed | 100% | $1.79 | $1.81 | 1.22% | Stop | |
| 1982-05-26 | 1982-10-14 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.94% | Interest Income | |