LMBS
First Trust Low Duration Opportunities ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for LMBS (First Trust Low Duration Opportunities ETF) using the Excess Return MMA* strategy in a Trading context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -5.3% (compared to the benchmark's drawdown of -6.5%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.7%, compared to a Buy-and-Hold benchmark return of 2.9%. The strategy executed 58 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
LMBS Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.56% | 4.70% | 3.50% | 3.05% | 2.50% | 2.59% | 2.74% | 2.87% |
| Sharpe Ratio | 2.90 | 2.33 | 2.35 | 1.17 | 1.54 | 1.09 | 1.48 | 1.15 |
| Max Drawdown | -1.24% | -1.43% | -1.24% | -6.05% | -5.35% | -6.48% | -5.35% | -6.48% |
| % Time Invested | 86.9% | 100.0% | 62.1% | 100.0% | 73.7% | 100.0% | 76.5% | 100.0% |
| Trades / Year | 3.0 | 0.0 | 6.2 | 0.0 | 5.2 | 0.0 | 5.2 | 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 | ||||||||
| 2025-04-11 | 2026-05-26 | Completed | 33.33% | $46.00 | $49.37 | 7.27% | Signal | |
| 2026-04-24 | 2026-05-19 | Completed | 33.33% | $49.44 | $49.09 | -0.75% | Signal | |
| 2026-03-20 | 2026-04-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2025-06-25 | 2026-03-30 | Completed | 33.33% | $47.00 | $48.99 | 4.18% | Signal | |
| 2025-12-15 | 2026-03-20 | Completed | 33.33% | $48.75 | $49.14 | 0.75% | Signal | |
| 2025-11-20 | 2025-12-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income | |
| 2025-06-25 | 2025-11-20 | Completed | 33.33% | $47.00 | $48.53 | 3.21% | Signal | |
| 2025-06-02 | 2025-06-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.28% | Interest Income | |
| 2025-05-01 | 2025-06-25 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.63% | Interest Income | |
| 2025-05-15 | 2025-06-02 | Completed | 33.33% | $46.41 | $46.61 | 0.38% | Signal | |
| 2025-04-14 | 2025-05-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2025-02-26 | 2025-05-01 | Completed | 33.33% | $46.28 | $46.65 | 0.75% | Signal | |
| 2025-02-07 | 2025-04-14 | Completed | 33.33% | $45.84 | $46.23 | 0.79% | Signal | |
| 2025-01-03 | 2025-04-11 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.13% | Interest Income | |
| 2025-01-15 | 2025-02-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.47% | Interest Income | |
| 2025-01-06 | 2025-02-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2024-11-27 | 2025-01-15 | Completed | 33.33% | $45.60 | $45.40 | -0.48% | Signal | |
| 2024-11-27 | 2025-01-06 | Completed | 33.33% | $45.60 | $45.55 | -0.15% | Signal | |
| 2024-09-12 | 2025-01-03 | Completed | 33.33% | $45.67 | $45.58 | -0.25% | Signal | |
| 2024-10-30 | 2024-11-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income | |
| 2024-10-16 | 2024-11-27 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.54% | Interest Income | |
| 2024-09-12 | 2024-10-30 | Completed | 33.33% | $45.67 | $45.34 | -0.78% | Signal | |
| 2024-09-12 | 2024-10-16 | Completed | 33.33% | $45.67 | $45.50 | -0.42% | Signal | |
| 2024-08-20 | 2024-09-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 2024-08-20 | 2024-09-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 2024-08-20 | 2024-09-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 2024-08-02 | 2024-08-20 | Completed | 33.33% | $45.12 | $45.15 | 0.01% | Stop | |
| 2024-05-10 | 2024-08-20 | Completed | 33.33% | $43.75 | $45.15 | 3.15% | Stop | |
| 2024-03-28 | 2024-08-20 | Completed | 33.33% | $43.87 | $45.15 | 2.86% | Stop | |
| 2024-05-20 | 2024-08-02 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.08% | Interest Income | |
| 2024-01-17 | 2024-05-20 | Completed | 33.33% | $43.49 | $43.83 | 0.73% | Signal | |
| 2024-04-09 | 2024-05-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income | |
| 2024-03-25 | 2024-04-09 | Completed | 33.33% | $43.74 | $43.58 | -0.42% | Signal | |
| 2024-02-28 | 2024-03-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.44% | Interest Income | |
| 2024-02-09 | 2024-03-25 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.63% | Interest Income | |
| 2023-12-04 | 2024-02-28 | Completed | 33.33% | $42.77 | $43.43 | 1.50% | Signal | |
| 2023-11-17 | 2024-02-09 | Completed | 33.33% | $42.24 | $43.46 | 2.83% | Signal | |
| 2023-05-26 | 2024-01-17 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.46% | Interest Income | |
| 2023-05-25 | 2023-12-04 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.86% | Interest Income | |
| 2023-09-26 | 2023-11-17 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.82% | Interest Income | |
| 2023-09-20 | 2023-09-26 | Completed | 33.33% | $42.02 | $41.86 | -0.43% | Signal | |
| 2023-05-03 | 2023-09-20 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.05% | Interest Income | |
| 2023-03-01 | 2023-05-26 | Completed | 33.33% | $41.25 | $41.60 | 0.80% | Signal | |
| 2023-04-18 | 2023-05-25 | Completed | 33.33% | $41.66 | $41.68 | -0.01% | Signal | |
| 2023-03-29 | 2023-05-03 | Completed | 33.33% | $41.63 | $41.87 | 0.53% | Signal | |
| 2023-03-10 | 2023-04-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income | |
| 2023-02-27 | 2023-03-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income | |
| 2022-12-13 | 2023-03-10 | Completed | 33.33% | $40.91 | $41.39 | 1.13% | Signal | |
| 2021-05-06 | 2023-03-01 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.84% | Interest Income | |
| 2022-11-28 | 2023-02-27 | Completed | 33.33% | $40.65 | $41.24 | 1.41% | Signal | |
| 2022-09-13 | 2022-12-13 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.99% | Interest Income | |
| 2022-08-31 | 2022-11-28 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.90% | Interest Income | |
| 2022-08-11 | 2022-09-13 | Completed | 33.33% | $41.39 | $41.04 | -0.90% | Signal | |
| 2022-07-26 | 2022-08-31 | Completed | 33.33% | $41.32 | $41.29 | -0.12% | Signal | |
| 2021-10-11 | 2022-08-11 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.62% | Interest Income | |
| 2021-09-29 | 2022-07-26 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.50% | Interest Income | |
| 2021-10-07 | 2021-10-11 | Completed | 33.33% | $42.48 | $42.54 | 0.09% | Signal | |
| 2021-06-30 | 2021-10-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-09-15 | 2021-09-29 | Completed | 33.33% | $42.49 | $42.44 | -0.15% | Signal | |
| 2021-06-03 | 2021-09-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-05-06 | 2021-06-30 | Completed | 33.33% | $42.60 | $42.53 | -0.21% | Signal | |
| 2021-04-23 | 2021-06-03 | Completed | 33.33% | $42.54 | $42.56 | -0.01% | Signal | |
| 2021-03-09 | 2021-05-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-07-07 | 2021-05-06 | Completed | 33.33% | $42.32 | $42.60 | 0.61% | Signal | |
| 2021-02-26 | 2021-04-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-12-08 | 2021-03-09 | Completed | 33.33% | $42.47 | $42.46 | -0.09% | Signal | |
| 2020-11-24 | 2021-02-26 | Completed | 33.33% | $42.52 | $42.41 | -0.31% | Signal | |
| 2020-11-13 | 2020-12-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-10-29 | 2020-11-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-05-13 | 2020-11-13 | Completed | 33.33% | $42.04 | $42.51 | 1.06% | Signal | |
| 2020-04-24 | 2020-10-29 | Completed | 33.33% | $41.89 | $42.47 | 1.35% | Signal | |
| 2020-06-01 | 2020-07-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2018-11-20 | 2020-06-01 | Completed | 33.33% | $39.94 | $42.18 | 5.56% | Signal | |
| 2020-03-25 | 2020-05-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-24 | 2020-04-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-12-24 | 2020-03-25 | Completed | 33.33% | $41.80 | $40.72 | -2.63% | Stop | |
| 2020-01-24 | 2020-03-24 | Completed | 33.33% | $42.09 | $40.24 | -4.42% | Signal | |
| 2019-12-31 | 2020-01-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2019-12-03 | 2019-12-31 | Completed | 33.33% | $41.90 | $41.84 | -0.20% | Signal | |
| 2019-11-13 | 2019-12-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2019-11-01 | 2019-12-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2018-11-20 | 2019-11-13 | Completed | 33.33% | $39.94 | $41.74 | 4.47% | Signal | |
| 2019-10-17 | 2019-11-01 | Completed | 33.33% | $41.74 | $41.79 | 0.07% | Signal | |
| 2019-09-25 | 2019-10-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2018-11-20 | 2019-09-25 | Completed | 33.33% | $39.94 | $41.74 | 4.47% | Signal | |
| 2018-09-24 | 2018-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2018-09-19 | 2018-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income | |
| 2017-12-05 | 2018-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.80% | Interest Income | |
| 2018-06-29 | 2018-09-24 | Completed | 33.33% | $39.75 | $39.83 | 0.17% | Signal | |
| 2018-08-24 | 2018-09-19 | Completed | 33.33% | $39.90 | $39.87 | -0.13% | Signal | |
| 2018-08-02 | 2018-08-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2018-06-11 | 2018-08-02 | Completed | 33.33% | $39.71 | $39.78 | 0.14% | Signal | |
| 2017-10-18 | 2018-06-29 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.10% | Interest Income | |
| 2017-10-06 | 2018-06-11 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.03% | Interest Income | |
| 2017-04-19 | 2017-12-05 | Completed | 33.33% | $39.18 | $39.61 | 1.04% | Signal | |
| 2017-02-09 | 2017-10-18 | Completed | 33.33% | $39.13 | $39.56 | 1.06% | Signal | |
| 2017-04-13 | 2017-10-06 | Completed | 33.33% | $39.23 | $39.55 | 0.77% | Signal | |
| 2017-03-15 | 2017-04-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2017-03-22 | 2017-04-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2017-01-25 | 2017-03-22 | Completed | 33.33% | $38.95 | $39.09 | 0.31% | Signal | |
| 2015-05-20 | 2017-03-15 | Completed | 33.33% | $36.05 | $38.99 | 8.09% | Signal | |
| 2016-12-15 | 2017-02-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2016-11-30 | 2017-01-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2015-10-09 | 2016-12-15 | Completed | 33.33% | $36.35 | $38.97 | 7.15% | Signal | |
| 2015-09-24 | 2016-11-30 | Completed | 33.33% | $36.19 | $38.92 | 7.47% | Signal | |
| 2015-09-17 | 2015-10-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-08-20 | 2015-09-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-06-04 | 2015-09-17 | Completed | 33.33% | $36.07 | $36.26 | 0.49% | Signal | |
| 2015-07-15 | 2015-08-20 | Completed | 33.33% | $36.15 | $36.20 | 0.08% | Signal | |
| 2015-06-22 | 2015-07-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-05-22 | 2015-06-22 | Completed | 33.33% | $36.11 | $36.11 | -0.05% | Signal | |
| 2015-05-18 | 2015-06-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-05-18 | 2015-05-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-05-18 | 2015-05-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |