LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for LQD (iShares iBoxx $ Investment Grade Corporate Bond ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -15.1% (compared to the benchmark's drawdown of -24.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.8%, compared to a Buy-and-Hold benchmark return of 4.0%. The strategy executed 51 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.
LQD Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 2.34% | 2.28% | 0.82% | -0.96% | 2.17% | 2.05% | 2.76% | 4.01% |
| Sharpe Ratio | 0.57 | 0.43 | 0.22 | -0.11 | 0.45 | 0.23 | 0.57 | 0.47 |
| Max Drawdown | -2.13% | -3.34% | -6.74% | -24.95% | -11.09% | -24.95% | -15.11% | -24.95% |
| % Time Invested | 100.0% | 100.0% | 75.5% | 100.0% | 85.5% | 100.0% | 88.5% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.8 | 0.0 | 2.2 | 0.0 | 2.3 | 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 | 2026-02-06 | Completed | 33.33% | $103.98 | $108.42 | 4.22% | Signal | |
| 2025-03-24 | 2025-09-16 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.06% | Interest Income | |
| 2024-12-27 | 2025-07-23 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.40% | Interest Income | |
| 2024-03-28 | 2025-03-24 | Completed | 33.33% | $98.13 | $102.30 | 4.20% | Signal | |
| 2024-08-05 | 2024-12-27 | Completed | 33.33% | $101.51 | $99.93 | -1.61% | Signal | |
| 2024-05-13 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.21% | Interest Income | |
| 2022-03-25 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.11 | 10.76% | Interest Income | |
| 2024-01-12 | 2024-05-13 | Completed | 33.33% | $98.91 | $96.78 | -2.21% | Signal | |
| 2023-09-21 | 2024-03-28 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.80% | Interest Income | |
| 2023-05-19 | 2024-01-12 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.53% | Interest Income | |
| 2023-05-05 | 2023-09-21 | Completed | 33.33% | $94.52 | $91.16 | -3.61% | Signal | |
| 2023-02-01 | 2023-05-19 | Completed | 33.33% | $95.46 | $92.82 | -2.81% | Signal | |
| 2022-02-07 | 2023-05-05 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.72% | Interest Income | |
| 2021-12-08 | 2023-02-01 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.46% | Interest Income | |
| 2022-03-02 | 2022-03-25 | Completed | 33.33% | $103.69 | $100.05 | -3.55% | Signal | |
| 2022-02-07 | 2022-03-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2021-09-15 | 2022-02-07 | Completed | 33.33% | $112.27 | $104.48 | -6.98% | Stop | |
| 2021-04-13 | 2022-02-07 | Completed | 33.33% | $106.85 | $104.48 | -2.27% | Stop | |
| 2021-07-13 | 2021-12-08 | Completed | 33.33% | $111.00 | $110.70 | -0.32% | Signal | |
| 2021-05-11 | 2021-09-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-03-19 | 2021-07-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-04-13 | 2021-05-11 | Completed | 33.33% | $106.85 | $107.00 | 0.09% | Signal | |
| 2021-03-19 | 2021-04-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-03-19 | 2021-04-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-06-24 | 2021-03-19 | Completed | 33.33% | $106.82 | $104.86 | -1.89% | Stop | |
| 2020-04-03 | 2021-03-19 | Completed | 33.33% | $97.27 | $104.86 | 7.74% | Stop | |
| 2020-04-03 | 2021-03-19 | Completed | 33.33% | $97.27 | $104.86 | 7.74% | Stop | |
| 2020-05-13 | 2020-06-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-04-03 | 2020-05-13 | Completed | 33.33% | $97.27 | $101.73 | 4.53% | Signal | |
| 2020-03-12 | 2020-04-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-12 | 2020-04-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-12 | 2020-04-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2018-12-13 | 2020-03-12 | Completed | 33.33% | $85.92 | $96.56 | 12.34% | Stop | |
| 2018-12-13 | 2020-03-12 | Completed | 33.33% | $85.92 | $96.56 | 12.34% | Stop | |
| 2018-12-13 | 2020-03-12 | Completed | 33.33% | $85.92 | $96.56 | 12.34% | Stop | |
| 2018-11-07 | 2018-12-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2018-09-13 | 2018-12-13 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.57% | Interest Income | |
| 2018-04-04 | 2018-12-13 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.45% | Interest Income | |
| 2018-09-14 | 2018-11-07 | Completed | 33.33% | $86.81 | $85.56 | -1.49% | Signal | |
| 2018-02-15 | 2018-09-14 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.10% | Interest Income | |
| 2016-05-31 | 2018-09-13 | Completed | 33.33% | $83.23 | $86.99 | 4.47% | Signal | |
| 2017-06-05 | 2018-04-04 | Completed | 33.33% | $87.10 | $86.80 | -0.39% | Signal | |
| 2017-04-21 | 2018-02-15 | Completed | 33.33% | $85.93 | $86.64 | 0.78% | Signal | |
| 2017-02-21 | 2017-06-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2016-12-02 | 2017-04-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2016-03-17 | 2017-02-21 | Completed | 33.33% | $81.44 | $84.24 | 3.38% | Signal | |
| 2016-03-31 | 2016-12-02 | Completed | 33.33% | $82.35 | $82.78 | 0.47% | Signal | |
| 2016-03-28 | 2016-05-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2016-02-03 | 2016-03-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2014-04-14 | 2016-03-28 | Completed | 33.33% | $76.83 | $82.04 | 6.73% | Signal | |
| 2015-08-24 | 2016-03-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2015-10-29 | 2016-02-03 | Completed | 33.33% | $79.96 | $78.73 | -1.58% | Signal | |
| 2015-06-17 | 2015-10-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-02-27 | 2015-08-24 | Completed | 33.33% | $76.02 | $79.42 | 4.42% | Signal | |
| 2013-11-27 | 2015-06-17 | Completed | 33.33% | $73.59 | $78.66 | 6.83% | Signal | |
| 2014-03-17 | 2014-04-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-07-16 | 2014-03-17 | Completed | 33.33% | $72.61 | $75.64 | 4.12% | Signal | |
| 2013-06-21 | 2014-02-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2013-06-24 | 2013-11-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2013-06-21 | 2013-07-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-05-08 | 2013-06-24 | Completed | 33.33% | $76.24 | $70.42 | -7.69% | Stop | |
| 2009-09-28 | 2013-06-21 | Completed | 33.33% | $57.48 | $71.57 | 24.46% | Stop | |
| 2009-04-20 | 2013-06-21 | Completed | 33.33% | $50.88 | $71.57 | 40.59% | Stop | |
| 2013-03-12 | 2013-05-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-04-27 | 2013-03-12 | Completed | 33.33% | $63.80 | $74.51 | 16.74% | Signal | |
| 2011-01-24 | 2011-04-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2009-06-19 | 2011-01-24 | Completed | 33.33% | $51.85 | $62.30 | 20.08% | Signal | |
| 2009-02-26 | 2009-09-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2009-05-28 | 2009-06-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-03-23 | 2009-05-28 | Completed | 33.33% | $48.96 | $50.90 | 3.92% | Signal | |
| 2009-02-26 | 2009-04-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2009-02-27 | 2009-03-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-01-02 | 2009-02-27 | Completed | 33.33% | $52.42 | $49.21 | -6.18% | Stop | |
| 2009-01-02 | 2009-02-26 | Completed | 33.33% | $52.42 | $49.53 | -5.56% | Stop | |
| 2009-01-02 | 2009-02-26 | Completed | 33.33% | $52.42 | $49.53 | -5.56% | Stop | |
| 2008-10-13 | 2009-01-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2008-07-30 | 2009-01-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2008-06-05 | 2009-01-02 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.60% | Interest Income | |
| 2008-10-09 | 2008-10-13 | Completed | 33.33% | $45.77 | $40.51 | -11.53% | Stop | |
| 2008-09-17 | 2008-10-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2006-11-02 | 2008-09-17 | Completed | 33.33% | $49.21 | $47.21 | -4.11% | Stop | |
| 2008-01-17 | 2008-07-30 | Completed | 33.33% | $51.92 | $50.38 | -3.03% | Signal | |
| 2007-11-01 | 2008-06-05 | Completed | 33.33% | $51.03 | $51.38 | 0.65% | Signal | |
| 2007-07-12 | 2008-01-17 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.98% | Interest Income | |
| 2007-06-04 | 2007-11-01 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.83% | Interest Income | |
| 2006-11-02 | 2007-07-12 | Completed | 33.33% | $49.21 | $49.32 | 0.17% | Signal | |
| 2006-09-22 | 2007-06-04 | Completed | 33.33% | $48.75 | $49.70 | 1.90% | Signal | |
| 2006-01-25 | 2006-11-02 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.76% | Interest Income | |
| 2005-10-14 | 2006-11-02 | Interest (CASH) | 33.33% | $1.00 | $1.05 | 4.89% | Interest Income | |
| 2005-10-18 | 2006-09-22 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 4.27% | Interest Income | |
| 2004-07-26 | 2006-01-25 | Completed | 33.33% | $44.71 | $47.73 | 6.72% | Signal | |
| 2005-07-18 | 2005-10-18 | Completed | 33.33% | $47.67 | $46.98 | -1.51% | Signal | |
| 2005-10-10 | 2005-10-14 | Completed | 33.33% | $47.40 | $47.09 | -0.72% | Signal | |
| 2005-07-21 | 2005-10-10 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income | |
| 2004-11-01 | 2005-07-21 | Completed | 33.33% | $46.82 | $47.57 | 1.54% | Signal | |
| 2005-04-18 | 2005-07-18 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.74% | Interest Income | |
| 2004-09-14 | 2005-04-18 | Completed | 33.33% | $46.14 | $46.70 | 1.17% | Signal | |
| 2004-09-15 | 2004-11-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2004-07-26 | 2004-09-15 | Completed | 33.33% | $44.71 | $46.21 | 3.31% | Signal | |
| 2004-07-22 | 2004-09-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2004-07-22 | 2004-07-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2004-07-22 | 2004-07-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |