OEF
iShares S&P 100 ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for OEF (iShares S&P 100 ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -16.7% (compared to the benchmark's drawdown of -54.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 9.7%, compared to a Buy-and-Hold benchmark return of 11.2%. The strategy executed 61 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.
OEF Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 15.27% | 17.16% | 9.97% | 13.59% | 14.50% | 15.97% | 9.68% | 11.18% |
| Sharpe Ratio | 1.12 | 1.17 | 0.77 | 0.72 | 1.03 | 0.80 | 0.78 | 0.58 |
| Max Drawdown | -9.77% | -11.06% | -16.66% | -26.47% | -16.66% | -31.44% | -16.66% | -54.11% |
| % Time Invested | 100.0% | 100.0% | 91.9% | 100.0% | 95.0% | 100.0% | 92.1% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 2.2 | 0.0 | 2.1 | 0.0 | 2.6 | 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 | ||||||||
| 2026-03-19 | 2026-04-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2025-07-10 | 2026-03-19 | Completed | 33.33% | $304.38 | $320.79 | 5.34% | Signal | |
| 2025-07-25 | 2025-09-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.47% | Interest Income | |
| 2025-04-29 | 2025-07-25 | Completed | 33.33% | $263.55 | $310.31 | 17.69% | Signal | |
| 2025-04-03 | 2025-07-10 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.13% | 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 | |
| 2023-11-08 | 2025-04-07 | Completed | 33.33% | $201.80 | $232.31 | 15.07% | Stop | |
| 2023-05-03 | 2025-04-04 | Completed | 33.33% | $182.75 | $249.48 | 36.45% | Stop | |
| 2023-12-29 | 2025-04-03 | Completed | 33.33% | $218.45 | $259.43 | 18.70% | Signal | |
| 2023-11-09 | 2023-12-29 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.72% | Interest Income | |
| 2023-02-08 | 2023-11-09 | Completed | 33.33% | $179.00 | $202.20 | 12.91% | Signal | |
| 2023-09-27 | 2023-11-08 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.65% | Interest Income | |
| 2023-07-20 | 2023-09-27 | Completed | 33.33% | $205.42 | $194.99 | -5.13% | Stop | |
| 2022-11-17 | 2023-07-20 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.23% | Interest Income | |
| 2022-05-31 | 2023-05-03 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.47% | Interest Income | |
| 2022-02-25 | 2023-02-08 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.51% | Interest Income | |
| 2022-10-24 | 2022-11-17 | Completed | 33.33% | $163.83 | $168.26 | 2.65% | Signal | |
| 2022-09-30 | 2022-10-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2022-05-25 | 2022-09-30 | Completed | 33.33% | $169.11 | $158.13 | -6.54% | Stop | |
| 2022-05-25 | 2022-05-31 | Completed | 33.33% | $169.11 | $178.40 | 5.44% | Signal | |
| 2022-05-03 | 2022-05-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2022-05-03 | 2022-05-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2022-03-21 | 2022-05-03 | Completed | 33.33% | $194.49 | $180.21 | -7.39% | Stop | |
| 2020-04-01 | 2022-05-03 | Completed | 33.33% | $106.12 | $180.21 | 69.74% | Stop | |
| 2022-02-25 | 2022-03-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-08-31 | 2022-02-25 | Completed | 33.33% | $152.75 | $187.57 | 22.74% | Stop | |
| 2020-06-24 | 2022-02-25 | Completed | 33.33% | $133.24 | $187.57 | 40.70% | Stop | |
| 2020-07-29 | 2020-08-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-24 | 2020-07-29 | Completed | 33.33% | $101.45 | $137.78 | 35.75% | Signal | |
| 2020-04-14 | 2020-06-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-03-24 | 2020-04-14 | Completed | 33.33% | $101.45 | $119.63 | 17.86% | Signal | |
| 2020-03-10 | 2020-04-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-01-16 | 2020-03-10 | Completed | 33.33% | $104.92 | $118.60 | 12.97% | Stop | |
| 2019-04-08 | 2020-03-02 | Completed | 33.33% | $115.67 | $123.72 | 6.91% | Stop | |
| 2019-03-29 | 2020-03-02 | Completed | 33.33% | $113.63 | $123.72 | 8.83% | Stop | |
| 2019-02-28 | 2019-04-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2018-12-12 | 2019-03-29 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.70% | Interest Income | |
| 2019-01-11 | 2019-02-28 | Completed | 33.33% | $103.47 | $111.24 | 7.46% | Signal | |
| 2018-12-21 | 2019-01-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-12-18 | 2019-01-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2015-09-17 | 2018-12-21 | Completed | 33.33% | $74.17 | $99.12 | 33.56% | Stop | |
| 2016-06-14 | 2018-12-18 | Completed | 33.33% | $78.78 | $102.95 | 30.61% | Stop | |
| 2018-07-16 | 2018-12-12 | Completed | 33.33% | $110.73 | $107.09 | -3.34% | Signal | |
| 2018-05-07 | 2018-07-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2016-05-02 | 2018-05-07 | Completed | 33.33% | $78.58 | $104.78 | 33.27% | Signal | |
| 2016-05-20 | 2016-06-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2016-04-11 | 2016-05-20 | Completed | 33.33% | $78.02 | $77.89 | -0.21% | Signal | |
| 2016-03-01 | 2016-05-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2015-12-02 | 2016-04-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2015-12-08 | 2016-03-01 | Completed | 33.33% | $78.13 | $73.95 | -5.40% | Signal | |
| 2015-08-25 | 2015-12-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2015-12-02 | Completed | 33.33% | $74.17 | $79.57 | 7.22% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-02-14 | 2015-08-25 | Completed | 33.33% | $54.73 | $70.95 | 29.59% | Stop | |
| 2012-02-10 | 2015-08-25 | Completed | 33.33% | $47.52 | $70.95 | 49.23% | Stop | |
| 2011-09-01 | 2015-08-25 | Completed | 33.33% | $42.56 | $70.95 | 66.61% | Stop | |
| 2013-01-23 | 2013-02-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-08-14 | 2013-01-23 | Completed | 33.33% | $51.41 | $53.93 | 4.85% | Signal | |
| 2012-07-18 | 2012-08-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-12-21 | 2012-07-18 | Completed | 33.33% | $43.98 | $49.42 | 12.33% | Signal | |
| 2011-10-12 | 2012-02-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-07-29 | 2011-12-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-08-31 | 2011-10-12 | Completed | 33.33% | $42.63 | $42.48 | -0.39% | Signal | |
| 2011-08-10 | 2011-09-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-09 | 2011-08-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-07-27 | 2011-08-10 | Completed | 33.33% | $38.52 | $40.52 | 5.15% | Stop | |
| 2010-12-08 | 2011-08-09 | Completed | 33.33% | $42.09 | $40.25 | -4.42% | Stop | |
| 2010-10-11 | 2011-07-29 | Completed | 33.33% | $40.23 | $44.85 | 11.42% | Signal | |
| 2010-09-24 | 2010-12-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2010-07-09 | 2010-10-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2010-06-01 | 2010-09-24 | Completed | 33.33% | $37.02 | $39.28 | 6.06% | Signal | |
| 2010-07-02 | 2010-07-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-06-01 | 2010-07-09 | Completed | 33.33% | $37.02 | $36.90 | -0.37% | Signal | |
| 2009-08-27 | 2010-07-02 | Completed | 33.33% | $35.66 | $35.42 | -0.70% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-08-21 | 2010-05-07 | Completed | 33.33% | $35.23 | $38.81 | 10.12% | Stop | |
| 2009-06-02 | 2010-05-07 | Completed | 33.33% | $32.27 | $38.81 | 20.22% | Stop | |
| 2008-08-01 | 2009-08-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.44% | Interest Income | |
| 2008-02-14 | 2009-08-21 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.20% | Interest Income | |
| 2008-07-21 | 2009-06-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.46% | Interest Income | |
| 2008-02-14 | 2008-08-01 | Completed | 33.33% | $45.26 | $42.35 | -6.48% | Signal | |
| 2008-06-20 | 2008-07-21 | Completed | 33.33% | $43.54 | $42.08 | -3.40% | Signal | |
| 2008-01-07 | 2008-06-20 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.83% | Interest Income | |
| 2008-02-12 | 2008-02-14 | Completed | 33.33% | $44.53 | $45.26 | 1.60% | Signal | |
| 2008-01-23 | 2008-02-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2008-01-18 | 2008-02-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2006-10-04 | 2008-01-23 | Completed | 33.33% | $43.24 | $42.88 | -0.88% | Stop | |
| 2006-03-29 | 2008-01-18 | Completed | 33.33% | $40.54 | $45.06 | 11.09% | Stop | |
| 2007-11-07 | 2008-01-07 | Completed | 33.33% | $49.91 | $47.33 | -5.23% | Signal | |
| 2007-10-11 | 2007-11-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2007-06-04 | 2007-10-11 | Completed | 33.33% | $49.57 | $51.94 | 4.73% | Signal | |
| 2007-05-10 | 2007-06-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2006-09-20 | 2007-05-10 | Completed | 33.33% | $42.62 | $48.64 | 14.07% | Signal | |
| 2006-08-04 | 2006-10-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.82% | Interest Income | |
| 2006-06-28 | 2006-09-20 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.14% | Interest Income | |
| 2004-01-05 | 2006-08-04 | Completed | 33.33% | $36.64 | $41.18 | 12.32% | Signal | |
| 2006-01-13 | 2006-06-28 | Completed | 33.33% | $40.04 | $39.43 | -1.57% | Signal | |
| 2006-03-07 | 2006-03-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2006-02-28 | 2006-03-07 | Completed | 33.33% | $40.22 | $39.83 | -1.02% | Signal | |
| 2005-09-12 | 2006-02-28 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.83% | Interest Income | |
| 2005-10-21 | 2006-01-13 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.89% | Interest Income | |
| 2005-08-04 | 2005-10-21 | Completed | 33.33% | $39.36 | $37.58 | -4.58% | Signal | |
| 2004-12-17 | 2005-09-12 | Completed | 33.33% | $38.49 | $39.12 | 1.58% | Signal | |
| 2005-05-06 | 2005-08-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.75% | Interest Income | |
| 2004-11-15 | 2005-05-06 | Completed | 33.33% | $38.16 | $38.05 | -0.34% | Signal | |
| 2004-10-01 | 2004-12-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.43% | Interest Income | |
| 2004-05-28 | 2004-11-15 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.72% | Interest Income | |
| 2003-06-05 | 2004-10-01 | Completed | 33.33% | $32.38 | $36.18 | 11.68% | Signal | |
| 2003-05-21 | 2004-05-28 | Completed | 33.33% | $30.34 | $36.55 | 20.41% | Signal | |
| 2003-04-01 | 2004-01-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.75% | Interest Income | |
| 2003-04-01 | 2003-06-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income | |
| 2003-03-20 | 2003-05-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income | |
| 2003-03-21 | 2003-04-01 | Completed | 33.33% | $29.64 | $28.27 | -4.66% | Stop | |
| 2003-03-21 | 2003-04-01 | Completed | 33.33% | $29.64 | $28.27 | -4.66% | Stop | |
| 2002-10-25 | 2003-03-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.47% | Interest Income | |
| 2002-10-25 | 2003-03-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.47% | Interest Income | |
| 2003-03-11 | 2003-03-20 | Completed | 33.33% | $26.99 | $28.98 | 7.33% | Signal | |
| 2003-02-14 | 2003-03-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2002-12-24 | 2003-02-14 | Completed | 33.33% | $29.58 | $27.11 | -8.39% | Stop | |
| 2002-10-25 | 2002-12-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income | |