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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -30.4% (compared to the benchmark's drawdown of -54.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.3%, compared to a Buy-and-Hold benchmark return of 11.2%. The strategy executed 14 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
OEF Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 17.16% | 17.16% | 5.16% | 13.59% | 13.17% | 15.97% | 8.32% | 11.18% |
| Sharpe Ratio | 1.17 | 1.17 | 0.34 | 0.72 | 0.83 | 0.80 | 0.58 | 0.58 |
| Max Drawdown | -11.06% | -11.06% | -30.45% | -26.47% | -30.45% | -31.44% | -30.45% | -54.11% |
| % Time Invested | 100.0% | 100.0% | 79.8% | 100.0% | 88.6% | 100.0% | 84.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.0 | 0.0 | 0.7 | 0.0 | 0.6 | 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 | ||||||||
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-11-08 | 2025-04-07 | Completed | 100% | $201.80 | $232.31 | 15.07% | Stop | |
| 2023-09-27 | 2023-11-08 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.65% | Interest Income | |
| 2023-07-20 | 2023-09-27 | Completed | 100% | $205.42 | $194.99 | -5.13% | Stop | |
| 2022-11-28 | 2023-07-20 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.12% | Interest Income | |
| 2022-10-18 | 2022-11-28 | Completed | 100% | $163.28 | $171.44 | 4.94% | Signal | |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-06-03 | 2022-09-26 | Completed | 100% | $178.28 | $159.90 | -10.36% | Stop | |
| 2022-05-11 | 2022-06-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2022-03-21 | 2022-05-11 | Completed | 100% | $194.49 | $173.39 | -10.89% | Stop | |
| 2022-02-25 | 2022-03-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-24 | 2022-02-25 | Completed | 100% | $101.45 | $187.57 | 84.81% | Stop | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-01-16 | 2020-03-02 | Completed | 100% | $104.92 | $123.72 | 17.86% | Stop | |
| 2018-12-21 | 2019-01-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2015-09-17 | 2018-12-21 | Completed | 100% | $74.17 | $99.12 | 33.56% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-31 | 2015-08-25 | Completed | 100% | $42.63 | $70.95 | 66.37% | Stop | |
| 2011-08-09 | 2011-08-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-07-26 | 2011-08-09 | Completed | 100% | $38.04 | $40.25 | 5.73% | Stop | |
| 2010-07-01 | 2010-07-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-08-27 | 2010-07-01 | Completed | 100% | $35.66 | $35.48 | -0.55% | Stop | |
| 2008-07-16 | 2009-08-27 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.52% | Interest Income | |
| 2008-02-13 | 2008-07-16 | Completed | 100% | $44.93 | $40.11 | -10.78% | Stop | |
| 2008-01-22 | 2008-02-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2004-01-06 | 2008-01-22 | Completed | 100% | $36.99 | $42.60 | 15.10% | Stop | |
| 2003-04-01 | 2004-01-06 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.75% | Interest Income | |
| 2003-03-21 | 2003-04-01 | Completed | 100% | $29.64 | $28.27 | -4.66% | Stop | |
| 2002-10-25 | 2003-03-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.47% | Interest Income | |