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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -22.5% (compared to the benchmark's drawdown of -54.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.7%, compared to a Buy-and-Hold benchmark return of 11.2%. The strategy executed 13 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
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% | 10.21% | 13.59% | 13.40% | 15.97% | 8.72% | 11.18% |
| Sharpe Ratio | 1.17 | 1.17 | 0.76 | 0.72 | 0.95 | 0.80 | 0.69 | 0.58 |
| Max Drawdown | -11.06% | -11.06% | -21.61% | -26.47% | -21.61% | -31.44% | -22.53% | -54.11% |
| % Time Invested | 100.0% | 100.0% | 75.8% | 100.0% | 82.4% | 100.0% | 77.4% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.4 | 0.0 | 0.5 | 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 | ||||||||
| 2025-04-07 | 2025-06-30 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.97% | Interest Income | |
| 2023-02-21 | 2025-04-07 | Completed | 100% | $173.89 | $232.31 | 33.53% | Stop | |
| 2022-02-25 | 2023-02-21 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.66% | Interest Income | |
| 2020-06-22 | 2022-02-25 | Completed | 100% | $131.86 | $187.57 | 42.18% | Stop | |
| 2020-04-06 | 2020-06-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-03-24 | 2020-04-06 | Completed | 100% | $101.45 | $110.48 | 8.85% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-03-29 | 2020-03-02 | Completed | 100% | $113.63 | $123.72 | 8.83% | Stop | |
| 2018-12-18 | 2019-03-29 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.66% | Interest Income | |
| 2016-04-20 | 2018-12-18 | Completed | 100% | $79.94 | $102.95 | 28.71% | Signal | |
| 2016-01-27 | 2016-04-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2015-12-03 | 2016-01-27 | Completed | 100% | $79.03 | $72.09 | -8.82% | Signal | |
| 2015-08-25 | 2015-12-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2012-01-12 | 2015-08-25 | Completed | 100% | $46.02 | $70.95 | 54.10% | Stop | |
| 2011-08-09 | 2012-01-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-10-25 | 2011-08-09 | Completed | 100% | $41.00 | $40.25 | -1.90% | Stop | |
| 2010-07-01 | 2010-10-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2009-06-26 | 2010-07-01 | Completed | 100% | $31.87 | $35.48 | 11.25% | Stop | |
| 2008-01-10 | 2009-06-26 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.41% | Interest Income | |
| 2005-12-06 | 2008-01-10 | Completed | 100% | $39.86 | $46.84 | 17.45% | Signal | |
| 2005-10-24 | 2005-12-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.46% | Interest Income | |
| 2004-11-22 | 2005-10-24 | Completed | 100% | $37.69 | $37.42 | -0.76% | Signal | |
| 2004-08-17 | 2004-11-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 2003-05-12 | 2004-08-17 | Completed | 100% | $30.91 | $35.39 | 14.42% | Signal | |
| 2003-04-01 | 2003-05-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.13% | 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 | |