SCHB Schwab U.S. Broad Market ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for SCHB (Schwab U.S. Broad Market ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -18.6% (compared to the benchmark's drawdown of -35.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 13.1%, compared to a Buy-and-Hold benchmark return of 14.8%. The strategy executed 29 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
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.
SCHB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 21.84% | 29.87% | 8.96% | 12.95% | 14.02% | 15.12% | 13.12% | 14.79% |
| Sharpe Ratio | 1.77 | 2.17 | 0.73 | 0.71 | 1.04 | 0.77 | 1.01 | 0.81 |
| Max Drawdown | -8.91% | -8.91% | -18.61% | -25.41% | -18.61% | -35.27% | -18.61% | -35.27% |
| % Time Invested | 100.0% | 100.0% | 91.5% | 100.0% | 94.8% | 100.0% | 96.0% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.8 | 0.0 | 2.1 | 0.0 | 2.0 | 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 / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| 2026-05-11 | Open | Open | 33.33% | $28.38 | $29.17 | 2.78% | Mark-to-Market |
| 2025-09-15 | Open | Open | 33.33% | $25.26 | $29.17 | 15.49% | Mark-to-Market |
| 2025-04-30 | Open | Open | 33.33% | $20.83 | $29.17 | 40.01% | Mark-to-Market |
| 2026-05-04 | 2026-05-11 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2026-04-09 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2025-07-11 | 2026-04-09 | Completed | 33.33% | $23.84 | $26.06 | 9.31% | Signal |
| 2025-07-01 | 2025-09-15 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.14% | Interest Income |
| 2025-06-03 | 2025-07-11 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.68% | Interest Income |
| 2025-04-30 | 2025-07-01 | Completed | 33.33% | $20.83 | $23.56 | 13.10% | Signal |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-03-27 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2023-11-08 | 2025-04-07 | Completed | 33.33% | $16.39 | $18.56 | 13.25% | Stop |
| 2023-04-20 | 2025-04-07 | Completed | 33.33% | $15.36 | $18.56 | 20.82% | Stop |
| 2024-01-04 | 2025-03-27 | Completed | 33.33% | $17.73 | $21.62 | 21.94% | Signal |
| 2023-11-03 | 2024-01-04 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.02% | Interest Income |
| 2023-06-02 | 2023-11-08 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 2.75% | Interest Income |
| 2023-01-30 | 2023-11-03 | Completed | 33.33% | $15.16 | $16.22 | 6.98% | Signal |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-04 | 2023-04-20 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-01-30 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.40% | Interest Income |
| 2022-11-01 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-20 | 2022-11-01 | Completed | 33.33% | $13.72 | $14.58 | 6.21% | Signal |
| 2022-10-04 | 2022-10-20 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2022-09-28 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.24% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-06-01 | 2022-09-28 | Completed | 33.33% | $15.34 | $13.57 | -11.56% | Stop |
| 2022-05-10 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-05-09 | 2022-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-03-21 | 2022-05-10 | Completed | 33.33% | $16.57 | $14.92 | -9.93% | Stop |
| 2020-04-01 | 2022-05-09 | Completed | 33.33% | $8.92 | $15.00 | 68.12% | Stop |
| 2022-03-02 | 2022-03-21 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2022-02-25 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2022-02-25 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-08-11 | 2022-02-25 | Completed | 33.33% | $12.33 | $15.99 | 29.71% | Stop |
| 2020-06-25 | 2022-02-25 | Completed | 33.33% | $11.05 | $15.99 | 44.68% | Stop |
| 2020-06-16 | 2020-08-11 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.62% | Interest Income |
| 2020-06-02 | 2020-06-25 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.62% | Interest Income |
| 2020-03-24 | 2020-06-16 | Completed | 33.33% | $8.40 | $11.49 | 36.77% | Signal |
| 2020-04-08 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2020-03-24 | 2020-04-08 | Completed | 33.33% | $8.40 | $9.60 | 14.26% | Signal |
| 2020-03-10 | 2020-04-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2019-01-16 | 2020-03-10 | Completed | 33.33% | $9.36 | $10.25 | 9.53% | Stop |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2019-06-20 | 2020-03-02 | Completed | 33.33% | $10.65 | $10.81 | 1.50% | Stop |
| 2019-03-28 | 2020-03-02 | Completed | 33.33% | $10.10 | $10.81 | 7.01% | Stop |
| 2019-03-04 | 2019-06-20 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.98% | Interest Income |
| 2019-03-04 | 2019-03-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2019-02-04 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2018-12-04 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2019-01-11 | 2019-02-04 | Completed | 33.33% | $9.26 | $9.71 | 4.95% | Signal |
| 2018-12-21 | 2019-01-16 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2018-12-18 | 2019-01-11 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2016-09-01 | 2018-12-21 | Completed | 33.33% | $7.46 | $8.80 | 17.99% | Stop |
| 2016-07-12 | 2018-12-18 | Completed | 33.33% | $7.34 | $9.14 | 24.57% | Stop |
| 2018-11-29 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2018-07-03 | 2018-11-29 | Completed | 33.33% | $9.80 | $9.76 | -0.35% | Signal |
| 2018-05-23 | 2018-07-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2016-05-03 | 2018-05-23 | Completed | 33.33% | $7.03 | $9.68 | 37.62% | Signal |
| 2016-07-13 | 2016-09-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.41% | Interest Income |
| 2015-09-17 | 2016-07-13 | Completed | 33.33% | $6.82 | $7.36 | 7.96% | Signal |
| 2016-04-04 | 2016-07-12 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.76% | Interest Income |
| 2016-04-04 | 2016-05-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2016-01-21 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-11-05 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2015-12-23 | 2016-01-21 | Completed | 33.33% | $6.97 | $6.31 | -9.51% | Stop |
| 2015-11-03 | 2015-12-23 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2015-09-17 | 2015-11-05 | Completed | 33.33% | $6.82 | $7.15 | 4.84% | Signal |
| 2015-09-02 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-09-02 | 2015-09-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-09-02 | 2015-09-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2012-09-04 | 2015-08-25 | Completed | 33.33% | $4.48 | $6.68 | 49.06% | Stop |
| 2012-03-13 | 2015-08-25 | Completed | 33.33% | $4.38 | $6.68 | 52.49% | Stop |
| 2011-10-27 | 2015-08-25 | Completed | 33.33% | $4.03 | $6.68 | 65.86% | Stop |
| 2012-07-09 | 2012-09-04 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2011-12-23 | 2012-07-09 | Completed | 33.33% | $3.97 | $4.31 | 8.65% | Signal |
| 2012-01-04 | 2012-03-13 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.83% | Interest Income |
| 2011-12-02 | 2012-01-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-12-02 | 2011-12-23 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2011-10-25 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2011-10-25 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2011-10-25 | 2011-10-27 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |