SCHB
Schwab U.S. Broad Market ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for SCHB (Schwab U.S. Broad Market ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -20.9% (compared to the benchmark's drawdown of -35.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 14.3%, compared to a Buy-and-Hold benchmark return of 14.5%. The strategy executed 8 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.
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SCHB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 18.01% | 18.01% | 7.74% | 11.47% | 14.84% | 14.47% | 14.29% | 14.48% |
| Sharpe Ratio | 1.29 | 1.29 | 0.52 | 0.63 | 0.95 | 0.74 | 0.94 | 0.79 |
| Max Drawdown | -8.91% | -8.91% | -20.85% | -25.41% | -20.85% | -35.27% | -20.85% | -35.27% |
| % Time Invested | 100.0% | 100.0% | 76.2% | 100.0% | 85.8% | 100.0% | 89.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.6 | 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 | 2025-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-11-08 | 2025-04-07 | Completed | 100% | $16.35 | $18.51 | 13.19% | Stop | |
| 2022-11-08 | 2023-11-08 | Interest (CASH) | 100% | $1.00 | $1.05 | 5.10% | Interest Income | |
| 2022-10-18 | 2022-11-08 | Completed | 100% | $13.96 | $14.19 | 1.58% | Signal | |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-05-25 | 2022-09-26 | Completed | 100% | $14.44 | $13.61 | -5.85% | Stop | |
| 2022-05-03 | 2022-05-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2020-03-24 | 2022-05-03 | Completed | 100% | $8.38 | $15.36 | 83.26% | Stop | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-01-15 | 2020-03-02 | Completed | 100% | $9.24 | $10.78 | 16.69% | Stop | |
| 2018-12-20 | 2019-01-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-08-31 | 2018-12-20 | Completed | 100% | $7.45 | $8.85 | 18.80% | Stop | |
| 2016-07-18 | 2016-08-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2015-09-17 | 2016-07-18 | Completed | 100% | $6.80 | $7.38 | 8.45% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-10-27 | 2015-08-25 | Completed | 100% | $4.02 | $6.66 | 65.78% | Stop | |
| 2011-10-25 | 2011-10-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |