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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -20.7% (compared to the benchmark's drawdown of -35.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 11.6%, compared to a Buy-and-Hold benchmark return of 14.5%. The strategy executed 7 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.
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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% | 7.76% | 11.47% | 12.31% | 14.47% | 11.64% | 14.48% |
| Sharpe Ratio | 1.29 | 1.29 | 0.59 | 0.63 | 0.91 | 0.74 | 0.90 | 0.79 |
| Max Drawdown | -8.91% | -8.91% | -20.72% | -25.41% | -20.72% | -35.27% | -20.72% | -35.27% |
| % Time Invested | 100.0% | 100.0% | 77.5% | 100.0% | 82.5% | 100.0% | 82.0% | 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 | 2025-07-02 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.01% | Interest Income | |
| 2023-01-30 | 2025-04-07 | Completed | 100% | $15.12 | $18.51 | 22.39% | Stop | |
| 2022-03-09 | 2023-01-30 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.37% | Interest Income | |
| 2020-07-08 | 2022-03-09 | Completed | 100% | $11.45 | $15.74 | 37.42% | Signal | |
| 2020-03-31 | 2020-07-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2020-03-24 | 2020-03-31 | Completed | 100% | $8.38 | $9.33 | 11.31% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-03-28 | 2020-03-02 | Completed | 100% | $10.08 | $10.78 | 6.95% | Stop | |
| 2018-12-10 | 2019-03-28 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.71% | Interest Income | |
| 2016-04-27 | 2018-12-10 | Completed | 100% | $7.07 | $9.36 | 32.29% | Signal | |
| 2016-01-08 | 2016-04-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2015-12-29 | 2016-01-08 | Completed | 100% | $7.01 | $6.64 | -5.41% | Signal | |
| 2015-08-25 | 2015-12-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2012-01-27 | 2015-08-25 | Completed | 100% | $4.15 | $6.66 | 60.64% | Stop | |
| 2011-10-25 | 2012-01-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |