SCHI
Schwab 5-10 Year Corporate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-10
Executive Summary
The quantitative backtest for SCHI (Schwab 5-10 Year Corporate Bond ETF) using the Excess Return MMA* strategy in a Trading context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -5.3% (compared to the benchmark's drawdown of -20.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.7%, compared to a Buy-and-Hold benchmark return of 1.7%. The strategy executed 42 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for SCHI:
Excess Return MMA Active Model
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.
Available in Investing Mode
Moving Average (50/200)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
Available in Investing Mode
🎯 Trading Horizon
Select risk profile & execution style for SCHI:
🛡️ Long-Term Investing
Ideal for wealth preservation and multi-year horizons. Optimized for low turnover and tax efficiency.
⚔️ Tactical Trading Active Horizon
Ideal for active capital rotation and momentum-first accounts. Optimized for high sensitivity to price shifts.
🛡️ SCHI Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-5.3% (vs -20.7% B&H)
+15.4% shallower drawdown
Downside Efficiency
1.03 Sortino
+0.62 vs 0.41 B&H
Capital Sheltered from Risk
47.2% of Time
Earning Treasury yield during downturns
* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.
📊 SCHI Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -3.30% | -3.28% | -4.83% | -20.45% | -5.32% | -20.67% |
| Sharpe Ratio | -0.52 | -0.19 | 0.58 | 0.08 | 0.81 | 0.28 |
| Sortino Ratio | -0.68 | -0.30 | 0.73 | 0.12 | 1.03 | 0.41 |
| CAGR | -1.50% | -0.79% | 1.96% | 0.50% | 2.66% | 1.73% |
| % Time Invested | 66.4% | 100.0% | 47.5% | 100.0% | 52.8% | 100.0% |
| Trades / Year | 6.0 | 0.0 | 6.6 | 0.0 | 6.6 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Loading Top Diversifiers for SCHI... Top Diversifiers for SCHI
Explore Correlation Across Horizons →Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.
| Diversifier Asset | Category | 1Y Correlation (r) | Action |
|---|---|---|---|
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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. Subscribe to Unlock | ||||||||
| 2026-05-18 | 2026-06-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 2026-03-26 | 2026-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.65% | Interest Income | |
| 2026-03-24 | 2026-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.68% | Interest Income | |
| 2026-04-23 | 2026-05-18 | Completed | 33.33% | $22.36 | $22.10 | -1.21% | Signal | |
| 2026-03-19 | 2026-04-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2026-03-05 | 2026-03-26 | Completed | 33.33% | $22.39 | $22.01 | -1.75% | Signal | |
| 2025-04-30 | 2026-03-24 | Completed | 33.33% | $20.90 | $21.98 | 5.11% | Signal | |
| 2026-02-19 | 2026-03-19 | Completed | 33.33% | $22.46 | $22.04 | -1.94% | Signal | |
| 2026-02-10 | 2026-03-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2026-01-27 | 2026-02-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2025-12-31 | 2026-02-10 | Completed | 33.33% | $22.25 | $22.38 | 0.56% | Signal | |
| 2025-12-12 | 2026-01-27 | Completed | 33.33% | $22.12 | $22.26 | 0.56% | Signal | |
| 2025-11-24 | 2025-12-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income | |
| 2025-11-17 | 2025-12-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-05-30 | 2025-11-24 | Completed | 33.33% | $20.94 | $22.14 | 5.70% | Signal | |
| 2025-05-13 | 2025-11-17 | Completed | 33.33% | $20.75 | $21.99 | 5.91% | Signal | |
| 2025-04-22 | 2025-05-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.46% | Interest Income | |
| 2025-04-09 | 2025-05-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2024-12-31 | 2025-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.37% | Interest Income | |
| 2025-02-26 | 2025-04-22 | Completed | 33.33% | $20.76 | $20.60 | -0.80% | Signal | |
| 2025-02-07 | 2025-04-09 | Completed | 33.33% | $20.49 | $20.29 | -1.00% | Signal | |
| 2024-10-29 | 2025-02-26 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.39% | Interest Income | |
| 2024-12-31 | 2025-02-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income | |
| 2024-12-10 | 2024-12-31 | Completed | 33.33% | $20.65 | $20.35 | -1.48% | Signal | |
| 2024-08-01 | 2024-12-31 | Completed | 33.33% | $20.34 | $20.35 | -0.00% | Signal | |
| 2024-10-16 | 2024-12-10 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.68% | Interest Income | |
| 2024-06-06 | 2024-10-29 | Completed | 33.33% | $19.74 | $20.35 | 3.02% | Signal | |
| 2024-05-20 | 2024-10-16 | Completed | 33.33% | $19.55 | $20.74 | 5.99% | Signal | |
| 2024-05-16 | 2024-08-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.10% | Interest Income | |
| 2024-02-23 | 2024-06-06 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.53% | Interest Income | |
| 2024-04-09 | 2024-05-20 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income | |
| 2024-01-11 | 2024-05-16 | Completed | 33.33% | $19.50 | $19.64 | 0.69% | Signal | |
| 2024-03-25 | 2024-04-09 | Completed | 33.33% | $19.60 | $19.47 | -0.70% | Signal | |
| 2024-01-30 | 2024-03-25 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.80% | Interest Income | |
| 2023-11-29 | 2024-02-23 | Completed | 33.33% | $18.90 | $19.36 | 2.36% | Signal | |
| 2023-11-15 | 2024-01-30 | Completed | 33.33% | $18.47 | $19.56 | 5.85% | Signal | |
| 2023-07-10 | 2024-01-11 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.79% | Interest Income | |
| 2023-05-30 | 2023-11-29 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.75% | Interest Income | |
| 2023-08-11 | 2023-11-15 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.45% | Interest Income | |
| 2023-08-02 | 2023-08-11 | Completed | 33.33% | $18.56 | $18.50 | -0.37% | Signal | |
| 2023-05-10 | 2023-08-02 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.20% | Interest Income | |
| 2023-06-20 | 2023-07-10 | Completed | 33.33% | $18.64 | $18.40 | -1.34% | Signal | |
| 2023-05-25 | 2023-06-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-04-13 | 2023-05-30 | Completed | 33.33% | $18.90 | $18.56 | -1.84% | Signal | |
| 2023-02-03 | 2023-05-25 | Completed | 33.33% | $18.84 | $18.50 | -1.85% | Signal | |
| 2023-03-28 | 2023-05-10 | Completed | 33.33% | $18.60 | $18.81 | 1.09% | Signal | |
| 2023-03-08 | 2023-04-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.47% | Interest Income | |
| 2023-02-24 | 2023-03-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income | |
| 2022-11-30 | 2023-03-08 | Completed | 33.33% | $17.97 | $18.19 | 1.16% | Signal | |
| 2023-02-07 | 2023-02-24 | Completed | 33.33% | $18.66 | $18.18 | -2.59% | Signal | |
| 2023-01-13 | 2023-02-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2021-11-24 | 2023-02-03 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.49% | Interest Income | |
| 2022-11-16 | 2023-01-13 | Completed | 33.33% | $17.99 | $18.69 | 3.82% | Signal | |
| 2022-09-15 | 2022-11-30 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.81% | Interest Income | |
| 2022-09-02 | 2022-11-16 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.75% | Interest Income | |
| 2022-08-03 | 2022-09-15 | Completed | 33.33% | $18.76 | $18.04 | -3.88% | Signal | |
| 2022-07-21 | 2022-09-02 | Completed | 33.33% | $18.41 | $18.25 | -0.95% | Signal | |
| 2022-01-11 | 2022-08-03 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.55% | Interest Income | |
| 2022-06-16 | 2022-07-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2022-06-07 | 2022-06-16 | Completed | 33.33% | $18.63 | $17.92 | -3.90% | Signal | |
| 2022-01-12 | 2022-06-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income | |
| 2021-12-22 | 2022-01-12 | Completed | 33.33% | $20.93 | $20.67 | -1.29% | Signal | |
| 2022-01-05 | 2022-01-11 | Completed | 33.33% | $20.84 | $20.63 | -1.10% | Signal | |
| 2021-09-29 | 2022-01-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-10-01 | 2021-12-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-07-16 | 2021-11-24 | Completed | 33.33% | $21.20 | $20.69 | -2.46% | Signal | |
| 2021-09-21 | 2021-10-01 | Completed | 33.33% | $21.30 | $21.09 | -1.04% | Signal | |
| 2021-05-07 | 2021-09-29 | Completed | 33.33% | $20.86 | $21.11 | 1.16% | Signal | |
| 2021-08-27 | 2021-09-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-04-20 | 2021-08-27 | Completed | 33.33% | $20.67 | $21.19 | 2.43% | Signal | |
| 2021-03-30 | 2021-07-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-02-11 | 2021-05-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-01-27 | 2021-04-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-06-03 | 2021-03-30 | Completed | 33.33% | $20.27 | $20.46 | 0.91% | Signal | |
| 2020-11-06 | 2021-02-11 | Completed | 33.33% | $21.05 | $21.24 | 0.86% | Signal | |
| 2020-10-26 | 2021-01-27 | Completed | 33.33% | $20.93 | $21.25 | 1.45% | Signal | |
| 2020-09-30 | 2020-11-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-09-03 | 2020-10-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-05-01 | 2020-09-30 | Completed | 33.33% | $19.56 | $20.87 | 6.62% | Signal | |
| 2020-04-24 | 2020-09-03 | Completed | 33.33% | $19.57 | $21.04 | 7.46% | Signal | |
| 2020-05-01 | 2020-06-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-04-24 | 2020-05-01 | Completed | 33.33% | $19.57 | $19.56 | -0.07% | Signal | |
| 2020-04-22 | 2020-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-04-22 | 2020-04-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-04-22 | 2020-04-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |