SCHP Schwab U.S. TIPS ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for SCHP (Schwab U.S. TIPS ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -8.2% (compared to the benchmark's drawdown of -14.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 1.6%, compared to a Buy-and-Hold benchmark return of 1.9%. The strategy executed 34 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.
SCHP Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 5.23% | 5.23% | 1.65% | 1.16% | 2.14% | 2.81% | 1.64% | 1.87% |
| Sharpe Ratio | 1.75 | 1.54 | 0.43 | 0.19 | 0.56 | 0.50 | 0.45 | 0.34 |
| Max Drawdown | -1.24% | -1.93% | -7.26% | -14.26% | -8.18% | -14.26% | -8.18% | -14.26% |
| % Time Invested | 100.0% | 100.0% | 77.8% | 100.0% | 80.5% | 100.0% | 81.3% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 2.4 | 0.0 | 2.3 | 0.0 | 2.5 | 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 / 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 |
|---|---|---|---|---|---|---|---|
| Pending (2026-05-30) | — | Pending Buy | 33.33% | — | — | —% | Pending Next-Day Open |
| Pending (2026-05-30) | — | Pending Buy | 33.33% | — | — | —% | Pending Next-Day Open |
| 2024-08-05 | Open | Open | 33.33% | $25.02 | $26.83 | 7.25% | Mark-to-Market |
| 2026-05-06 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.33% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2025-05-01 | 2026-05-06 | Completed | 33.33% | $25.77 | $26.81 | 4.05% | Signal |
| 2026-03-03 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.60% | Interest Income |
| 2026-01-22 | 2026-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2025-04-16 | 2026-01-22 | Completed | 33.33% | $25.31 | $26.40 | 4.29% | Signal |
| 2025-03-18 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2024-12-20 | 2025-04-16 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.07% | Interest Income |
| 2024-08-14 | 2025-03-18 | Completed | 33.33% | $25.01 | $25.31 | 1.23% | Signal |
| 2024-08-02 | 2024-12-20 | Completed | 33.33% | $24.97 | $24.70 | -1.09% | Signal |
| 2024-08-02 | 2024-08-14 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-05-01 | 2024-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.50% | Interest Income |
| 2024-07-23 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2023-09-28 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.06 | 5.60% | Interest Income |
| 2024-07-18 | 2024-07-23 | Completed | 33.33% | $24.72 | $24.62 | -0.42% | Signal |
| 2024-06-17 | 2024-07-18 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income |
| 2024-05-24 | 2024-06-17 | Completed | 33.33% | $24.13 | $24.38 | 1.03% | Signal |
| 2023-09-28 | 2024-05-24 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 4.46% | Interest Income |
| 2024-01-29 | 2024-05-01 | Completed | 33.33% | $24.12 | $23.83 | -1.19% | Signal |
| 2023-07-11 | 2024-01-29 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 3.71% | Interest Income |
| 2023-04-06 | 2023-09-28 | Completed | 33.33% | $24.35 | $23.07 | -5.26% | Stop |
| 2023-04-06 | 2023-09-28 | Completed | 33.33% | $24.35 | $23.07 | -5.26% | Stop |
| 2023-03-21 | 2023-07-11 | Completed | 33.33% | $23.75 | $23.58 | -0.70% | Signal |
| 2023-04-04 | 2023-04-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2023-04-04 | 2023-04-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | 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 | 2023-03-21 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.73% | 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 |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-09-08 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.22% | 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 |
| 2022-05-25 | 2022-09-08 | Completed | 33.33% | $24.92 | $24.27 | -2.58% | Signal |
| 2022-05-03 | 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 |
| 2022-05-03 | 2022-05-25 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2020-04-03 | 2022-05-03 | Completed | 33.33% | $23.52 | $25.00 | 6.27% | Stop |
| 2020-04-03 | 2022-05-03 | Completed | 33.33% | $23.52 | $25.00 | 6.27% | Stop |
| 2022-02-18 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2021-06-09 | 2022-02-18 | Completed | 33.33% | $25.35 | $25.54 | 0.75% | Signal |
| 2021-05-17 | 2021-06-09 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-04-03 | 2021-05-17 | Completed | 33.33% | $23.52 | $25.26 | 7.37% | Signal |
| 2020-03-12 | 2020-04-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2020-03-12 | 2020-04-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2020-03-12 | 2020-04-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2019-03-15 | 2020-03-12 | Completed | 33.33% | $21.25 | $21.95 | 3.29% | Stop |
| 2019-03-15 | 2020-03-12 | Completed | 33.33% | $21.25 | $21.95 | 3.29% | Stop |
| 2019-03-11 | 2020-03-12 | Completed | 33.33% | $21.16 | $21.95 | 3.72% | Stop |
| 2019-03-04 | 2019-03-15 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2019-03-04 | 2019-03-15 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2019-03-04 | 2019-03-11 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2018-12-04 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2018-12-04 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2018-12-04 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-10-09 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2018-03-01 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.46% | Interest Income |
| 2018-01-18 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.77% | Interest Income |
| 2018-07-16 | 2018-10-09 | Completed | 33.33% | $21.12 | $20.69 | -2.04% | Signal |
| 2018-02-13 | 2018-07-16 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.81% | Interest Income |
| 2017-08-29 | 2018-03-01 | Completed | 33.33% | $20.95 | $20.72 | -1.12% | Signal |
| 2017-08-30 | 2018-02-13 | Completed | 33.33% | $20.92 | $20.64 | -1.36% | Signal |
| 2016-06-10 | 2018-01-18 | Completed | 33.33% | $20.66 | $20.97 | 1.49% | Signal |
| 2017-08-08 | 2017-08-30 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2017-05-02 | 2017-08-29 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income |
| 2017-02-27 | 2017-08-08 | Completed | 33.33% | $20.92 | $20.81 | -0.51% | Signal |
| 2017-04-04 | 2017-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2017-03-01 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2016-04-22 | 2017-03-01 | Completed | 33.33% | $20.35 | $20.61 | 1.29% | Signal |
| 2016-12-08 | 2017-02-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.44% | Interest Income |
| 2016-03-08 | 2016-12-08 | Completed | 33.33% | $20.06 | $20.50 | 2.18% | Signal |
| 2016-04-04 | 2016-06-10 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.54% | Interest Income |
| 2016-04-04 | 2016-04-22 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.24% | 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 |
| 2016-03-02 | 2016-03-08 | 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 |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2015-12-08 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2015-11-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-11-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2014-04-14 | 2015-12-08 | Completed | 33.33% | $19.74 | $19.69 | -0.28% | Signal |
| 2015-09-02 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-09-02 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-08-04 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2015-08-04 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2015-07-02 | 2015-08-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-07-02 | 2015-08-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2015-06-30 | 2015-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2015-03-03 | 2015-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2015-03-06 | 2015-06-30 | Completed | 33.33% | $19.99 | $19.91 | -0.42% | Signal |
| 2015-03-03 | 2015-03-06 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2015-02-26 | 2015-03-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2015-02-03 | 2015-03-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2014-04-14 | 2015-02-26 | Completed | 33.33% | $19.74 | $20.21 | 2.40% | Signal |
| 2015-01-05 | 2015-02-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2014-12-02 | 2015-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2014-11-11 | 2014-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2014-04-03 | 2014-11-11 | Completed | 33.33% | $19.47 | $20.08 | 3.13% | Signal |
| 2014-04-02 | 2014-04-14 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2014-04-02 | 2014-04-14 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2014-04-02 | 2014-04-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2014-03-04 | 2014-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2014-03-04 | 2014-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2014-03-04 | 2014-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2014-02-04 | 2014-03-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2014-02-04 | 2014-03-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2014-02-04 | 2014-03-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2014-01-28 | 2014-02-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2014-01-03 | 2014-02-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2014-01-03 | 2014-02-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2013-12-12 | 2014-01-28 | Completed | 33.33% | $19.29 | $19.50 | 1.09% | Signal |
| 2013-12-03 | 2014-01-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2013-12-03 | 2014-01-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2013-12-03 | 2013-12-12 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2013-10-23 | 2013-12-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.15% | Interest Income |
| 2013-08-02 | 2013-12-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2013-08-02 | 2013-12-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2013-07-05 | 2013-10-23 | Completed | 33.33% | $19.28 | $19.77 | 2.52% | Signal |
| 2013-07-02 | 2013-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2013-07-02 | 2013-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2013-07-02 | 2013-07-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2013-06-12 | 2013-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.12% | Interest Income |
| 2013-06-04 | 2013-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.16% | Interest Income |
| 2013-03-12 | 2013-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2012-07-30 | 2013-06-12 | Completed | 33.33% | $20.75 | $19.88 | -4.20% | Stop |
| 2012-07-30 | 2013-06-04 | Completed | 33.33% | $20.75 | $20.24 | -2.46% | Signal |
| 2012-07-30 | 2013-03-12 | Completed | 33.33% | $20.75 | $20.76 | 0.04% | Signal |
| 2012-07-26 | 2012-07-30 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2012-07-26 | 2012-07-30 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2012-07-26 | 2012-07-30 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |