SCHP
Schwab U.S. TIPS ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-19
Executive Summary
The quantitative backtest for SCHP (Schwab U.S. TIPS ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -8.4% (compared to the benchmark's drawdown of -14.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 1.4%, compared to a Buy-and-Hold benchmark return of 1.8%. The strategy executed 34 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.
📊 Mathematical Model
Excess Return MMA Active
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)
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 | 3.81% | 3.89% | 1.42% | 1.04% | 1.87% | 2.63% | 1.43% | 1.80% |
| Sharpe Ratio | 1.29 | 1.16 | 0.40 | 0.17 | 0.51 | 0.47 | 0.40 | 0.33 |
| Max Drawdown | -1.24% | -1.93% | -6.91% | -14.26% | -8.39% | -14.26% | -8.39% | -14.26% |
| % Time Invested | 100.0% | 100.0% | 77.9% | 100.0% | 80.5% | 100.0% | 81.4% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 2.2 | 0.0 | 2.2 | 0.0 | 2.4 | 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 |
|---|---|---|---|---|---|---|---|
| 2026-06-01 | Open | Open | 33.33% | $26.61 | $26.40 | -0.79% | Mark-to-Market |
| 2026-06-01 | Open | Open | 33.33% | $26.61 | $26.40 | -0.79% | Mark-to-Market |
| 2024-08-05 | Open | Open | 33.33% | $24.83 | $26.40 | 6.34% | Mark-to-Market |
| 2026-05-06 | 2026-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2026-01-22 | 2026-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.29% | Interest Income |
| 2025-05-01 | 2026-05-06 | Completed | 33.33% | $25.57 | $26.61 | 4.00% | Signal |
| 2025-04-16 | 2026-01-22 | Completed | 33.33% | $25.12 | $26.20 | 4.24% | Signal |
| 2025-03-18 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2024-12-20 | 2025-04-16 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.32% | Interest Income |
| 2024-08-14 | 2025-03-18 | Completed | 33.33% | $24.82 | $25.12 | 1.18% | Signal |
| 2024-08-02 | 2024-12-20 | Completed | 33.33% | $24.78 | $24.51 | -1.13% | Signal |
| 2024-07-23 | 2024-08-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income |
| 2023-09-28 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.05 | 4.61% | Interest Income |
| 2024-05-01 | 2024-08-02 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.36% | Interest Income |
| 2024-07-18 | 2024-07-23 | Completed | 33.33% | $24.53 | $24.43 | -0.47% | Signal |
| 2024-06-17 | 2024-07-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.44% | Interest Income |
| 2024-05-24 | 2024-06-17 | Completed | 33.33% | $23.95 | $24.20 | 0.98% | Signal |
| 2023-09-28 | 2024-05-24 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.56% | Interest Income |
| 2024-01-29 | 2024-05-01 | Completed | 33.33% | $23.94 | $23.65 | -1.24% | Signal |
| 2023-07-11 | 2024-01-29 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.01% | Interest Income |
| 2023-04-06 | 2023-09-28 | Completed | 33.33% | $24.16 | $22.89 | -5.31% | Stop |
| 2023-04-06 | 2023-09-28 | Completed | 33.33% | $24.16 | $22.89 | -5.31% | Stop |
| 2023-03-21 | 2023-07-11 | Completed | 33.33% | $23.57 | $23.40 | -0.75% | Signal |
| 2022-09-08 | 2023-04-06 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.48% | Interest Income |
| 2022-05-03 | 2023-04-06 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.17% | Interest Income |
| 2022-02-18 | 2023-03-21 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.06% | Interest Income |
| 2022-05-25 | 2022-09-08 | Completed | 33.33% | $24.73 | $24.09 | -2.63% | Signal |
| 2022-05-03 | 2022-05-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2020-04-03 | 2022-05-03 | Completed | 33.33% | $23.34 | $24.81 | 6.22% | Stop |
| 2020-04-03 | 2022-05-03 | Completed | 33.33% | $23.34 | $24.81 | 6.22% | Stop |
| 2021-06-09 | 2022-02-18 | Completed | 33.33% | $25.16 | $25.35 | 0.69% | Signal |
| 2021-05-17 | 2021-06-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2020-04-03 | 2021-05-17 | Completed | 33.33% | $23.34 | $25.06 | 7.31% | Signal |
| 2020-03-12 | 2020-04-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-03-12 | 2020-04-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-03-12 | 2020-04-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2019-03-15 | 2020-03-12 | Completed | 33.33% | $21.09 | $21.78 | 3.23% | Stop |
| 2019-03-15 | 2020-03-12 | Completed | 33.33% | $21.09 | $21.78 | 3.23% | Stop |
| 2019-03-11 | 2020-03-12 | Completed | 33.33% | $21.00 | $21.78 | 3.67% | Stop |
| 2018-03-01 | 2019-03-15 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.21% | Interest Income |
| 2018-01-18 | 2019-03-15 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.39% | Interest Income |
| 2018-10-09 | 2019-03-11 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.97% | Interest Income |
| 2018-07-16 | 2018-10-09 | Completed | 33.33% | $20.96 | $20.53 | -2.09% | Signal |
| 2018-02-13 | 2018-07-16 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.76% | Interest Income |
| 2017-08-29 | 2018-03-01 | Completed | 33.33% | $20.80 | $20.56 | -1.17% | Signal |
| 2017-08-30 | 2018-02-13 | Completed | 33.33% | $20.76 | $20.48 | -1.41% | Signal |
| 2016-06-10 | 2018-01-18 | Completed | 33.33% | $20.50 | $20.81 | 1.44% | Signal |
| 2017-08-08 | 2017-08-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2017-03-01 | 2017-08-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.46% | Interest Income |
| 2017-02-27 | 2017-08-08 | Completed | 33.33% | $20.76 | $20.65 | -0.56% | Signal |
| 2016-04-22 | 2017-03-01 | Completed | 33.33% | $20.20 | $20.46 | 1.24% | Signal |
| 2016-12-08 | 2017-02-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2016-03-08 | 2016-12-08 | Completed | 33.33% | $19.91 | $20.35 | 2.13% | Signal |
| 2015-12-08 | 2016-06-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2015-02-26 | 2016-04-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income |
| 2015-06-30 | 2016-03-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2014-04-14 | 2015-12-08 | Completed | 33.33% | $19.59 | $19.54 | -0.33% | Signal |
| 2015-03-06 | 2015-06-30 | Completed | 33.33% | $19.84 | $19.76 | -0.47% | Signal |
| 2014-11-11 | 2015-03-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2014-04-14 | 2015-02-26 | Completed | 33.33% | $19.59 | $20.06 | 2.35% | Signal |
| 2014-04-03 | 2014-11-11 | Completed | 33.33% | $19.32 | $19.93 | 3.08% | Signal |
| 2013-10-23 | 2014-04-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2013-06-04 | 2014-04-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2014-01-28 | 2014-04-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2013-12-12 | 2014-01-28 | Completed | 33.33% | $19.14 | $19.35 | 1.04% | Signal |
| 2013-03-12 | 2013-12-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2013-07-05 | 2013-10-23 | Completed | 33.33% | $19.14 | $19.62 | 2.47% | Signal |
| 2013-06-12 | 2013-07-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2012-07-30 | 2013-06-12 | Completed | 33.33% | $20.59 | $19.73 | -4.25% | Stop |
| 2012-07-30 | 2013-06-04 | Completed | 33.33% | $20.59 | $20.09 | -2.51% | Signal |
| 2012-07-30 | 2013-03-12 | Completed | 33.33% | $20.59 | $20.60 | -0.01% | Signal |
| 2012-07-26 | 2012-07-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2012-07-26 | 2012-07-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2012-07-26 | 2012-07-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |