SCHR Schwab Intermediate-term U.S. Treasury ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for SCHR (Schwab Intermediate-term U.S. Treasury ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -4.6% (compared to the benchmark's drawdown of -16.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.4%, compared to a Buy-and-Hold benchmark return of 1.4%. The strategy executed 26 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.
SCHR Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.72% | 3.74% | 2.63% | 0.13% | 2.84% | 1.33% | 2.35% | 1.37% |
| Sharpe Ratio | 1.25 | 1.07 | 1.13 | 0.02 | 1.09 | 0.30 | 0.86 | 0.32 |
| Max Drawdown | -1.58% | -2.79% | -3.78% | -15.07% | -4.60% | -16.11% | -4.60% | -16.11% |
| % Time Invested | 100.0% | 100.0% | 60.3% | 100.0% | 73.0% | 100.0% | 80.2% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 2.0 | 0.0 | 1.7 | 0.0 | 1.9 | 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 |
|---|---|---|---|---|---|---|---|
| 2024-08-05 | Open | Open | 33.33% | $23.67 | $24.71 | 4.37% | Mark-to-Market |
| 2026-05-20 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.12% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2025-06-27 | 2026-05-20 | Completed | 33.33% | $24.10 | $24.46 | 1.51% | Signal |
| 2026-03-03 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.60% | Interest Income |
| 2026-02-11 | 2026-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income |
| 2025-04-21 | 2026-02-11 | Completed | 33.33% | $23.77 | $24.83 | 4.42% | Signal |
| 2025-06-03 | 2025-06-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-03-11 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income |
| 2024-12-17 | 2025-04-21 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.20% | Interest Income |
| 2024-08-05 | 2025-03-11 | Completed | 33.33% | $23.67 | $23.68 | 0.03% | Signal |
| 2024-08-05 | 2024-12-17 | Completed | 33.33% | $23.67 | $23.15 | -2.22% | Signal |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-06-13 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.79% | Interest Income |
| 2024-04-29 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.62% | Interest Income |
| 2023-06-02 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.08 | 7.87% | Interest Income |
| 2024-05-13 | 2024-06-13 | Completed | 33.33% | $22.40 | $22.72 | 1.42% | Signal |
| 2023-06-02 | 2024-05-13 | Interest (FLOT) | 33.33% | $1.00 | $1.07 | 6.52% | Interest Income |
| 2024-01-24 | 2024-04-29 | Completed | 33.33% | $22.64 | $22.16 | -2.08% | Signal |
| 2023-07-11 | 2024-01-24 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 3.51% | Interest Income |
| 2023-06-20 | 2023-07-11 | Completed | 33.33% | $22.20 | $21.98 | -1.03% | Signal |
| 2023-06-02 | 2023-06-20 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income |
| 2023-05-25 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-02-22 | 2023-05-25 | Completed | 33.33% | $21.80 | $22.26 | 2.11% | Signal |
| 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 | 2023-02-22 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.79% | 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 |
| 2022-09-02 | 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 |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-01-06 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-12-10 | 2022-01-06 | Completed | 33.33% | $24.39 | $24.15 | -1.02% | Signal |
| 2021-11-12 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-11-09 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2021-11-02 | 2021-12-10 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2018-11-20 | 2021-11-12 | Completed | 33.33% | $21.40 | $24.37 | 13.88% | Signal |
| 2021-07-30 | 2021-11-09 | Completed | 33.33% | $24.85 | $24.53 | -1.30% | Signal |
| 2021-09-02 | 2021-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2021-08-03 | 2021-09-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-05-04 | 2021-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2021-05-04 | 2021-07-30 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-02-19 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.07% | Interest Income |
| 2020-12-02 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2018-11-20 | 2021-02-19 | Completed | 33.33% | $21.40 | $24.74 | 15.63% | Signal |
| 2020-11-23 | 2020-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2020-02-28 | 2020-11-23 | Completed | 33.33% | $24.21 | $25.02 | 3.37% | Signal |
| 2020-01-09 | 2020-02-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2018-11-20 | 2020-01-09 | Completed | 33.33% | $21.40 | $23.29 | 8.82% | Signal |
| 2018-11-02 | 2018-11-20 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2018-11-02 | 2018-11-20 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2018-11-02 | 2018-11-20 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2018-10-03 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2018-01-29 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.67% | Interest Income |
| 2017-06-30 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 2.74% | Interest Income |
| 2018-08-29 | 2018-10-03 | Completed | 33.33% | $21.39 | $21.23 | -0.75% | Signal |
| 2017-11-21 | 2018-08-29 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.74% | Interest Income |
| 2017-03-24 | 2018-01-29 | Completed | 33.33% | $21.38 | $21.32 | -0.27% | Signal |
| 2017-03-24 | 2017-11-21 | Completed | 33.33% | $21.38 | $21.64 | 1.21% | Signal |
| 2014-04-14 | 2017-06-30 | Completed | 33.33% | $20.28 | $21.66 | 6.81% | Signal |
| 2016-12-29 | 2017-03-24 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income |
| 2016-11-14 | 2017-03-24 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.62% | Interest Income |
| 2014-03-28 | 2016-12-29 | Completed | 33.33% | $20.13 | $21.19 | 5.28% | Signal |
| 2016-02-29 | 2016-11-14 | Completed | 33.33% | $21.70 | $21.45 | -1.15% | Signal |
| 2016-02-04 | 2016-02-29 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-09-21 | 2016-02-04 | Completed | 33.33% | $21.20 | $21.67 | 2.21% | Signal |
| 2015-09-02 | 2015-09-21 | 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 |
| 2015-07-13 | 2015-08-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2013-12-03 | 2015-07-13 | Completed | 33.33% | $20.16 | $20.86 | 3.43% | Signal |
| 2014-04-02 | 2014-04-14 | 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 | 2014-03-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | 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 |
| 2014-01-03 | 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 |
| 2013-12-03 | 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 |
| 2013-08-02 | 2013-12-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2013-11-22 | 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 |
| 2012-07-30 | 2013-11-22 | Completed | 33.33% | $20.47 | $20.14 | -1.61% | Signal |
| 2013-07-08 | 2013-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2013-07-02 | 2013-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2013-05-01 | 2013-07-08 | Completed | 33.33% | $20.70 | $19.82 | -4.23% | Signal |
| 2013-06-06 | 2013-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.16% | Interest Income |
| 2012-07-30 | 2013-06-06 | Completed | 33.33% | $20.47 | $20.34 | -0.63% | Signal |
| 2013-02-26 | 2013-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income |
| 2012-07-30 | 2013-02-26 | Completed | 33.33% | $20.47 | $20.45 | -0.08% | 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 |