SCHR
Schwab Intermediate-term U.S. Treasury ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for SCHR (Schwab Intermediate-term U.S. Treasury ETF) using the Excess Return MMA* 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 2.2%, compared to a Buy-and-Hold benchmark return of 1.3%. The strategy executed 26 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.
SCHR Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.23% | 2.23% | 2.37% | -0.20% | 2.49% | 1.11% | 2.18% | 1.31% |
| Sharpe Ratio | 1.17 | 0.65 | 1.08 | -0.04 | 1.00 | 0.25 | 0.81 | 0.31 |
| Max Drawdown | -1.60% | -2.79% | -3.84% | -15.07% | -4.22% | -16.11% | -4.62% | -16.11% |
| % Time Invested | 100.0% | 100.0% | 60.3% | 100.0% | 73.0% | 100.0% | 80.5% | 100.0% |
| Trades / Year | 0.0 | 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 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 | ||||||||
| 2025-06-27 | 2026-05-20 | Completed | 33.33% | $23.94 | $24.30 | 1.46% | Signal | |
| 2025-04-21 | 2026-02-11 | Completed | 33.33% | $23.62 | $24.66 | 4.37% | Signal | |
| 2025-03-11 | 2025-06-27 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.28% | Interest Income | |
| 2024-12-17 | 2025-04-21 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.41% | Interest Income | |
| 2024-08-05 | 2025-03-11 | Completed | 33.33% | $23.52 | $23.53 | -0.02% | Signal | |
| 2024-08-05 | 2024-12-17 | Completed | 33.33% | $23.52 | $23.00 | -2.27% | Signal | |
| 2024-06-13 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.74% | Interest Income | |
| 2024-04-29 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.42% | Interest Income | |
| 2021-11-12 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.11 | 10.84% | Interest Income | |
| 2024-05-13 | 2024-06-13 | Completed | 33.33% | $22.25 | $22.57 | 1.37% | Signal | |
| 2022-01-06 | 2024-05-13 | Interest (CASH) | 33.33% | $1.00 | $1.10 | 9.50% | Interest Income | |
| 2024-01-24 | 2024-04-29 | Completed | 33.33% | $22.49 | $22.02 | -2.13% | Signal | |
| 2023-07-11 | 2024-01-24 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.95% | Interest Income | |
| 2023-06-20 | 2023-07-11 | Completed | 33.33% | $22.06 | $21.83 | -1.08% | Signal | |
| 2023-05-25 | 2023-06-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-02-22 | 2023-05-25 | Completed | 33.33% | $21.66 | $22.12 | 2.06% | Signal | |
| 2021-11-09 | 2023-02-22 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.73% | Interest Income | |
| 2021-12-10 | 2022-01-06 | Completed | 33.33% | $24.24 | $23.99 | -1.07% | Signal | |
| 2021-02-19 | 2021-12-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2018-11-20 | 2021-11-12 | Completed | 33.33% | $21.26 | $24.21 | 13.83% | Signal | |
| 2021-07-30 | 2021-11-09 | Completed | 33.33% | $24.69 | $24.37 | -1.35% | Signal | |
| 2020-11-23 | 2021-07-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2018-11-20 | 2021-02-19 | Completed | 33.33% | $21.26 | $24.58 | 15.57% | Signal | |
| 2020-02-28 | 2020-11-23 | Completed | 33.33% | $24.05 | $24.86 | 3.32% | Signal | |
| 2020-01-09 | 2020-02-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income | |
| 2018-11-20 | 2020-01-09 | Completed | 33.33% | $21.26 | $23.13 | 8.77% | Signal | |
| 2018-10-03 | 2018-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2018-01-29 | 2018-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.60% | Interest Income | |
| 2017-06-30 | 2018-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.29% | Interest Income | |
| 2018-08-29 | 2018-10-03 | Completed | 33.33% | $21.25 | $21.09 | -0.80% | Signal | |
| 2017-11-21 | 2018-08-29 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.33% | Interest Income | |
| 2017-03-24 | 2018-01-29 | Completed | 33.33% | $21.24 | $21.18 | -0.32% | Signal | |
| 2017-03-24 | 2017-11-21 | Completed | 33.33% | $21.24 | $21.50 | 1.16% | Signal | |
| 2014-04-14 | 2017-06-30 | Completed | 33.33% | $20.15 | $21.52 | 6.75% | Signal | |
| 2016-12-29 | 2017-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2016-11-14 | 2017-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income | |
| 2014-03-28 | 2016-12-29 | Completed | 33.33% | $19.99 | $21.05 | 5.23% | Signal | |
| 2016-02-29 | 2016-11-14 | Completed | 33.33% | $21.56 | $21.31 | -1.20% | Signal | |
| 2016-02-04 | 2016-02-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-21 | 2016-02-04 | Completed | 33.33% | $21.06 | $21.53 | 2.16% | Signal | |
| 2015-07-13 | 2015-09-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-12-03 | 2015-07-13 | Completed | 33.33% | $20.03 | $20.72 | 3.38% | Signal | |
| 2013-11-22 | 2014-04-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2013-06-06 | 2014-03-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2013-07-08 | 2013-12-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2012-07-30 | 2013-11-22 | Completed | 33.33% | $20.33 | $20.01 | -1.66% | Signal | |
| 2013-05-01 | 2013-07-08 | Completed | 33.33% | $20.56 | $19.69 | -4.27% | Signal | |
| 2012-07-30 | 2013-06-06 | Completed | 33.33% | $20.33 | $20.21 | -0.68% | Signal | |
| 2013-02-26 | 2013-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-07-30 | 2013-02-26 | Completed | 33.33% | $20.33 | $20.32 | -0.13% | 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 | |