SCHZ
Schwab U.S. Aggregate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for SCHZ (Schwab U.S. Aggregate Bond 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 -18.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.5%, compared to a Buy-and-Hold benchmark return of 2.0%. The strategy executed 25 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.
SCHZ Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.10% | 3.18% | 2.59% | -0.35% | 2.34% | 1.34% | 2.55% | 2.02% |
| Sharpe Ratio | 1.07 | 0.84 | 1.01 | -0.06 | 0.74 | 0.25 | 0.84 | 0.40 |
| Max Drawdown | -2.00% | -2.69% | -4.46% | -18.01% | -8.40% | -18.74% | -8.40% | -18.74% |
| % Time Invested | 100.0% | 100.0% | 66.5% | 100.0% | 76.3% | 100.0% | 81.8% | 100.0% |
| Trades / Year | 2.0 | 0.0 | 1.8 | 0.0 | 1.9 | 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 | ||||||||
| 2025-08-25 | 2026-03-11 | Completed | 33.33% | $22.39 | $23.05 | 2.90% | Signal | |
| 2025-10-13 | 2025-11-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2024-08-05 | 2025-10-13 | Completed | 33.33% | $21.89 | $22.79 | 4.07% | Signal | |
| 2025-03-17 | 2025-09-08 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.05% | Interest Income | |
| 2025-08-01 | 2025-08-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-04-29 | 2025-08-01 | Completed | 33.33% | $21.94 | $22.28 | 1.53% | Signal | |
| 2024-12-20 | 2025-04-29 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.46% | Interest Income | |
| 2024-04-19 | 2025-03-17 | Completed | 33.33% | $20.46 | $21.86 | 6.76% | Signal | |
| 2024-08-05 | 2024-12-20 | Completed | 33.33% | $21.89 | $21.38 | -2.35% | Signal | |
| 2024-05-08 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.27% | Interest Income | |
| 2022-01-04 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.11 | 10.83% | Interest Income | |
| 2024-01-23 | 2024-05-08 | Completed | 33.33% | $20.82 | $20.71 | -0.60% | Signal | |
| 2022-02-14 | 2024-04-19 | Interest (CASH) | 33.33% | $1.00 | $1.09 | 9.11% | Interest Income | |
| 2023-05-18 | 2024-01-23 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.68% | Interest Income | |
| 2023-02-13 | 2023-05-18 | Completed | 33.33% | $20.33 | $20.48 | 0.69% | Signal | |
| 2021-11-30 | 2023-02-13 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.61% | Interest Income | |
| 2021-10-14 | 2022-02-14 | Completed | 33.33% | $23.01 | $22.14 | -3.81% | Signal | |
| 2020-04-06 | 2022-01-04 | Completed | 33.33% | $22.38 | $22.81 | 1.84% | Signal | |
| 2021-07-22 | 2021-11-30 | Completed | 33.33% | $23.17 | $23.11 | -0.31% | Signal | |
| 2021-03-24 | 2021-10-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-12-14 | 2021-07-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-04-06 | 2021-03-24 | Completed | 33.33% | $22.38 | $22.63 | 1.05% | Signal | |
| 2020-04-06 | 2020-12-14 | Completed | 33.33% | $22.38 | $23.33 | 4.20% | Signal | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2018-12-06 | 2020-03-13 | Completed | 33.33% | $19.80 | $21.28 | 7.47% | Stop | |
| 2018-12-06 | 2020-03-13 | Completed | 33.33% | $19.80 | $21.28 | 7.47% | Stop | |
| 2018-12-06 | 2020-03-13 | Completed | 33.33% | $19.80 | $21.28 | 7.47% | Stop | |
| 2018-10-16 | 2018-12-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 2018-03-01 | 2018-12-06 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.56% | Interest Income | |
| 2017-09-29 | 2018-12-06 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.12% | Interest Income | |
| 2018-08-27 | 2018-10-16 | Completed | 33.33% | $19.87 | $19.60 | -1.43% | Signal | |
| 2017-12-21 | 2018-08-27 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.20% | Interest Income | |
| 2017-03-24 | 2018-03-01 | Completed | 33.33% | $19.51 | $19.64 | 0.62% | Signal | |
| 2017-03-24 | 2017-12-21 | Completed | 33.33% | $19.51 | $19.92 | 2.04% | Signal | |
| 2014-04-01 | 2017-09-29 | Completed | 33.33% | $18.10 | $19.99 | 10.43% | Signal | |
| 2017-02-01 | 2017-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2016-11-28 | 2017-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2016-01-08 | 2017-02-01 | Completed | 33.33% | $19.02 | $19.39 | 1.92% | Signal | |
| 2015-10-15 | 2016-11-28 | Completed | 33.33% | $19.13 | $19.36 | 1.12% | Signal | |
| 2015-09-30 | 2016-01-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2015-06-29 | 2015-10-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-03-03 | 2015-09-30 | Completed | 33.33% | $18.15 | $18.99 | 4.60% | Signal | |
| 2013-11-25 | 2015-06-29 | Completed | 33.33% | $17.86 | $18.73 | 4.82% | Signal | |
| 2013-12-11 | 2014-04-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2013-07-09 | 2014-03-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2013-07-11 | 2013-12-11 | Completed | 33.33% | $17.58 | $17.88 | 1.66% | Signal | |
| 2013-07-09 | 2013-11-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2013-07-09 | 2013-07-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |