SHY
iShares 1-3 Year Treasury Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-07
Executive Summary
The quantitative backtest for SHY (iShares 1-3 Year Treasury Bond ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -2.4% (compared to the benchmark's drawdown of -5.7%). 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 1.9%. The strategy executed 31 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.
SHY Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.57% | 3.11% | 3.56% | 1.69% | 2.83% | 1.64% | 2.53% | 1.94% |
| Sharpe Ratio | 3.22 | 2.29 | 2.43 | 0.85 | 2.33 | 1.04 | 2.03 | 1.29 |
| Max Drawdown | -0.51% | -0.89% | -2.37% | -5.71% | -2.37% | -5.71% | -2.37% | -5.71% |
| % Time Invested | 100.0% | 100.0% | 55.5% | 100.0% | 66.1% | 100.0% | 76.8% | 100.0% |
| Trades / Year | 2.0 | 0.0 | 1.6 | 0.0 | 1.4 | 0.0 | 1.4 | 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 |
|---|---|---|---|---|---|---|---|
| 2024-07-31 | Open | Open | 33.33% | $76.44 | $81.86 | 7.09% | Mark-to-Market |
| 2026-05-14 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.49% | Mark-to-Market |
| 2025-06-27 | 2026-05-14 | Completed | 33.33% | $79.81 | $81.98 | 2.71% | 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 |
| 2025-09-12 | 2026-02-11 | Completed | 33.33% | $80.73 | $81.90 | 1.44% | Signal |
| 2025-08-08 | 2025-09-12 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.44% | Interest Income |
| 2025-02-28 | 2025-08-08 | Completed | 33.33% | $78.55 | $80.19 | 2.09% | 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 |
| 2025-04-07 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.61% | Interest Income |
| 2024-07-31 | 2025-04-07 | Completed | 33.33% | $76.44 | $79.41 | 3.88% | Signal |
| 2024-12-23 | 2025-02-28 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.91% | Interest Income |
| 2024-07-31 | 2024-12-23 | Completed | 33.33% | $76.44 | $77.56 | 1.47% | Signal |
| 2024-04-17 | 2024-07-31 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.75% | Interest Income |
| 2023-06-02 | 2024-07-31 | Interest (FLOT) | 33.33% | $1.00 | $1.08 | 7.86% | Interest Income |
| 2023-06-02 | 2024-07-31 | Interest (FLOT) | 33.33% | $1.00 | $1.08 | 7.86% | Interest Income |
| 2024-01-12 | 2024-04-17 | Completed | 33.33% | $75.10 | $74.72 | -0.51% | Signal |
| 2023-06-23 | 2024-01-12 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 3.64% | Interest Income |
| 2023-06-08 | 2023-06-23 | Completed | 33.33% | $72.84 | $72.74 | -0.14% | Signal |
| 2023-06-02 | 2023-06-08 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2023-04-20 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.53% | 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 |
| 2023-04-14 | 2023-04-20 | Completed | 33.33% | $73.07 | $72.99 | -0.11% | Signal |
| 2023-04-04 | 2023-04-14 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.16% | 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 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | 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 |
| 2022-01-13 | 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 |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2018-11-20 | 2022-01-13 | Completed | 33.33% | $70.09 | $74.50 | 6.30% | Signal |
| 2021-11-02 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2021-11-02 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2021-09-02 | 2021-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 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 |
| 2021-08-03 | 2021-09-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-06-23 | 2021-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2021-05-04 | 2021-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2018-11-20 | 2021-06-23 | Completed | 33.33% | $70.09 | $75.19 | 7.27% | Signal |
| 2021-04-20 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-02-18 | 2021-04-20 | Completed | 33.33% | $75.30 | $75.25 | -0.07% | Signal |
| 2020-12-07 | 2021-02-18 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income |
| 2020-02-21 | 2020-12-07 | Completed | 33.33% | $73.51 | $75.24 | 2.36% | Signal |
| 2020-01-15 | 2020-02-21 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income |
| 2018-11-20 | 2020-01-15 | Completed | 33.33% | $70.09 | $73.16 | 4.38% | 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 |
| 2017-09-29 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 2.33% | Interest Income |
| 2017-05-09 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 3.06% | Interest Income |
| 2017-05-02 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 3.02% | Interest Income |
| 2017-05-16 | 2017-09-29 | Completed | 33.33% | $69.72 | $69.92 | 0.28% | Signal |
| 2017-05-02 | 2017-05-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2006-09-05 | 2017-05-09 | Completed | 33.33% | $56.29 | $69.64 | 23.72% | Signal |
| 2017-04-04 | 2017-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2017-04-04 | 2017-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2017-01-04 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2016-11-10 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.67% | Interest Income |
| 2013-11-14 | 2017-01-04 | Completed | 33.33% | $68.37 | $69.40 | 1.50% | Signal |
| 2016-03-09 | 2016-11-10 | Completed | 33.33% | $69.31 | $69.67 | 0.52% | Signal |
| 2016-03-02 | 2016-03-09 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2016-01-05 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.09% | Interest Income |
| 2013-10-23 | 2016-01-05 | Completed | 33.33% | $68.36 | $68.98 | 0.90% | Signal |
| 2013-10-21 | 2013-11-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2013-08-02 | 2013-10-23 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2007-08-22 | 2013-10-21 | Completed | 33.33% | $59.29 | $68.31 | 15.22% | Signal |
| 2013-07-19 | 2013-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2013-02-11 | 2013-07-19 | Completed | 33.33% | $68.19 | $68.21 | 0.03% | Signal |
| 2013-01-17 | 2013-02-11 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2012-06-19 | 2013-01-17 | Completed | 33.33% | $68.04 | $68.17 | 0.19% | Signal |
| 2012-06-04 | 2012-06-19 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2012-04-26 | 2012-06-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.08% | Interest Income |
| 2011-05-13 | 2012-04-26 | Completed | 33.33% | $67.39 | $68.04 | 0.96% | Signal |
| 2011-04-04 | 2011-05-13 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2011-03-02 | 2011-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2011-02-01 | 2011-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2009-07-15 | 2011-02-01 | Completed | 33.33% | $65.26 | $67.08 | 2.80% | Signal |
| 2009-07-02 | 2009-07-15 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-06-02 | 2009-07-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2009-06-01 | 2009-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.08% | Interest Income |
| 2008-09-24 | 2009-06-01 | Completed | 33.33% | $63.41 | $65.11 | 2.69% | Signal |
| 2008-09-03 | 2008-09-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2008-06-30 | 2008-09-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2007-08-22 | 2008-06-30 | Completed | 33.33% | $59.29 | $62.41 | 5.27% | Signal |
| 2007-06-06 | 2007-08-22 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 1.45% | Interest Income |
| 2007-05-29 | 2007-08-22 | Interest (SHV) | 33.33% | $1.00 | $1.02 | 1.56% | Interest Income |
| 2007-05-18 | 2007-06-06 | Completed | 33.33% | $57.98 | $57.94 | -0.08% | Signal |
| 2006-09-05 | 2007-05-29 | Completed | 33.33% | $56.29 | $57.98 | 3.01% | Signal |
| 2007-04-03 | 2007-05-18 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.67% | Interest Income |
| 2007-02-01 | 2007-04-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2006-09-05 | 2007-02-01 | Completed | 33.33% | $56.29 | $57.21 | 1.64% | Signal |
| 2004-12-28 | 2006-09-05 | Interest (CASH) | 33.33% | $1.00 | $1.07 | 6.54% | Interest Income |
| 2004-12-22 | 2006-09-05 | Interest (CASH) | 33.33% | $1.00 | $1.07 | 6.57% | Interest Income |
| 2004-08-20 | 2006-09-05 | Interest (CASH) | 33.33% | $1.00 | $1.07 | 7.25% | Interest Income |
| 2004-09-27 | 2004-12-28 | Completed | 33.33% | $54.14 | $54.04 | -0.19% | Signal |
| 2004-07-26 | 2004-12-22 | Completed | 33.33% | $53.73 | $54.08 | 0.65% | Signal |
| 2004-07-22 | 2004-09-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.28% | Interest Income |
| 2004-07-26 | 2004-08-20 | Completed | 33.33% | $53.73 | $54.11 | 0.70% | Signal |
| 2004-07-22 | 2004-07-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2004-07-22 | 2004-07-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |