SOXX
iShares Semiconductor ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for SOXX (iShares Semiconductor ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -41.7% (compared to the benchmark's drawdown of -66.8%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 11.8%, compared to a Buy-and-Hold benchmark return of 17.3%. The strategy executed 39 total trades.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
📊 Mathematical Model
Excess Return MMA
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 Active
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.
🎯 Investment Objective
🛡️ Long-Term Investing Active
Ideal for wealth preservation and multi-year horizons. Optimized for low turnover and tax efficiency.
⚔️ Tactical Trading
Ideal for active capital rotation and momentum-first accounts. Optimized for high sensitivity to price shifts.
Switch to MMA to enable
SOXX Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 38.74% | 119.31% | 12.81% | 29.92% | 24.15% | 32.95% | 11.78% | 17.26% |
| Sharpe Ratio | 0.92 | 1.83 | 0.39 | 0.69 | 0.75 | 0.83 | 0.46 | 0.52 |
| Max Drawdown | -19.71% | -20.34% | -37.31% | -45.75% | -37.31% | -45.75% | -41.74% | -66.85% |
| % Time Invested | 81.0% | 100.0% | 79.9% | 100.0% | 86.8% | 100.0% | 76.3% | 100.0% |
| Trades / Year | 2.0 | 0.0 | 2.6 | 0.0 | 1.8 | 0.0 | 1.7 | 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 | ||||||||
| 2026-03-31 | 2026-04-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2025-12-17 | 2026-03-31 | Completed | 100% | $297.00 | $315.45 | 6.16% | Stop | |
| 2025-11-24 | 2025-12-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2025-04-29 | 2025-11-24 | Completed | 100% | $181.00 | $273.08 | 50.80% | Stop | |
| 2025-04-04 | 2025-04-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-03-25 | 2025-04-04 | Completed | 100% | $203.65 | $162.80 | -20.10% | Stop | |
| 2025-03-03 | 2025-03-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-08-19 | 2025-03-03 | Completed | 100% | $227.55 | $209.80 | -7.85% | Stop | |
| 2024-07-26 | 2024-08-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2024-05-14 | 2024-07-26 | Completed | 100% | $217.59 | $226.90 | 4.23% | Stop | |
| 2024-04-22 | 2024-05-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-11-15 | 2024-04-22 | Completed | 100% | $167.64 | $197.77 | 17.92% | Stop | |
| 2023-10-24 | 2023-11-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-01-18 | 2023-10-24 | Completed | 100% | $127.26 | $150.01 | 17.82% | Stop | |
| 2022-11-11 | 2023-01-18 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.76% | Interest Income | |
| 2022-11-07 | 2022-11-11 | Completed | 100% | $107.78 | $119.68 | 10.99% | Signal | |
| 2022-10-14 | 2022-11-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2022-09-27 | 2022-10-14 | Completed | 100% | $108.06 | $102.58 | -5.12% | Stop | |
| 2022-09-02 | 2022-09-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.20% | Interest Income | |
| 2022-07-08 | 2022-09-02 | Completed | 100% | $113.53 | $118.94 | 4.71% | Stop | |
| 2022-06-14 | 2022-07-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2022-05-05 | 2022-06-14 | Completed | 100% | $137.32 | $119.73 | -12.86% | Stop | |
| 2022-04-12 | 2022-05-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2022-02-15 | 2022-04-12 | Completed | 100% | $152.67 | $138.24 | -9.49% | Stop | |
| 2022-01-24 | 2022-02-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-23 | 2022-01-24 | Completed | 100% | $56.40 | $148.89 | 163.84% | Stop | |
| 2020-02-28 | 2020-03-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2019-06-13 | 2020-02-28 | Completed | 100% | $59.34 | $69.09 | 16.36% | Stop | |
| 2019-05-21 | 2019-06-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2019-01-18 | 2019-05-21 | Completed | 100% | $51.13 | $58.30 | 13.97% | Stop | |
| 2018-12-26 | 2019-01-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-11-15 | 2018-12-26 | Completed | 100% | $50.07 | $45.86 | -8.45% | Stop | |
| 2018-10-24 | 2018-11-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-05-18 | 2018-10-24 | Completed | 100% | $56.56 | $50.78 | -10.26% | Stop | |
| 2018-04-26 | 2018-05-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2016-07-15 | 2018-04-26 | Completed | 100% | $29.67 | $52.68 | 77.44% | Stop | |
| 2016-05-18 | 2016-07-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2016-02-09 | 2016-05-18 | Completed | 100% | $22.98 | $26.01 | 13.10% | Signal | |
| 2016-01-15 | 2016-02-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-08-19 | 2016-01-15 | Completed | 100% | $25.29 | $23.47 | -7.24% | Stop | |
| 2015-07-28 | 2015-08-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-11-04 | 2015-07-28 | Completed | 100% | $25.72 | $25.87 | 0.51% | Stop | |
| 2014-10-13 | 2014-11-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-01-14 | 2014-10-13 | Completed | 100% | $15.67 | $22.47 | 43.36% | Stop | |
| 2012-06-14 | 2013-01-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2012-06-12 | 2012-06-14 | Completed | 100% | $14.24 | $14.34 | 0.67% | Signal | |
| 2012-05-18 | 2012-06-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-10-27 | 2012-05-18 | Completed | 100% | $15.03 | $14.48 | -3.66% | Stop | |
| 2011-10-05 | 2011-10-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-30 | 2011-10-05 | Completed | 100% | $13.68 | $13.06 | -4.58% | Stop | |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-07-06 | 2011-08-08 | Completed | 100% | $15.84 | $13.08 | -17.46% | Stop | |
| 2011-06-13 | 2011-07-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-09-22 | 2011-06-13 | Completed | 100% | $12.70 | $15.46 | 21.66% | Stop | |
| 2010-08-30 | 2010-09-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-06-01 | 2010-08-30 | Completed | 100% | $13.17 | $12.11 | -8.11% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-07-20 | 2010-05-07 | Completed | 100% | $11.38 | $13.15 | 15.47% | Stop | |
| 2007-11-16 | 2009-07-20 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.86% | Interest Income | |
| 2007-11-05 | 2007-11-16 | Completed | 100% | $17.42 | $16.66 | -4.39% | Signal | |
| 2007-10-12 | 2007-11-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2007-10-04 | 2007-10-12 | Completed | 100% | $18.59 | $18.40 | -1.04% | Signal | |
| 2007-04-02 | 2007-10-04 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.35% | Interest Income | |
| 2006-07-03 | 2007-04-02 | Completed | 100% | $15.96 | $16.67 | 4.38% | Signal | |
| 2006-06-09 | 2006-07-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2005-05-20 | 2006-06-09 | Completed | 100% | $14.30 | $16.07 | 12.37% | Stop | |
| 2005-03-28 | 2005-05-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.44% | Interest Income | |
| 2005-02-16 | 2005-03-28 | Completed | 100% | $14.64 | $14.10 | -3.71% | Signal | |
| 2005-01-25 | 2005-02-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2004-08-06 | 2005-01-25 | Completed | 100% | $13.35 | $13.08 | -2.02% | Stop | |
| 2004-07-15 | 2004-08-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2004-05-26 | 2004-07-15 | Completed | 100% | $16.30 | $14.04 | -13.90% | Stop | |
| 2004-05-04 | 2004-05-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2004-04-07 | 2004-05-04 | Completed | 100% | $17.52 | $15.33 | -12.54% | Stop | |
| 2004-03-16 | 2004-04-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2003-08-20 | 2004-03-16 | Completed | 100% | $14.01 | $16.52 | 17.82% | Stop | |
| 2003-07-11 | 2003-08-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |