SOXX
iShares Semiconductor ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for SOXX (iShares Semiconductor ETF) using the Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -33.9% (compared to the benchmark's drawdown of -66.8%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 12.8%, compared to a Buy-and-Hold benchmark return of 17.3%. The strategy executed 29 total trades.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
📊 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
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active
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% | 19.23% | 29.92% | 24.36% | 32.95% | 12.82% | 17.26% |
| Sharpe Ratio | 0.92 | 1.83 | 0.64 | 0.69 | 0.84 | 0.83 | 0.56 | 0.52 |
| Max Drawdown | -19.71% | -20.34% | -26.26% | -45.75% | -26.26% | -45.75% | -33.87% | -66.85% |
| % Time Invested | 81.0% | 100.0% | 66.5% | 100.0% | 76.2% | 100.0% | 66.2% | 100.0% |
| Trades / Year | 2.0 | 0.0 | 1.8 | 0.0 | 1.4 | 0.0 | 1.3 | 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 | |
| 2025-07-09 | 2025-11-24 | Completed | 100% | $242.88 | $273.08 | 12.38% | Stop | |
| 2025-02-25 | 2025-07-09 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.57% | Interest Income | |
| 2025-02-20 | 2025-02-25 | Completed | 100% | $230.12 | $216.68 | -5.89% | Stop | |
| 2024-11-12 | 2025-02-20 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.14% | Interest Income | |
| 2024-08-19 | 2024-11-12 | Completed | 100% | $227.55 | $222.61 | -2.22% | Signal | |
| 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 | |
| 2022-10-26 | 2023-10-24 | Completed | 100% | $104.97 | $150.01 | 42.84% | Stop | |
| 2022-03-23 | 2022-10-26 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.23% | Interest Income | |
| 2022-02-15 | 2022-03-23 | Completed | 100% | $152.67 | $151.72 | -0.67% | Signal | |
| 2022-01-24 | 2022-02-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-06-05 | 2022-01-24 | Completed | 100% | $86.20 | $148.89 | 72.63% | Stop | |
| 2020-04-21 | 2020-06-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-23 | 2020-04-21 | Completed | 100% | $56.40 | $70.61 | 25.13% | Signal | |
| 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 | |
| 2019-03-20 | 2019-05-21 | Completed | 100% | $59.65 | $58.30 | -2.31% | Stop | |
| 2018-10-24 | 2019-03-20 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.94% | 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 | |
| 2016-04-13 | 2018-04-26 | Completed | 100% | $27.51 | $52.68 | 91.38% | Stop | |
| 2016-01-13 | 2016-04-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2015-12-24 | 2016-01-13 | Completed | 100% | $27.27 | $24.74 | -9.33% | Signal | |
| 2015-07-28 | 2015-12-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | 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 | |
| 2013-01-24 | 2014-10-13 | Completed | 100% | $15.95 | $22.47 | 40.79% | Stop | |
| 2012-06-22 | 2013-01-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2012-06-12 | 2012-06-22 | Completed | 100% | $14.24 | $14.55 | 2.16% | Signal | |
| 2012-05-18 | 2012-06-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-02-10 | 2012-05-18 | Completed | 100% | $16.37 | $14.48 | -11.57% | Stop | |
| 2011-07-19 | 2012-02-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-07-06 | 2011-07-19 | Completed | 100% | $15.84 | $14.90 | -5.95% | Signal | |
| 2011-06-13 | 2011-07-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-11-10 | 2011-06-13 | Completed | 100% | $14.84 | $15.46 | 4.12% | Stop | |
| 2010-07-15 | 2010-11-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2010-06-01 | 2010-07-15 | Completed | 100% | $13.17 | $13.40 | 1.72% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-05-27 | 2010-05-07 | Completed | 100% | $9.78 | $13.15 | 34.39% | Stop | |
| 2007-11-13 | 2009-05-27 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.88% | Interest Income | |
| 2006-11-16 | 2007-11-13 | Completed | 100% | $17.47 | $16.73 | -4.30% | Stop | |
| 2006-06-09 | 2006-11-16 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.20% | Interest Income | |
| 2005-06-22 | 2006-06-09 | Completed | 100% | $14.90 | $16.07 | 7.79% | Stop | |
| 2005-05-12 | 2005-06-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 2005-03-11 | 2005-05-12 | Completed | 100% | $14.80 | $13.55 | -8.52% | Signal | |
| 2004-05-04 | 2005-03-11 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.56% | 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 | |
| 2003-07-15 | 2004-03-16 | Completed | 100% | $13.63 | $16.52 | 21.13% | Stop | |
| 2003-07-11 | 2003-07-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |