TLH
iShares 10-20 Year Treasury Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for TLH (iShares 10-20 Year Treasury Bond ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -10.4% (compared to the benchmark's drawdown of -41.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.2%, compared to a Buy-and-Hold benchmark return of 1.7%. The strategy executed 57 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.
TLH Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 1.44% | 2.12% | 0.98% | -5.05% | 2.17% | -1.19% | 3.20% | 1.69% |
| Sharpe Ratio | 0.42 | 0.27 | 0.25 | -0.41 | 0.40 | -0.11 | 0.48 | 0.16 |
| Max Drawdown | -2.47% | -6.50% | -8.25% | -35.41% | -10.42% | -41.14% | -10.42% | -41.14% |
| % Time Invested | 85.3% | 100.0% | 57.4% | 100.0% | 70.0% | 100.0% | 80.6% | 100.0% |
| Trades / Year | 2.0 | 0.0 | 3.6 | 0.0 | 3.3 | 0.0 | 3.2 | 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 | ||||||||
| 2025-11-07 | 2026-05-21 | Completed | 33.33% | $100.00 | $97.00 | -3.05% | Signal | |
| 2025-09-19 | 2026-02-11 | Completed | 33.33% | $99.14 | $100.42 | 1.24% | Signal | |
| 2025-02-26 | 2025-11-07 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.98% | Interest Income | |
| 2025-06-09 | 2025-09-19 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.20% | Interest Income | |
| 2025-04-30 | 2025-08-06 | Completed | 33.33% | $97.33 | $97.47 | 0.10% | Signal | |
| 2025-05-01 | 2025-06-09 | Completed | 33.33% | $97.34 | $93.81 | -3.68% | Signal | |
| 2024-12-16 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.56% | Interest Income | |
| 2024-10-22 | 2025-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.23% | Interest Income | |
| 2025-02-05 | 2025-02-26 | Completed | 33.33% | $95.55 | $97.41 | 1.89% | Signal | |
| 2025-01-13 | 2025-02-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-11-15 | 2025-01-13 | Completed | 33.33% | $94.49 | $91.53 | -3.18% | Stop | |
| 2024-11-15 | 2024-12-16 | Completed | 33.33% | $94.49 | $95.53 | 1.04% | Signal | |
| 2024-10-24 | 2024-11-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2024-10-24 | 2024-11-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2024-08-05 | 2024-10-24 | Completed | 33.33% | $101.74 | $96.28 | -5.42% | Stop | |
| 2024-05-10 | 2024-10-24 | Completed | 33.33% | $92.39 | $96.28 | 4.16% | Stop | |
| 2024-08-05 | 2024-10-22 | Completed | 33.33% | $101.74 | $96.79 | -4.92% | Stop | |
| 2024-05-10 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.23% | Interest Income | |
| 2021-08-10 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.11 | 10.85% | Interest Income | |
| 2024-05-08 | 2024-05-10 | Completed | 33.33% | $92.37 | $92.39 | -0.03% | Signal | |
| 2023-08-28 | 2024-05-10 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.83% | Interest Income | |
| 2024-04-16 | 2024-05-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2024-01-25 | 2024-04-16 | Completed | 33.33% | $94.10 | $89.82 | -4.60% | Stop | |
| 2023-06-26 | 2024-01-25 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.18% | Interest Income | |
| 2023-08-21 | 2023-08-28 | Completed | 33.33% | $90.48 | $92.53 | 2.21% | Signal | |
| 2022-03-11 | 2023-08-21 | Interest (CASH) | 33.33% | $1.00 | $1.05 | 5.28% | Interest Income | |
| 2023-06-20 | 2023-06-26 | Completed | 33.33% | $97.54 | $97.99 | 0.41% | Signal | |
| 2023-05-25 | 2023-06-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-02-13 | 2023-05-25 | Completed | 33.33% | $96.95 | $95.92 | -1.11% | Signal | |
| 2021-12-15 | 2023-02-13 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.60% | Interest Income | |
| 2022-03-02 | 2022-03-11 | Completed | 33.33% | $120.10 | $116.68 | -2.90% | Signal | |
| 2022-02-07 | 2022-03-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2021-10-29 | 2022-02-07 | Completed | 33.33% | $123.66 | $119.26 | -3.61% | Stop | |
| 2021-07-27 | 2021-12-15 | Completed | 33.33% | $126.99 | $126.04 | -0.80% | Signal | |
| 2021-01-20 | 2021-10-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2021-03-11 | 2021-08-10 | Completed | 33.33% | $119.21 | $126.02 | 5.66% | Signal | |
| 2020-11-02 | 2021-07-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2021-02-17 | 2021-03-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-12-03 | 2021-02-17 | Completed | 33.33% | $131.94 | $124.33 | -5.82% | Stop | |
| 2020-12-03 | 2021-01-20 | Completed | 33.33% | $131.94 | $128.51 | -2.65% | Signal | |
| 2020-11-10 | 2020-12-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-11-10 | 2020-12-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-04-07 | 2020-11-10 | Completed | 33.33% | $135.48 | $130.73 | -3.55% | Stop | |
| 2020-04-07 | 2020-11-10 | Completed | 33.33% | $135.48 | $130.73 | -3.55% | Stop | |
| 2020-04-07 | 2020-11-02 | Completed | 33.33% | $135.48 | $133.27 | -1.68% | Signal | |
| 2020-03-16 | 2020-04-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-03-16 | 2020-04-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-03-16 | 2020-04-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-03-02 | 2020-03-16 | Completed | 33.33% | $129.46 | $133.93 | 3.40% | Stop | |
| 2018-11-20 | 2020-03-16 | Completed | 33.33% | $101.11 | $133.93 | 32.38% | Stop | |
| 2018-11-20 | 2020-03-16 | Completed | 33.33% | $101.11 | $133.93 | 32.38% | Stop | |
| 2020-01-09 | 2020-03-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income | |
| 2018-11-20 | 2020-01-09 | Completed | 33.33% | $101.11 | $116.98 | 15.64% | Signal | |
| 2018-10-08 | 2018-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.28% | Interest Income | |
| 2018-02-20 | 2018-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.51% | Interest Income | |
| 2017-07-13 | 2018-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.25% | Interest Income | |
| 2018-08-17 | 2018-10-08 | Completed | 33.33% | $102.88 | $99.20 | -3.63% | Signal | |
| 2017-12-07 | 2018-08-17 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.21% | Interest Income | |
| 2017-08-23 | 2018-02-20 | Completed | 33.33% | $106.12 | $100.68 | -5.17% | Signal | |
| 2017-05-09 | 2017-12-07 | Completed | 33.33% | $102.60 | $106.05 | 3.31% | Signal | |
| 2017-01-05 | 2017-08-23 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income | |
| 2016-12-05 | 2017-07-13 | Completed | 33.33% | $100.96 | $104.13 | 3.09% | Signal | |
| 2016-11-10 | 2017-05-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2016-12-05 | 2017-01-05 | Completed | 33.33% | $100.96 | $101.68 | 0.66% | Signal | |
| 2016-11-10 | 2016-12-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2016-11-10 | 2016-12-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2015-12-14 | 2016-11-10 | Completed | 33.33% | $102.26 | $103.98 | 1.62% | Stop | |
| 2015-09-30 | 2016-11-10 | Completed | 33.33% | $101.57 | $103.98 | 2.32% | Stop | |
| 2014-10-21 | 2016-11-10 | Completed | 33.33% | $97.41 | $103.98 | 6.69% | Stop | |
| 2015-10-02 | 2015-12-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2014-04-22 | 2015-10-02 | Completed | 33.33% | $90.85 | $103.01 | 13.33% | Signal | |
| 2015-06-16 | 2015-09-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-12-17 | 2015-06-16 | Completed | 33.33% | $87.30 | $98.33 | 12.57% | Signal | |
| 2013-10-09 | 2014-10-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2013-03-19 | 2014-04-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2013-07-10 | 2013-12-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2013-07-15 | 2013-10-09 | Completed | 33.33% | $88.51 | $88.71 | 0.18% | Signal | |
| 2013-06-20 | 2013-07-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-05-24 | 2013-07-10 | Completed | 33.33% | $93.26 | $87.59 | -6.13% | Signal | |
| 2010-12-31 | 2013-06-20 | Completed | 33.33% | $74.47 | $89.76 | 20.47% | Stop | |
| 2012-11-08 | 2013-05-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2011-08-03 | 2013-03-19 | Completed | 33.33% | $81.93 | $93.15 | 13.64% | Signal | |
| 2012-05-31 | 2012-11-08 | Completed | 33.33% | $95.37 | $95.25 | -0.18% | Signal | |
| 2012-05-08 | 2012-05-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-05-18 | 2012-05-08 | Completed | 33.33% | $77.89 | $91.90 | 17.93% | Signal | |
| 2011-03-29 | 2011-08-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-01-05 | 2011-05-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2010-12-31 | 2011-03-29 | Completed | 33.33% | $74.47 | $74.68 | 0.24% | Signal | |
| 2010-12-31 | 2011-01-05 | Completed | 33.33% | $74.47 | $74.05 | -0.61% | Signal | |
| 2010-12-08 | 2010-12-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-12-08 | 2010-12-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-12-08 | 2010-12-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-05-05 | 2010-12-08 | Completed | 33.33% | $72.02 | $74.97 | 4.05% | Stop | |
| 2009-12-24 | 2010-12-08 | Completed | 33.33% | $68.69 | $74.97 | 9.10% | Stop | |
| 2009-06-02 | 2010-12-08 | Completed | 33.33% | $66.66 | $74.97 | 12.42% | Stop | |
| 2010-02-19 | 2010-05-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2009-10-02 | 2010-02-19 | Completed | 33.33% | $72.22 | $69.04 | -4.45% | Signal | |
| 2009-09-08 | 2009-12-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2009-05-08 | 2009-10-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2009-06-02 | 2009-09-08 | Completed | 33.33% | $66.66 | $69.50 | 4.21% | Signal | |
| 2009-05-08 | 2009-06-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-05-08 | 2009-06-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-03-04 | 2009-05-08 | Completed | 33.33% | $69.45 | $68.75 | -1.06% | Stop | |
| 2009-03-04 | 2009-05-08 | Completed | 33.33% | $69.45 | $68.75 | -1.06% | Stop | |
| 2009-03-04 | 2009-05-08 | Completed | 33.33% | $69.45 | $68.75 | -1.06% | Stop | |
| 2009-02-09 | 2009-03-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2009-02-09 | 2009-03-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2009-02-09 | 2009-03-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2009-01-06 | 2009-02-09 | Completed | 33.33% | $72.24 | $69.59 | -3.72% | Stop | |
| 2009-01-06 | 2009-02-09 | Completed | 33.33% | $72.24 | $69.59 | -3.72% | Stop | |
| 2009-01-06 | 2009-02-09 | Completed | 33.33% | $72.24 | $69.59 | -3.72% | Stop | |
| 2009-01-02 | 2009-01-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2009-01-02 | 2009-01-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2009-01-02 | 2009-01-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |