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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -18.2% (compared to the benchmark's drawdown of -41.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.3%, compared to a Buy-and-Hold benchmark return of 1.7%. The strategy executed 15 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
TLH Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 1.98% | 2.12% | -1.22% | -5.05% | 1.20% | -1.19% | 2.28% | 1.69% |
| Sharpe Ratio | 0.30 | 0.27 | -0.17 | -0.41 | 0.15 | -0.11 | 0.28 | 0.16 |
| Max Drawdown | -4.96% | -6.50% | -14.02% | -35.41% | -18.20% | -41.14% | -18.20% | -41.14% |
| % Time Invested | 75.4% | 100.0% | 49.1% | 100.0% | 54.3% | 100.0% | 62.5% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.0 | 0.0 | 0.8 | 0.0 | 0.9 | 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 | ||||||||
| 2025-08-11 | 2026-05-13 | Completed | 100% | $97.24 | $98.36 | 1.09% | Signal | |
| 2024-12-30 | 2025-08-11 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.61% | Interest Income | |
| 2024-01-25 | 2024-12-30 | Completed | 100% | $94.10 | $93.59 | -0.59% | Signal | |
| 2023-08-03 | 2024-01-25 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.60% | Interest Income | |
| 2023-04-25 | 2023-08-03 | Completed | 100% | $100.14 | $92.21 | -7.96% | Signal | |
| 2023-03-31 | 2023-04-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2023-03-27 | 2023-03-31 | Completed | 100% | $98.83 | $98.90 | 0.01% | Signal | |
| 2022-02-08 | 2023-03-27 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.15% | Interest Income | |
| 2021-08-19 | 2022-02-08 | Completed | 100% | $127.83 | $118.77 | -7.14% | Signal | |
| 2020-11-18 | 2021-08-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2018-11-20 | 2020-11-18 | Completed | 100% | $101.11 | $133.53 | 31.99% | Signal | |
| 2018-09-20 | 2018-11-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2018-09-06 | 2018-09-20 | Completed | 100% | $102.52 | $100.62 | -1.90% | Signal | |
| 2018-01-24 | 2018-09-06 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.14% | Interest Income | |
| 2017-06-14 | 2018-01-24 | Completed | 100% | $105.79 | $103.13 | -2.56% | Signal | |
| 2016-11-18 | 2017-06-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.38% | Interest Income | |
| 2015-10-09 | 2016-11-18 | Completed | 100% | $101.28 | $102.38 | 1.04% | Signal | |
| 2015-09-17 | 2015-10-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-09-15 | 2015-09-17 | Completed | 100% | $100.05 | $99.19 | -0.92% | Signal | |
| 2015-07-01 | 2015-09-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-03-06 | 2015-07-01 | Completed | 100% | $89.79 | $97.50 | 8.53% | Signal | |
| 2013-06-19 | 2014-03-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2013-05-13 | 2013-06-19 | Completed | 100% | $93.99 | $91.71 | -2.48% | Signal | |
| 2013-02-01 | 2013-05-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-06-13 | 2013-02-01 | Completed | 100% | $78.67 | $92.86 | 17.98% | Signal | |
| 2011-01-14 | 2011-06-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2009-10-16 | 2011-01-14 | Completed | 100% | $70.02 | $74.89 | 6.89% | Signal | |
| 2009-06-16 | 2009-10-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2009-01-06 | 2009-06-16 | Completed | 100% | $72.24 | $66.66 | -7.77% | Signal | |
| 2009-01-02 | 2009-01-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |