TLT
iShares 20+ Year Treasury Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-28
Executive Summary
The quantitative backtest for TLT (iShares 20+ Year Treasury Bond ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -38.5% (compared to the benchmark's drawdown of -48.4%). 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 3.3%. The strategy executed 14 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
TLT Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 2.71% | 2.57% | 2.10% | -7.76% | 2.01% | -2.27% | 3.24% | 3.31% |
| Sharpe Ratio | 0.79 | 0.27 | 0.66 | -0.52 | 0.22 | -0.16 | 0.28 | 0.23 |
| Max Drawdown | -4.54% | -7.58% | -7.48% | -43.70% | -26.18% | -48.35% | -38.45% | -48.35% |
| % Time Invested | 15.9% | 100.0% | 9.0% | 100.0% | 41.7% | 100.0% | 64.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.6 | 0.0 | 0.6 | 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 | ||||||||
| 2024-08-05 | 2024-10-11 | Completed | 100% | $91.74 | $86.58 | -5.67% | Stop | |
| 2021-09-01 | 2024-08-05 | Interest (CASH) | 100% | $1.00 | $1.11 | 10.85% | Interest Income | |
| 2021-03-11 | 2021-09-01 | Completed | 100% | $116.64 | $126.12 | 8.07% | Signal | |
| 2021-02-17 | 2021-03-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-04-13 | 2021-02-17 | Completed | 100% | $136.36 | $122.18 | -10.45% | Stop | |
| 2020-03-19 | 2020-04-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2018-12-11 | 2020-03-19 | Completed | 100% | $95.54 | $121.45 | 27.06% | Stop | |
| 2018-02-08 | 2018-12-11 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.68% | Interest Income | |
| 2017-11-07 | 2018-02-08 | Completed | 100% | $98.51 | $92.67 | -5.97% | Stop | |
| 2017-08-08 | 2017-11-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2016-12-08 | 2017-08-08 | Completed | 100% | $90.83 | $96.85 | 6.57% | Signal | |
| 2016-11-15 | 2016-12-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2015-07-02 | 2016-11-15 | Completed | 100% | $85.72 | $92.98 | 8.43% | Stop | |
| 2015-06-10 | 2015-07-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-10-28 | 2015-06-10 | Completed | 100% | $86.36 | $85.23 | -1.36% | Stop | |
| 2013-09-13 | 2014-10-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2013-07-16 | 2013-09-13 | Completed | 100% | $75.36 | $72.31 | -4.09% | Signal | |
| 2013-06-21 | 2013-07-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-10-12 | 2013-06-21 | Completed | 100% | $66.51 | $76.38 | 14.79% | Stop | |
| 2010-03-26 | 2010-10-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2009-06-30 | 2010-03-26 | Completed | 100% | $56.90 | $55.09 | -3.23% | Signal | |
| 2009-06-08 | 2009-06-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-02-25 | 2009-06-08 | Completed | 100% | $62.82 | $54.61 | -13.11% | Stop | |
| 2009-02-02 | 2009-02-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2006-08-29 | 2009-02-02 | Completed | 100% | $46.55 | $62.09 | 33.31% | Stop | |
| 2006-07-13 | 2006-08-29 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.65% | Interest Income | |
| 2004-07-26 | 2006-07-13 | Completed | 100% | $41.12 | $45.01 | 9.40% | Signal | |
| 2004-07-22 | 2004-07-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |