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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -28.7% (compared to the benchmark's drawdown of -48.4%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.7%, compared to a Buy-and-Hold benchmark return of 3.3%. The strategy executed 21 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
TLT Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | -2.44% | 2.57% | -1.73% | -7.76% | -0.58% | -2.27% | 2.70% | 3.31% |
| Sharpe Ratio | -0.31 | 0.27 | -0.20 | -0.52 | -0.06 | -0.16 | 0.24 | 0.23 |
| Max Drawdown | -6.67% | -7.58% | -15.30% | -43.70% | -26.95% | -48.35% | -28.71% | -48.35% |
| % Time Invested | 79.8% | 100.0% | 47.6% | 100.0% | 54.4% | 100.0% | 60.5% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 0.8 | 0.0 | 0.9 | 0.0 | 1.0 | 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 | ||||||||
| 2025-09-16 | 2026-05-08 | Completed | 100% | $86.82 | $85.41 | -1.68% | Signal | |
| 2024-12-17 | 2025-09-16 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.17% | Interest Income | |
| 2024-06-26 | 2024-12-17 | Completed | 100% | $85.28 | $84.41 | -1.07% | Signal | |
| 2024-05-21 | 2024-06-26 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.51% | Interest Income | |
| 2024-01-30 | 2024-05-21 | Completed | 100% | $85.86 | $83.58 | -2.70% | Signal | |
| 2023-07-26 | 2024-01-30 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.79% | Interest Income | |
| 2023-05-04 | 2023-07-26 | Completed | 100% | $92.37 | $89.74 | -2.89% | Signal | |
| 2022-02-16 | 2023-05-04 | Interest (CASH) | 100% | $1.00 | $1.04 | 3.68% | Interest Income | |
| 2021-07-08 | 2022-02-16 | Completed | 100% | $125.48 | $115.59 | -7.93% | Signal | |
| 2020-11-16 | 2021-07-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-04-13 | 2020-11-16 | Completed | 100% | $136.36 | $131.61 | -3.53% | Signal | |
| 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 | |
| 2018-09-28 | 2018-12-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.46% | Interest Income | |
| 2018-08-17 | 2018-09-28 | Completed | 100% | $96.35 | $93.99 | -2.51% | Signal | |
| 2018-02-20 | 2018-08-17 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.93% | Interest Income | |
| 2017-06-05 | 2018-02-20 | Completed | 100% | $96.46 | $92.89 | -3.76% | Signal | |
| 2016-11-15 | 2017-06-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.36% | Interest Income | |
| 2016-01-07 | 2016-11-15 | Completed | 100% | $91.57 | $92.98 | 1.50% | Stop | |
| 2015-12-07 | 2016-01-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-12-03 | 2015-12-07 | Completed | 100% | $90.39 | $89.98 | -0.50% | Signal | |
| 2015-06-10 | 2015-12-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2014-03-06 | 2015-06-10 | Completed | 100% | $75.83 | $85.23 | 12.35% | Stop | |
| 2013-01-25 | 2014-03-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2011-06-15 | 2013-01-25 | Completed | 100% | $62.54 | $81.21 | 29.80% | Signal | |
| 2010-12-16 | 2011-06-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2010-05-28 | 2010-12-16 | Completed | 100% | $60.47 | $58.37 | -3.51% | Stop | |
| 2009-12-14 | 2010-05-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2009-11-24 | 2009-12-14 | Completed | 100% | $58.38 | $56.87 | -2.64% | Signal | |
| 2009-05-26 | 2009-11-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2009-02-25 | 2009-05-26 | Completed | 100% | $62.82 | $56.63 | -9.90% | Signal | |
| 2009-02-02 | 2009-02-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2008-08-25 | 2009-02-02 | Completed | 100% | $55.06 | $62.09 | 12.71% | Stop | |
| 2008-07-22 | 2008-08-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2007-09-11 | 2008-07-22 | Completed | 100% | $50.97 | $52.83 | 3.60% | Signal | |
| 2007-06-13 | 2007-09-11 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.12% | Interest Income | |
| 2006-07-17 | 2007-06-13 | Completed | 100% | $45.16 | $45.84 | 1.46% | Signal | |
| 2006-03-16 | 2006-07-17 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.58% | Interest Income | |
| 2006-02-14 | 2006-03-16 | Completed | 100% | $46.87 | $46.31 | -1.25% | Signal | |
| 2005-11-21 | 2006-02-14 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.93% | Interest Income | |
| 2004-08-06 | 2005-11-21 | Completed | 100% | $42.05 | $46.54 | 10.62% | Signal | |
| 2004-07-22 | 2004-08-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |