TLT
iShares 20+ Year Treasury Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-12
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 -28.4% (compared to the benchmark's drawdown of -48.4%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.9%, compared to a Buy-and-Hold benchmark return of 3.4%. 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 | -0.37% | 2.88% | -1.24% | -6.39% | 0.04% | -1.76% | 2.88% | 3.39% |
| Sharpe Ratio | -0.05 | 0.30 | -0.14 | -0.42 | 0.00 | -0.12 | 0.26 | 0.23 |
| Max Drawdown | -5.42% | -7.58% | -15.13% | -43.70% | -26.66% | -48.35% | -28.42% | -48.35% |
| % Time Invested | 67.9% | 100.0% | 46.3% | 100.0% | 54.4% | 100.0% | 60.3% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.0 | 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 / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| 2026-06-02 | Open | Open | 100% | $85.80 | $85.77 | -0.03% | Mark-to-Market |
| 2026-05-08 | 2026-06-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2025-09-16 | 2026-05-08 | Completed | 100% | $87.14 | $85.72 | -1.63% | 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% | $85.60 | $84.73 | -1.02% | 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% | $86.18 | $83.89 | -2.66% | 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% | $92.71 | $90.07 | -2.85% | 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% | $125.94 | $116.02 | -7.88% | 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% | $136.87 | $132.10 | -3.48% | 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% | $95.90 | $121.90 | 27.12% | 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% | $96.71 | $94.33 | -2.46% | 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% | $96.82 | $93.23 | -3.71% | 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% | $91.91 | $93.33 | 1.55% | 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% | $90.73 | $90.32 | -0.45% | 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% | $76.11 | $85.55 | 12.41% | 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% | $62.77 | $81.51 | 29.86% | 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% | $60.69 | $58.59 | -3.46% | 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% | $58.60 | $57.08 | -2.59% | 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% | $63.05 | $56.84 | -9.86% | 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% | $55.27 | $62.32 | 12.77% | 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% | $51.16 | $53.03 | 3.66% | 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% | $45.32 | $46.01 | 1.51% | 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% | $47.05 | $46.48 | -1.20% | 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% | $42.21 | $46.71 | 10.68% | Signal |
| 2004-07-22 | 2004-08-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income |