UUP
Invesco DB US Dollar Index Bullish Fund
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-07
Executive Summary
The quantitative backtest for UUP (Invesco DB US Dollar Index Bullish Fund) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -16.8% (compared to the benchmark's drawdown of -19.4%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 0.4%, compared to a Buy-and-Hold benchmark return of 1.6%. The strategy executed 8 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for UUP:
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 Model
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.
🎯 Trading Horizon
Select risk profile & execution style for UUP:
🛡️ Long-Term Investing Active Horizon
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
🛡️ UUP Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-16.8% (vs -19.4% B&H)
+2.7% shallower drawdown
Drawdown Shield
2.7% Cut
Protected capital vs -19.4% B&H
Capital Sheltered from Risk
46.9% of Time
Earning Treasury yield during downturns
* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.
📊 UUP Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | 0.00% | -3.65% | -10.37% | -10.37% | -14.36% | -14.24% | -16.75% | -19.41% |
| Sharpe Ratio | 473.99 | 0.94 | 0.79 | 0.75 | 0.33 | 0.46 | 0.07 | 0.21 |
| Sortino Ratio | 0.00 | 1.34 | 0.80 | 1.06 | 0.36 | 0.68 | 0.07 | 0.31 |
| CAGR | 3.81% | 5.45% | 4.74% | 5.57% | 1.85% | 3.22% | 0.38% | 1.58% |
| % Time Invested | 0.0% | 100.0% | 49.5% | 100.0% | 55.3% | 100.0% | 53.1% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.4 | 0.0 | 0.4 | 0.0 | 0.5 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Explore Correlation Across Horizons →Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.
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|---|---|---|---|
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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. Subscribe to Unlock | ||||||||
| 2024-08-21 | 2025-07-30 | Completed | 100% | $26.05 | $26.84 | 2.98% | Signal | |
| 2023-10-27 | 2024-08-21 | Interest (CASH) | 100% | $1.00 | $1.04 | 4.39% | Interest Income | |
| 2022-04-13 | 2023-10-27 | Completed | 100% | $23.16 | $26.05 | 12.43% | Signal | |
| 2021-01-06 | 2022-04-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2018-10-04 | 2021-01-06 | Completed | 100% | $21.26 | $20.85 | -2.02% | Signal | |
| 2017-11-24 | 2018-10-04 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.53% | Interest Income | |
| 2017-04-12 | 2017-11-24 | Completed | 100% | $21.74 | $20.17 | -7.27% | Signal | |
| 2016-11-08 | 2017-04-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.24% | Interest Income | |
| 2015-01-06 | 2016-11-08 | Completed | 100% | $20.30 | $21.11 | 3.94% | Signal | |
| 2013-08-12 | 2015-01-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2012-05-10 | 2013-08-12 | Completed | 100% | $18.51 | $18.40 | -0.68% | Signal | |
| 2010-02-17 | 2012-05-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.21% | Interest Income | |
| 2009-12-21 | 2010-02-17 | Completed | 100% | $19.19 | $19.66 | 2.39% | Signal | |
| 2009-11-27 | 2009-12-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2009-03-30 | 2009-11-27 | Completed | 100% | $21.54 | $18.71 | -13.19% | Stop | |
| 2009-03-26 | 2009-03-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |