UUP
Invesco DB US Dollar Index Bullish Fund
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-06
Executive Summary
The quantitative backtest for UUP (Invesco DB US Dollar Index Bullish Fund) using the Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -11.4% (compared to the benchmark's drawdown of -19.4%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.0%, compared to a Buy-and-Hold benchmark return of 1.6%. The strategy executed 11 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.
📊 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
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active Model
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
-11.4% (vs -19.4% B&H)
+8.0% shallower drawdown
Downside Efficiency
0.37 Sortino
+0.06 vs 0.31 B&H
Capital Sheltered from Risk
41.0% 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 | -3.65% | -3.65% | -9.65% | -10.37% | -9.65% | -14.24% | -11.37% | -19.41% |
| Sharpe Ratio | 0.64 | 0.94 | 0.73 | 0.75 | 0.55 | 0.46 | 0.34 | 0.21 |
| Sortino Ratio | 0.75 | 1.34 | 0.87 | 1.06 | 0.63 | 0.68 | 0.37 | 0.31 |
| CAGR | 3.24% | 5.45% | 4.76% | 5.57% | 3.24% | 3.22% | 2.01% | 1.58% |
| % Time Invested | 78.3% | 100.0% | 77.1% | 100.0% | 66.5% | 100.0% | 59.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.4 | 0.0 | 0.5 | 0.0 | 0.6 | 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 | ||||||||
| 2025-05-06 | 2025-11-20 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.29% | Interest Income | |
| 2024-10-30 | 2025-05-06 | Completed | 100% | $27.11 | $26.47 | -2.42% | Signal | |
| 2024-10-08 | 2024-10-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2023-08-01 | 2024-10-08 | Completed | 100% | $24.65 | $26.52 | 7.53% | Signal | |
| 2023-01-19 | 2023-08-01 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.67% | Interest Income | |
| 2021-08-04 | 2023-01-19 | Completed | 100% | $21.28 | $23.92 | 12.35% | Signal | |
| 2020-07-14 | 2021-08-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2018-05-31 | 2020-07-14 | Completed | 100% | $20.72 | $22.49 | 8.50% | Signal | |
| 2017-06-01 | 2018-05-31 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.35% | Interest Income | |
| 2016-10-27 | 2017-06-01 | Completed | 100% | $21.30 | $20.99 | -1.50% | Signal | |
| 2016-03-28 | 2016-10-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2015-12-01 | 2016-03-28 | Completed | 100% | $21.72 | $20.77 | -4.43% | Signal | |
| 2015-10-05 | 2015-12-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-08-21 | 2015-10-05 | Completed | 100% | $18.30 | $20.89 | 14.05% | Signal | |
| 2013-09-13 | 2014-08-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2013-02-25 | 2013-09-13 | Completed | 100% | $18.52 | $18.39 | -0.77% | Signal | |
| 2012-10-03 | 2013-02-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2011-10-27 | 2012-10-03 | Completed | 100% | $17.71 | $18.30 | 3.25% | Signal | |
| 2010-09-21 | 2011-10-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2010-03-01 | 2010-09-21 | Completed | 100% | $19.87 | $19.60 | -1.44% | Signal | |
| 2009-05-26 | 2010-03-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2009-03-30 | 2009-05-26 | Completed | 100% | $21.54 | $20.12 | -6.64% | Signal | |
| 2009-03-26 | 2009-03-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |