iShares MBS (Mortgage Backed Securities) (MBB) Daily/Weekly Backtest Results

Signal:                  
                [ What are these? | Switch to MBB's monthly backtests ]
Fixed profit target:               -or-  
Show signal scores:           Threshold:         [ What are these scores? ]
Expectancy: -5.60%.   Win rate: 5.26%.   Sharpe Ratio: -8.537.   Maximum drawdown: -20.20% on 23 October 2023.
Mean CAGR: -2.46%. Time in market: 11068 days.   Hypothetical return: $1000 would be worth $874.00 on 20 March 2023.
Key: change_history : profitable trade change_history : breakeven trade (minimal loss after 2 years) change_history : losing trade (not profitable in a 2 year timeframe)


*Transaction costs, taxes and dividends are excluded from these calculations. Past performance may not necessarily be a reliable guide to future performance.

Calculations for Mortgage Backed Securities

Expectancy is the percentage profit or loss you would expect to make on the next purchase of this stock with an entry point at the specified signal and profit target as set above. Given a large enough sample size, a positive expectancy indicates the trading strategy is likely to be profitable.

Expectancy calculation for 19 signal(s) occurring before 22 May 2024 for a 7.5% profit target: (5.26% * 7.58%) + (36.84% * 1.30%) - (57.89% * 11.19%) = -5.60%.
Wins: 1 Breakevens: 7 Losses: 11

The Sharpe Ratio calculation assumes a risk free return rate of 2% per calendar year. Ideally the ratio should be a positive number. A higher positive number indicates the strategy has a more attractive risk adjusted rate of return for this particular buy signal and stock over the chart's timeframe.

 

50 day low Backtest Summary (Fixed Profits System)

This table summarises how profitable it would have been to have bought this stock at each 50 day low entry signal. Hover over the icons to see more details of the particular trade, including the maximum percentage drawdown and how long it took to reach the desired percentage profit.

Key:   disabled_by_default = profit point not achieved. select_check_box = profit point achieved with CAGR above 15%.
select_check_box = profit point achieved with CAGR of between 5% and 15%. select_check_box = profit point achieved but CAGR was less than 5%.

Signal Date and Score Buy Signal Price Performance (mouseover for details)
5% 6% 7.5% 10% 20%
15 May 2026   LOW   smart_toy0.399  factory0.137   50 Day Low $ 93.64 schedule schedule schedule schedule schedule
12 March 2026   MEDIUM   smart_toy0.252  factory0.158   50 Day Low $ 95.05 schedule schedule schedule schedule schedule
08 December 2025   MEDIUM   smart_toy0.177  factory0.05   50 Day Low $ 94.85 schedule schedule schedule schedule schedule
21 May 2025   MEDIUM   smart_toy0.159  factory0.216   50 Day Low $ 91.53 select_check_box select_check_box select_check_box select_check_box select_check_box
11 April 2025   MEDIUM   smart_toy0.842  factory0.522   50 Day Low $ 91.58 select_check_box select_check_box select_check_box select_check_box select_check_box
18 December 2024   MEDIUM   smart_toy0.063  factory0.207   50 Day Low $ 91.76 select_check_box select_check_box select_check_box select_check_box select_check_box
21 October 2024   MEDIUM   smart_toy0.668  factory0.243   50 Day Low $ 93.73 select_check_box select_check_box select_check_box select_check_box select_check_box
05 April 2024   MEDIUM   smart_toy0.187  factory0.146   50 Day Low $ 91.23 select_check_box select_check_box select_check_box select_check_box select_check_box
22 February 2024   MEDIUM   smart_toy0.399  factory0.115   50 Day Low $ 91.29 select_check_box select_check_box select_check_box select_check_box select_check_box
21 September 2023   MEDIUM   smart_toy0.93  factory0.14   50 Day Low $ 89.70 select_check_box select_check_box select_check_box select_check_box select_check_box
15 August 2023   MEDIUM   smart_toy0.396  factory0.136   50 Day Low $ 90.75 select_check_box select_check_box select_check_box select_check_box select_check_box
06 July 2023   MEDIUM   smart_toy0.149  factory0.101   50 Day Low $ 91.65 select_check_box select_check_box select_check_box select_check_box select_check_box
22 May 2023   MEDIUM   smart_toy0.224  factory0.131   50 Day Low $ 92.98 select_check_box select_check_box select_check_box select_check_box select_check_box
24 February 2023   LOW   smart_toy0.265  factory0.636   50 Day Low $ 92.80 select_check_box select_check_box select_check_box select_check_box select_check_box
13 October 2022   MEDIUM   smart_toy0.99  factory0.766   FIRE SALE 50 Day Low $ 89.91 select_check_box electric_bolt select_check_box electric_bolt select_check_box select_check_box select_check_box
01 September 2022   MEDIUM   smart_toy0.89  factory0.77   FIRE SALE 50 Day Low $ 96.06 disabled_by_default disabled_by_default disabled_by_default disabled_by_default disabled_by_default
13 June 2022   MEDIUM   smart_toy0.745  factory0.782   50 Day Low $ 95.40 select_check_box electric_bolt disabled_by_default disabled_by_default disabled_by_default disabled_by_default
18 April 2022   MEDIUM   smart_toy0.923  factory0.314   50 Day Low $ 98.82 disabled_by_default disabled_by_default disabled_by_default disabled_by_default disabled_by_default
14 March 2022   HIGH   smart_toy0.991  factory0.503   50 Day Low $ 102.76 disabled_by_default disabled_by_default disabled_by_default disabled_by_default disabled_by_default
08 February 2022   LOW   smart_toy0.817  factory0.141   50 Day Low $ 104.89 disabled_by_default disabled_by_default disabled_by_default disabled_by_default disabled_by_default
05 January 2022   LOW   smart_toy0.274  factory0.041   50 Day Low $ 106.86 disabled_by_default disabled_by_default disabled_by_default disabled_by_default disabled_by_default
11 November 2021   LOW   smart_toy0.143  factory0.057   50 Day Low $ 107.56 disabled_by_default disabled_by_default disabled_by_default disabled_by_default disabled_by_default
23 September 2021   LOW   smart_toy0.737  factory0.031   50 Day Low $ 108.24 disabled_by_default disabled_by_default disabled_by_default disabled_by_default disabled_by_default
16 June 2021   LOW   smart_toy0.756  factory0.044   50 Day Low $ 108.12 disabled_by_default disabled_by_default disabled_by_default disabled_by_default disabled_by_default
12 May 2021   LOW   smart_toy0.323  factory0.04   50 Day Low $ 108.16 disabled_by_default disabled_by_default disabled_by_default disabled_by_default disabled_by_default
18 March 2021   LOW   smart_toy0.336  factory0.051   50 Day Low $ 108.45 disabled_by_default disabled_by_default disabled_by_default disabled_by_default disabled_by_default

 

The data for iShares MBS (Mortgage Backed Securities) (exchange: XNAS symbol: MBB) was last updated 30 May 2026 15:00. Data for this ETF is available from 04 Jan 2021 - 29 May 2026.