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:       Scores:           Market sector score:       [ What are these scores? ]
Expectancy: -5.66%.   Win rate: 12.50%.   Sharpe Ratio: -6.489.   Maximum drawdown: -20.33% on 23 October 2023.
Mean CAGR: -0.45%. Time in market: 9198 days.   Hypothetical return: $1000 would be worth $870.07 on 05 March 2024.
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 16 signal(s) occurring before 13 August 2024 for a 7.5% profit target: (12.50% * 7.76%) + (31.25% * 1.55%) - (56.25% * 12.65%) = -5.66%.
Wins: 2 Breakevens: 5 Losses: 9

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.

Williams %R (Weekly) Backtest Summary (Fixed Profits System)

This table summarises how profitable it would have been to have bought this stock at each Williams %R (Weekly) 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%.

Date Buy Signal Price Scores Performance (mouseover for details)
Signal Sector WR Speed Risk Overall 5% 6% 7.5% 10% 20%
23 July 2026 Williams %R (Weekly) $ 92.90 11 62 19 52 59 26 schedule schedule schedule schedule schedule
15 May 2026 Williams %R (Weekly) $ 93.64 15 86 20 53 63 33 schedule schedule schedule schedule schedule
20 March 2026 Williams %R (Weekly) $ 94.53 9 79 13 56 63 26 schedule schedule schedule schedule schedule
18 December 2024 Williams %R (Weekly) $ 91.76 36 93 7 72 62 57 select_check_box select_check_box select_check_box select_check_box select_check_box
31 October 2024 Williams %R (Weekly) $ 92.60 32 78 9 74 61 52 select_check_box select_check_box select_check_box select_check_box select_check_box
05 April 2024 Williams %R (Weekly) $ 91.23 27 81 0 64 select_check_box select_check_box select_check_box select_check_box select_check_box
21 September 2023 Williams %R (Weekly) $ 89.70 29 88 0 73 select_check_box select_check_box select_check_box select_check_box select_check_box
15 August 2023 Williams %R (Weekly) $ 90.75 21 70 0 76 select_check_box select_check_box select_check_box select_check_box select_check_box
05 July 2023 Williams %R (Weekly) $ 92.42 19 78 0 76 select_check_box select_check_box select_check_box select_check_box select_check_box
01 March 2023 Williams %R (Weekly) $ 92.23 39 81 select_check_box select_check_box select_check_box select_check_box select_check_box
19 October 2022 Williams %R (Weekly) $ 89.36 66 94 select_check_box electric_bolt select_check_box electric_bolt select_check_box electric_bolt select_check_box select_check_box
13 September 2022 Williams %R (Weekly) $ 94.60 69 87 select_check_box select_check_box select_check_box select_check_box select_check_box
10 June 2022 Williams %R (Weekly) $ 97.22 67 86 disabled_by_default disabled_by_default disabled_by_default disabled_by_default disabled_by_default
11 April 2022 Williams %R (Weekly) $ 99.17 42 77 disabled_by_default disabled_by_default disabled_by_default disabled_by_default disabled_by_default
09 March 2022 Williams %R (Weekly) $ 103.80 33 87 disabled_by_default disabled_by_default disabled_by_default disabled_by_default disabled_by_default
04 February 2022 Williams %R (Weekly) $ 105.08 15 72 disabled_by_default disabled_by_default disabled_by_default disabled_by_default disabled_by_default
03 January 2022 Williams %R (Weekly) $ 107.14 8 84 disabled_by_default disabled_by_default disabled_by_default disabled_by_default disabled_by_default
10 November 2021 Williams %R (Weekly) $ 107.74 9 88 disabled_by_default disabled_by_default disabled_by_default disabled_by_default disabled_by_default
08 October 2021 Williams %R (Weekly) $ 107.94 7 87 disabled_by_default disabled_by_default disabled_by_default disabled_by_default disabled_by_default
16 June 2021 Williams %R (Weekly) $ 108.12 4 60 disabled_by_default disabled_by_default disabled_by_default disabled_by_default disabled_by_default
12 May 2021 Williams %R (Weekly) $ 108.16 5 63 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 21 Aug 2026 07:24. Data for this ETF is available from 04 Jan 2021 - 20 Aug 2026.