COF
Capital One Financial Corp
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for COF (Capital One Financial Corp) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -51.1% (compared to the benchmark's drawdown of -90.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 6.8%, compared to a Buy-and-Hold benchmark return of 10.9%. The strategy executed 61 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.
📊 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 Active
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.
🎯 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
COF Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | -7.40% | -2.61% | -3.34% | 6.50% | 3.30% | 13.65% | 6.84% | 10.91% |
| Sharpe Ratio | -0.26 | -0.08 | -0.13 | 0.18 | 0.14 | 0.34 | 0.25 | 0.22 |
| Max Drawdown | -28.67% | -31.47% | -44.68% | -50.38% | -44.68% | -60.25% | -51.06% | -90.17% |
| % Time Invested | 81.0% | 100.0% | 63.5% | 100.0% | 61.4% | 100.0% | 61.9% | 100.0% |
| Trades / Year | 2.0 | 0.0 | 2.2 | 0.0 | 1.9 | 0.0 | 2.1 | 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 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. Upgrade to Pro to Unlock | ||||||||
| 2026-03-13 | 2026-04-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2026-02-18 | 2026-03-13 | Completed | 100% | $205.65 | $178.00 | -13.49% | Stop | |
| 2026-01-26 | 2026-02-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2025-04-30 | 2026-01-26 | Completed | 100% | $177.02 | $216.11 | 22.02% | Stop | |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-03-31 | 2025-04-07 | Completed | 100% | $168.48 | $142.38 | -15.53% | Stop | |
| 2025-03-07 | 2025-03-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-08-28 | 2025-03-07 | Completed | 100% | $138.70 | $171.91 | 23.88% | Stop | |
| 2024-08-06 | 2024-08-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2023-12-18 | 2024-08-06 | Completed | 100% | $125.34 | $127.68 | 1.82% | Stop | |
| 2022-11-02 | 2023-12-18 | Interest (CASH) | 100% | $1.00 | $1.06 | 5.77% | Interest Income | |
| 2022-10-17 | 2022-11-02 | Completed | 100% | $91.97 | $99.54 | 8.18% | Signal | |
| 2022-09-23 | 2022-10-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-07-08 | 2022-09-23 | Completed | 100% | $101.93 | $87.75 | -13.95% | Stop | |
| 2022-06-14 | 2022-07-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2022-05-20 | 2022-06-14 | Completed | 100% | $107.15 | $100.64 | -6.12% | Stop | |
| 2022-04-28 | 2022-05-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2022-03-28 | 2022-04-28 | Completed | 100% | $124.96 | $116.46 | -6.85% | Stop | |
| 2022-03-04 | 2022-03-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2021-11-22 | 2022-03-04 | Completed | 100% | $141.48 | $125.02 | -11.68% | Stop | |
| 2021-10-29 | 2021-11-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-04-07 | 2021-10-29 | Completed | 100% | $121.09 | $140.45 | 15.93% | Stop | |
| 2020-04-29 | 2021-04-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2020-04-27 | 2020-04-29 | Completed | 100% | $51.09 | $62.54 | 22.34% | Signal | |
| 2020-04-02 | 2020-04-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-24 | 2020-04-02 | Completed | 100% | $41.73 | $39.30 | -5.88% | Stop | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-02-05 | 2020-03-02 | Completed | 100% | $92.25 | $79.55 | -13.81% | Stop | |
| 2019-05-20 | 2020-02-05 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.32% | Interest Income | |
| 2019-01-11 | 2019-05-20 | Completed | 100% | $69.75 | $80.21 | 14.94% | Signal | |
| 2018-12-18 | 2019-01-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-11-15 | 2018-12-18 | Completed | 100% | $77.55 | $68.36 | -11.89% | Stop | |
| 2018-10-24 | 2018-11-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-03-07 | 2018-10-24 | Completed | 100% | $83.90 | $77.42 | -7.76% | Stop | |
| 2018-02-12 | 2018-03-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2017-04-20 | 2018-02-12 | Completed | 100% | $70.11 | $80.82 | 15.21% | Stop | |
| 2017-03-28 | 2017-04-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2016-07-15 | 2017-03-28 | Completed | 100% | $57.90 | $69.84 | 20.57% | Stop | |
| 2016-02-23 | 2016-07-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2016-01-29 | 2016-02-23 | Completed | 100% | $52.56 | $56.33 | 7.12% | Signal | |
| 2016-01-06 | 2016-01-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2016-01-06 | Completed | 100% | $63.67 | $56.75 | -10.91% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-08-19 | 2015-08-25 | Completed | 100% | $66.44 | $62.43 | -6.08% | Stop | |
| 2015-07-28 | 2015-08-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-03-14 | 2015-07-28 | Completed | 100% | $43.25 | $64.96 | 50.14% | Stop | |
| 2013-02-20 | 2013-03-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-06-26 | 2013-02-20 | Completed | 100% | $41.15 | $41.22 | 0.11% | Stop | |
| 2012-06-04 | 2012-06-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-12-19 | 2012-06-04 | Completed | 100% | $34.17 | $38.19 | 11.71% | Stop | |
| 2011-11-25 | 2011-12-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-10-26 | 2011-11-25 | Completed | 100% | $34.71 | $31.43 | -9.52% | Stop | |
| 2011-10-04 | 2011-10-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-26 | 2011-10-04 | Completed | 100% | $33.80 | $29.19 | -13.67% | Stop | |
| 2011-08-04 | 2011-08-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-07-11 | 2011-08-04 | Completed | 100% | $41.39 | $35.48 | -14.33% | Stop | |
| 2011-06-16 | 2011-07-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-09-14 | 2011-06-16 | Completed | 100% | $30.61 | $37.48 | 22.42% | Stop | |
| 2010-08-20 | 2010-09-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-06-18 | 2010-08-20 | Completed | 100% | $33.14 | $29.21 | -11.89% | Stop | |
| 2010-05-26 | 2010-06-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-02-26 | 2010-05-26 | Completed | 100% | $29.10 | $32.21 | 10.65% | Stop | |
| 2006-12-12 | 2010-02-26 | Interest (CASH) | 100% | $1.00 | $1.06 | 6.34% | Interest Income | |
| 2006-08-16 | 2006-12-12 | Completed | 100% | $54.38 | $55.42 | 1.86% | Signal | |
| 2006-07-25 | 2006-08-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 2005-11-04 | 2006-07-25 | Completed | 100% | $55.36 | $56.25 | 1.56% | Stop | |
| 2005-10-13 | 2005-11-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.24% | Interest Income | |
| 2005-05-16 | 2005-10-13 | Completed | 100% | $51.71 | $52.63 | 1.74% | Stop | |
| 2005-04-22 | 2005-05-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2004-05-24 | 2005-04-22 | Completed | 100% | $49.05 | $51.83 | 5.61% | Stop | |
| 2004-04-30 | 2004-05-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2003-08-27 | 2004-04-30 | Completed | 100% | $38.22 | $48.05 | 25.66% | Stop | |
| 2002-04-23 | 2003-08-27 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.81% | Interest Income | |
| 2002-04-10 | 2002-04-23 | Completed | 100% | $46.18 | $46.68 | 1.04% | Signal | |
| 2002-03-18 | 2002-04-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2002-02-22 | 2002-03-18 | Completed | 100% | $32.50 | $44.78 | 37.69% | Signal | |
| 2002-01-30 | 2002-02-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2001-11-26 | 2002-01-30 | Completed | 100% | $37.89 | $34.25 | -9.66% | Stop | |
| 2001-11-01 | 2001-11-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2001-09-27 | 2001-11-01 | Completed | 100% | $31.71 | $30.12 | -5.05% | Stop | |
| 2001-08-29 | 2001-09-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2001-07-10 | 2001-08-29 | Completed | 100% | $42.93 | $41.36 | -3.70% | Stop | |
| 2001-06-15 | 2001-07-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2001-03-16 | 2001-06-15 | Completed | 100% | $38.97 | $42.50 | 9.01% | Stop | |
| 2001-02-22 | 2001-03-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2000-11-17 | 2001-02-22 | Completed | 100% | $38.77 | $40.21 | 3.66% | Stop | |
| 2000-10-26 | 2000-11-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2000-07-18 | 2000-10-26 | Completed | 100% | $36.49 | $42.00 | 15.02% | Stop | |
| 2000-06-23 | 2000-07-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2000-05-10 | 2000-06-23 | Completed | 100% | $30.16 | $31.95 | 5.91% | Stop | |
| 2000-04-17 | 2000-05-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.36% | Interest Income | |
| 2000-02-24 | 2000-04-17 | Completed | 100% | $23.89 | $30.67 | 28.32% | Stop | |
| 2000-02-01 | 2000-02-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2000-01-11 | 2000-02-01 | Completed | 100% | $32.13 | $29.80 | -7.31% | Stop | |
| 1999-12-17 | 2000-01-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 1999-11-08 | 1999-12-17 | Completed | 100% | $38.08 | $33.39 | -12.36% | Stop | |
| 1999-10-15 | 1999-11-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 1999-09-22 | 1999-10-15 | Completed | 100% | $27.99 | $27.27 | -2.61% | Stop | |
| 1999-08-30 | 1999-09-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 1999-08-09 | 1999-08-30 | Completed | 100% | $29.58 | $28.53 | -3.62% | Stop | |
| 1999-07-16 | 1999-08-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 1999-06-17 | 1999-07-16 | Completed | 100% | $38.01 | $35.14 | -7.59% | Stop | |
| 1999-05-25 | 1999-06-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 1999-03-04 | 1999-05-25 | Completed | 100% | $31.09 | $35.38 | 13.73% | Stop | |
| 1999-02-09 | 1999-03-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 1998-10-26 | 1999-02-09 | Completed | 100% | $22.92 | $27.18 | 18.53% | Stop | |
| 1998-10-02 | 1998-10-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 1998-09-24 | 1998-10-02 | Completed | 100% | $27.25 | $21.41 | -21.44% | Stop | |
| 1998-09-01 | 1998-09-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 1998-08-27 | 1998-09-01 | Completed | 100% | $27.84 | $21.34 | -23.39% | Stop | |
| 1998-08-05 | 1998-08-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 1998-05-20 | 1998-08-05 | Completed | 100% | $24.14 | $26.59 | 10.07% | Stop | |
| 1998-04-28 | 1998-05-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 1997-08-01 | 1998-04-28 | Completed | 100% | $8.71 | $22.16 | 154.13% | Stop | |
| 1997-07-10 | 1997-08-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 1997-06-16 | 1997-07-10 | Completed | 100% | $8.30 | $7.94 | -4.33% | Stop | |
| 1997-05-22 | 1997-06-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 1997-04-11 | 1997-05-22 | Completed | 100% | $8.13 | $7.79 | -4.20% | Stop | |
| 1997-03-19 | 1997-04-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 1997-01-29 | 1997-03-19 | Completed | 100% | $9.53 | $8.72 | -8.53% | Stop | |
| 1997-01-27 | 1997-01-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |