🎉
Summer Launch Special: Get 1 month free. Use code SUMMER_2026_1_MONTH at checkout. →
DASHBOARDS: Portfolio Hub Market Pulse Performance Compare Studio

C

Citigroup Inc
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-09
Executive Summary
The quantitative backtest for C (Citigroup Inc) using the Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -57.8% (compared to the benchmark's drawdown of -98.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.3%, compared to a Buy-and-Hold benchmark return of 6.7%. The strategy executed 82 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.

🛡️ C Drawdown Shield & Downside Protection

Why Drawdown Dictates Longevity →
Peak Drawdown Defense
-57.8% (vs -98.0% B&H)
+40.2% shallower drawdown
Downside Efficiency
0.36 Sortino
+0.17 vs 0.19 B&H
Capital Sheltered from Risk
39.6% 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.

📊 C Quality Metrics & KPI Summary

Metric 1Y5Y10YFull
StrategyB&HStrategyB&HStrategyB&HStrategyB&H
Max Drawdown-15.64%-14.76%-33.91%-42.95%-33.91%-56.51%-57.76%-98.00%
Sharpe Ratio1.171.270.690.580.600.410.350.16
Sortino Ratio1.651.810.700.840.650.530.360.19
CAGR38.61%44.60%16.76%18.33%13.43%14.72%8.32%6.72%
% Time Invested93.7%100.0%61.1%100.0%63.7%100.0%60.4%100.0%
Trades / Year0.00.01.40.01.60.01.70.0

Cumulative Growth Performance

Loading Chart...
Hydrating Performance Trajectory... Loading historical performance data
Figure 1: Cumulative Trajectory Analysis. Logarithmic growth comparison of C under the Moving Average (50/200) strategy (Investing) versus Buy & Hold. The strategy produced a 8.3% CAGR with a -57.8% Max Drawdown across 82 trade signals (compared to Buy & Hold's 6.7% CAGR and -98.0% Max Drawdown).

Return Distribution Analysis

Histogram of monthly return distribution for C under Moving Average (50/200) strategy in Investing context, illustrating downside risk mitigation and return skewness.
Figure 2: Monthly Return Distribution Profile. Monthly return distribution for C under Moving Average (50/200) (Investing). Visualizes return frequency, volatility clustering, and tail-risk truncation relative to standard buy-and-hold returns.
Loading...
Loading Top Diversifiers for C...

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.

Diversifier Asset Category 1Y Correlation (r) Action
Loading top diversifier assets...

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 DateExit DateTypeAllocationEntry PriceExit PriceNet 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
2026-03-09 2026-03-31 Interest (CASH) 100% $1.00 $1.00 0.23% Interest Income
2025-04-30 2026-03-09 Completed 100% $65.16 $103.43 58.66% Stop
2025-04-07 2025-04-30 Interest (CASH) 100% $1.00 $1.00 0.27% Interest Income
2025-03-27 2025-04-07 Completed 100% $70.45 $54.20 -23.10% Stop
2025-03-05 2025-03-27 Interest (CASH) 100% $1.00 $1.00 0.27% Interest Income
2024-08-28 2025-03-05 Completed 100% $58.29 $70.07 20.15% Stop
2024-08-06 2024-08-28 Interest (CASH) 100% $1.00 $1.00 0.33% Interest Income
2023-12-26 2024-08-06 Completed 100% $47.02 $53.58 13.89% Stop
2023-08-02 2023-12-26 Interest (CASH) 100% $1.00 $1.02 2.19% Interest Income
2023-06-08 2023-08-02 Completed 100% $43.04 $41.86 -2.79% Signal
2023-05-10 2023-06-08 Interest (CASH) 100% $1.00 $1.00 0.42% Interest Income
2023-04-10 2023-05-10 Completed 100% $40.85 $42.52 4.05% Signal
2023-03-16 2023-04-10 Interest (CASH) 100% $1.00 $1.00 0.30% Interest Income
2023-01-05 2023-03-16 Completed 100% $41.25 $39.84 -3.47% Stop
2021-11-12 2023-01-05 Interest (CASH) 100% $1.00 $1.02 2.12% Interest Income
2021-07-14 2021-11-12 Completed 100% $58.57 $58.59 -0.01% Signal
2021-06-21 2021-07-14 Interest (CASH) 100% $1.00 $1.00 0.00% Interest Income
2021-02-22 2021-06-21 Completed 100% $54.35 $57.27 5.32% Stop
2021-01-28 2021-02-22 Interest (CASH) 100% $1.00 $1.00 0.00% Interest Income
2020-12-11 2021-01-28 Completed 100% $49.28 $49.57 0.53% Stop
2020-03-23 2020-12-11 Interest (CASH) 100% $1.00 $1.00 0.08% Interest Income
2020-03-19 2020-03-23 Completed 100% $28.28 $29.94 5.81% Signal
2020-02-26 2020-03-19 Interest (CASH) 100% $1.00 $1.00 0.04% Interest Income
2019-09-09 2020-02-26 Completed 100% $52.50 $55.83 6.28% Stop
2019-08-15 2019-09-09 Interest (CASH) 100% $1.00 $1.00 0.12% Interest Income
2019-01-18 2019-08-15 Completed 100% $48.41 $48.74 0.63% Stop
2018-10-29 2019-01-18 Interest (CASH) 100% $1.00 $1.01 0.52% Interest Income
2018-09-28 2018-10-29 Completed 100% $55.12 $49.76 -9.76% Signal
2018-05-01 2018-09-28 Interest (CASH) 100% $1.00 $1.01 0.83% Interest Income
2018-04-18 2018-05-01 Completed 100% $52.81 $51.63 -2.30% Signal
2018-03-26 2018-04-18 Interest (CASH) 100% $1.00 $1.00 0.11% Interest Income
2016-09-09 2018-03-26 Completed 100% $35.46 $52.28 47.38% Stop
2015-10-09 2016-09-09 Interest (CASH) 100% $1.00 $1.00 0.23% Interest Income
2015-09-17 2015-10-09 Completed 100% $38.68 $38.10 -1.55% Signal
2015-08-25 2015-09-17 Interest (CASH) 100% $1.00 $1.00 0.00% Interest Income
2015-04-09 2015-08-25 Completed 100% $37.96 $38.74 2.01% Stop
2015-03-10 2015-04-09 Interest (CASH) 100% $1.00 $1.00 0.00% Interest Income
2015-02-09 2015-03-10 Completed 100% $35.86 $38.21 6.52% Signal
2015-01-15 2015-02-09 Interest (CASH) 100% $1.00 $1.00 0.00% Interest Income
2014-09-08 2015-01-15 Completed 100% $38.26 $35.26 -7.89% Stop
2014-03-11 2014-09-08 Interest (CASH) 100% $1.00 $1.00 0.02% Interest Income
2014-02-27 2014-03-11 Completed 100% $35.26 $36.50 3.46% Signal
2014-02-04 2014-02-27 Interest (CASH) 100% $1.00 $1.00 0.00% Interest Income
2013-07-18 2014-02-04 Completed 100% $38.22 $34.46 -9.88% Stop
2013-06-25 2013-07-18 Interest (CASH) 100% $1.00 $1.00 0.00% Interest Income
2012-10-05 2013-06-25 Completed 100% $25.92 $33.83 30.46% Stop
2012-06-19 2012-10-05 Interest (CASH) 100% $1.00 $1.00 0.03% Interest Income
2012-05-29 2012-06-19 Completed 100% $19.65 $20.45 4.01% Signal
2012-05-04 2012-05-29 Interest (CASH) 100% $1.00 $1.00 0.01% Interest Income
2012-01-27 2012-05-04 Completed 100% $21.99 $23.67 7.60% Stop
2011-06-01 2012-01-27 Interest (CASH) 100% $1.00 $1.00 0.02% Interest Income
2011-04-15 2011-06-01 Completed 100% $32.60 $29.97 -8.12% Signal
2011-03-24 2011-04-15 Interest (CASH) 100% $1.00 $1.00 0.00% Interest Income
2010-07-30 2011-03-24 Completed 100% $29.68 $32.24 8.57% Stop
2010-07-08 2010-07-30 Interest (CASH) 100% $1.00 $1.00 0.01% Interest Income
2010-05-28 2010-07-08 Completed 100% $29.38 $28.87 -1.79% Signal
2010-05-06 2010-05-28 Interest (CASH) 100% $1.00 $1.00 0.01% Interest Income
2010-04-13 2010-05-06 Completed 100% $33.77 $30.70 -9.14% Stop
2010-01-22 2010-04-13 Interest (CASH) 100% $1.00 $1.00 0.03% Interest Income
2010-01-11 2010-01-22 Completed 100% $26.75 $23.98 -10.43% Signal
2009-12-16 2010-01-11 Interest (CASH) 100% $1.00 $1.00 0.00% Interest Income
2009-11-18 2009-12-16 Completed 100% $30.99 $25.58 -17.49% Stop
2009-10-27 2009-11-18 Interest (CASH) 100% $1.00 $1.00 0.00% Interest Income
2009-09-21 2009-10-27 Completed 100% $30.99 $31.43 1.36% Stop
2009-08-12 2009-09-21 Interest (CASH) 100% $1.00 $1.00 0.02% Interest Income
2009-08-11 2009-08-12 Completed 100% $28.73 $27.56 -4.12% Stop
2009-03-31 2009-08-11 Interest (CASH) 100% $1.00 $1.00 0.06% Interest Income
2009-03-17 2009-03-31 Completed 100% $18.86 $18.64 -1.21% Stop
2007-07-27 2009-03-17 Interest (CASH) 100% $1.00 $1.03 3.08% Interest Income
2005-11-11 2007-07-27 Completed 100% $303.08 $321.65 6.07% Stop
2005-08-08 2005-11-11 Interest (CASH) 100% $1.00 $1.01 0.97% Interest Income
2005-01-03 2005-08-08 Completed 100% $299.31 $273.64 -8.62% Signal
2004-06-22 2005-01-03 Interest (CASH) 100% $1.00 $1.01 0.94% Interest Income
2003-03-07 2004-06-22 Completed 100% $185.07 $281.90 52.24% Signal
2003-02-12 2003-03-07 Interest (CASH) 100% $1.00 $1.00 0.08% Interest Income
2002-12-23 2003-02-12 Completed 100% $216.45 $185.30 -14.44% Stop
2002-05-28 2002-12-23 Interest (CASH) 100% $1.00 $1.01 0.91% Interest Income
2002-05-15 2002-05-28 Completed 100% $240.92 $240.12 -0.38% Signal
2002-04-23 2002-05-15 Interest (CASH) 100% $1.00 $1.00 0.11% Interest Income
2002-03-06 2002-04-23 Completed 100% $253.67 $239.93 -5.46% Stop
2002-02-05 2002-03-06 Interest (CASH) 100% $1.00 $1.00 0.14% Interest Income
2001-10-03 2002-02-05 Completed 100% $219.28 $240.46 9.60% Stop
2001-08-24 2001-10-03 Interest (CASH) 100% $1.00 $1.00 0.26% Interest Income
2001-06-27 2001-08-24 Completed 100% $273.89 $247.73 -9.60% Signal
2001-03-23 2001-06-27 Interest (CASH) 100% $1.00 $1.01 0.98% Interest Income
2001-03-19 2001-03-23 Completed 100% $240.26 $216.52 -9.93% Stop
2001-02-23 2001-03-19 Interest (CASH) 100% $1.00 $1.00 0.29% Interest Income
2000-12-18 2001-02-23 Completed 100% $256.31 $253.04 -1.33% Stop
2000-11-24 2000-12-18 Interest (CASH) 100% $1.00 $1.00 0.38% Interest Income
2000-11-02 2000-11-24 Completed 100% $273.23 $250.79 -8.26% Stop
2000-10-11 2000-11-02 Interest (CASH) 100% $1.00 $1.00 0.39% Interest Income
2000-03-15 2000-10-11 Completed 100% $190.97 $259.84 36.00% Stop
2000-02-22 2000-03-15 Interest (CASH) 100% $1.00 $1.00 0.36% Interest Income
1999-09-02 2000-02-22 Completed 100% $169.46 $198.95 17.35% Stop
1999-08-11 1999-09-02 Interest (CASH) 100% $1.00 $1.00 0.30% Interest Income
1999-06-17 1999-08-11 Completed 100% $174.72 $163.92 -6.23% Stop
1999-05-25 1999-06-17 Interest (CASH) 100% $1.00 $1.00 0.29% Interest Income
1999-03-01 1999-05-25 Completed 100% $151.73 $165.60 9.09% Stop
1998-09-02 1999-03-01 Interest (CASH) 100% $1.00 $1.02 2.14% Interest Income
1998-08-28 1998-09-02 Completed 100% $130.02 $109.75 -15.63% Stop
1998-08-06 1998-08-28 Interest (CASH) 100% $1.00 $1.00 0.31% Interest Income
1998-05-20 1998-08-06 Completed 100% $163.13 $158.37 -2.97% Stop
1998-04-28 1998-05-20 Interest (CASH) 100% $1.00 $1.00 0.32% Interest Income
1998-02-04 1998-04-28 Completed 100% $133.14 $156.48 17.48% Stop
1998-01-12 1998-02-04 Interest (CASH) 100% $1.00 $1.00 0.32% Interest Income
1997-11-20 1998-01-12 Completed 100% $125.11 $113.94 -8.98% Stop
1997-10-29 1997-11-20 Interest (CASH) 100% $1.00 $1.00 0.33% Interest Income
1997-04-23 1997-10-29 Completed 100% $83.77 $117.99 40.78% Stop
1997-04-01 1997-04-23 Interest (CASH) 100% $1.00 $1.00 0.33% Interest Income
1996-08-08 1997-04-01 Completed 100% $56.87 $79.60 39.89% Stop
1996-07-17 1996-08-08 Interest (CASH) 100% $1.00 $1.00 0.33% Interest Income
1996-05-03 1996-07-17 Completed 100% $48.10 $51.10 6.17% Stop
1996-04-11 1996-05-03 Interest (CASH) 100% $1.00 $1.00 0.31% Interest Income
1995-02-02 1996-04-11 Completed 100% $29.43 $49.37 67.68% Stop
1994-02-08 1995-02-02 Interest (CASH) 100% $1.00 $1.05 4.57% Interest Income
1993-11-26 1994-02-08 Completed 100% $31.76 $31.26 -1.62% Signal
1993-11-03 1993-11-26 Interest (CASH) 100% $1.00 $1.00 0.20% Interest Income
1993-05-19 1993-11-03 Completed 100% $26.40 $33.43 26.59% Stop
1993-04-27 1993-05-19 Interest (CASH) 100% $1.00 $1.00 0.19% Interest Income
1992-05-04 1993-04-27 Completed 100% $16.04 $24.62 53.40% Stop
1992-04-09 1992-05-04 Interest (CASH) 100% $1.00 $1.00 0.23% Interest Income
1991-06-10 1992-04-09 Completed 100% $11.71 $14.18 21.06% Stop
1991-05-16 1991-06-10 Interest (CASH) 100% $1.00 $1.00 0.35% Interest Income
1991-02-07 1991-05-16 Completed 100% $10.82 $10.76 -0.59% Stop
1990-12-07 1991-02-07 Interest (CASH) 100% $1.00 $1.01 1.06% Interest Income
1990-12-06 1990-12-07 Completed 100% $9.98 $9.32 -6.65% Stop
1990-09-20 1990-12-06 Interest (CASH) 100% $1.00 $1.02 1.53% Interest Income
1990-09-18 1990-09-20 Completed 100% $9.27 $7.86 -15.19% Stop
1990-08-24 1990-09-18 Interest (CASH) 100% $1.00 $1.00 0.47% Interest Income
1990-08-15 1990-08-24 Completed 100% $11.37 $10.30 -9.51% Stop
1990-07-24 1990-08-15 Interest (CASH) 100% $1.00 $1.00 0.47% Interest Income
1990-04-19 1990-07-24 Completed 100% $10.98 $12.36 12.55% Stop
1990-03-27 1990-04-19 Interest (CASH) 100% $1.00 $1.00 0.49% Interest Income
1990-02-23 1990-03-27 Completed 100% $9.58 $10.14 5.77% Signal
1990-01-31 1990-02-23 Interest (CASH) 100% $1.00 $1.00 0.49% Interest Income
1989-08-02 1990-01-31 Completed 100% $10.22 $9.49 -7.19% Stop
1988-12-19 1989-08-02 Interest (CASH) 100% $1.00 $1.05 4.78% Interest Income
1988-08-11 1988-12-19 Completed 100% $9.77 $8.02 -17.89% Stop
1987-10-20 1988-08-11 Interest (CASH) 100% $1.00 $1.06 6.32% Interest Income
1987-09-10 1987-10-20 Completed 100% $14.92 $12.10 -18.91% Stop
1987-05-22 1987-09-10 Interest (CASH) 100% $1.00 $1.02 2.30% Interest Income
1987-05-07 1987-05-22 Completed 100% $13.84 $12.73 -8.02% Signal
1987-04-14 1987-05-07 Interest (CASH) 100% $1.00 $1.00 0.48% Interest Income
1986-10-08 1987-04-14 Completed 100% $13.85 $14.86 7.21% Stop
1986-09-16 1986-10-08 Interest (CASH) 100% $1.00 $1.00 0.48% Interest Income
1985-10-30 1986-09-16 Completed 100% $9.18 $12.84 39.84% Stop
1985-10-08 1985-10-30 Interest (CASH) 100% $1.00 $1.00 0.48% Interest Income
1984-10-02 1985-10-08 Completed 100% $8.19 $8.63 5.35% Stop
1984-05-21 1984-10-02 Interest (CASH) 100% $1.00 $1.03 2.82% Interest Income
1984-03-19 1984-05-21 Completed 100% $8.23 $7.24 -12.06% Signal
1984-02-24 1984-03-19 Interest (CASH) 100% $1.00 $1.00 0.48% Interest Income
1983-09-02 1984-02-24 Completed 100% $6.90 $7.89 14.27% Stop
1983-08-11 1983-09-02 Interest (CASH) 100% $1.00 $1.00 0.48% Interest Income
1983-01-27 1983-08-11 Completed 100% $5.24 $6.67 27.25% Stop
1983-01-05 1983-01-27 Interest (CASH) 100% $1.00 $1.00 0.48% Interest Income
1982-09-22 1983-01-05 Completed 100% $5.41 $5.14 -5.11% Stop
1981-09-21 1982-09-22 Interest (CASH) 100% $1.00 $1.08 7.89% Interest Income
1981-08-12 1981-09-21 Completed 100% $6.21 $5.22 -15.97% Stop
1981-07-21 1981-08-12 Interest (CASH) 100% $1.00 $1.00 0.48% Interest Income
1980-12-29 1981-07-21 Completed 100% $5.07 $6.23 22.76% Stop
1980-12-03 1980-12-29 Interest (CASH) 100% $1.00 $1.01 0.51% Interest Income
1980-08-14 1980-12-03 Completed 100% $5.49 $4.88 -11.16% Stop
1979-10-23 1980-08-14 Interest (CASH) 100% $1.00 $1.06 6.32% Interest Income
1979-05-23 1979-10-23 Completed 100% $6.36 $5.85 -7.99% Stop
1979-03-14 1979-05-23 Interest (CASH) 100% $1.00 $1.01 1.45% Interest Income

Next Steps: Portfolio Integration & Comparative Analysis

Single-ticker trend following is designed to truncate tail risk inside a broader portfolio. View where C ranks across 40+ tracked assets, evaluate correlation against non-correlated diversifiers, or model it inside a custom all-weather asset mix.

📊 View Full 40-Asset Backtest Matrix → 🛠️ Build Custom Portfolio with C → ⚖️ Compare C vs Non-Correlated Assets →