DIA
SPDR Dow Jones Industrial Average ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-12
Executive Summary
The quantitative backtest for DIA (SPDR Dow Jones Industrial Average ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -18.4% (compared to the benchmark's drawdown of -51.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.4%, compared to a Buy-and-Hold benchmark return of 8.1%. The strategy executed 65 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Mathematical Model
Excess Return MMA Active
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)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
DIA Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 16.09% | 21.02% | 7.46% | 10.20% | 12.54% | 13.40% | 8.41% | 8.10% |
| Sharpe Ratio | 1.32 | 1.53 | 0.66 | 0.66 | 0.96 | 0.71 | 0.72 | 0.42 |
| Max Drawdown | -9.76% | -9.76% | -13.14% | -20.76% | -14.68% | -36.70% | -18.43% | -51.87% |
| % Time Invested | 100.0% | 100.0% | 95.2% | 100.0% | 96.5% | 100.0% | 89.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 2.0 | 0.0 | 2.0 | 0.0 | 2.5 | 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 / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| 2025-10-02 | Open | Open | 33.33% | $460.38 | $513.06 | 11.44% | Mark-to-Market |
| 2025-05-01 | Open | Open | 33.33% | $402.08 | $513.06 | 27.60% | Mark-to-Market |
| 2026-05-05 | Open | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.41% | Mark-to-Market |
| 2025-05-01 | 2026-05-05 | Completed | 33.33% | $402.08 | $491.62 | 22.27% | Signal |
| 2025-06-23 | 2025-10-02 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.19% | Interest Income |
| 2025-04-30 | 2025-06-23 | Completed | 33.33% | $396.06 | $416.82 | 5.24% | Signal |
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2025-03-21 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.47% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2023-11-08 | 2025-04-08 | Completed | 33.33% | $328.24 | $387.06 | 17.92% | Stop |
| 2023-03-14 | 2025-04-07 | Completed | 33.33% | $305.14 | $365.32 | 19.72% | Stop |
| 2024-07-24 | 2025-03-21 | Completed | 33.33% | $390.70 | $409.26 | 4.75% | Signal |
| 2024-07-01 | 2024-07-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2023-12-18 | 2024-07-01 | Completed | 33.33% | $359.69 | $381.13 | 5.96% | Signal |
| 2023-10-31 | 2023-12-18 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.70% | Interest Income |
| 2023-10-04 | 2023-11-08 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.54% | Interest Income |
| 2023-06-23 | 2023-10-31 | Completed | 33.33% | $321.71 | $315.84 | -1.82% | Signal |
| 2023-07-19 | 2023-10-04 | Completed | 33.33% | $334.38 | $316.58 | -5.32% | Stop |
| 2022-11-04 | 2023-07-19 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.36% | Interest Income |
| 2023-04-20 | 2023-06-23 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.91% | Interest Income |
| 2022-12-16 | 2023-04-20 | Completed | 33.33% | $311.08 | $320.41 | 3.00% | Signal |
| 2022-05-12 | 2023-03-14 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.82% | Interest Income |
| 2022-03-16 | 2022-12-16 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.85% | Interest Income |
| 2022-06-15 | 2022-11-04 | Completed | 33.33% | $285.94 | $304.40 | 6.46% | Signal |
| 2022-05-23 | 2022-06-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-03-24 | 2022-05-23 | Completed | 33.33% | $176.10 | $294.27 | 67.10% | Stop |
| 2020-08-11 | 2022-05-12 | Completed | 33.33% | $253.60 | $294.76 | 16.23% | Stop |
| 2020-07-01 | 2022-03-16 | Completed | 33.33% | $233.52 | $314.97 | 34.88% | Signal |
| 2020-05-12 | 2020-08-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2020-04-01 | 2020-07-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2020-03-24 | 2020-05-12 | Completed | 33.33% | $176.10 | $218.88 | 24.29% | Signal |
| 2020-03-24 | 2020-04-01 | Completed | 33.33% | $176.10 | $189.00 | 7.33% | Signal |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2019-06-14 | 2020-03-02 | Completed | 33.33% | $229.76 | $229.64 | -0.05% | Stop |
| 2019-03-28 | 2020-03-02 | Completed | 33.33% | $225.26 | $229.64 | 1.94% | Stop |
| 2019-01-18 | 2020-03-02 | Completed | 33.33% | $214.34 | $229.64 | 7.14% | Stop |
| 2019-03-21 | 2019-06-14 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.56% | Interest Income |
| 2018-12-20 | 2019-03-28 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.63% | Interest Income |
| 2019-01-15 | 2019-03-21 | Completed | 33.33% | $208.34 | $224.79 | 7.90% | Signal |
| 2018-12-26 | 2019-01-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2018-12-20 | 2019-01-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2015-09-17 | 2018-12-26 | Completed | 33.33% | $135.28 | $191.12 | 41.27% | Stop |
| 2018-07-26 | 2018-12-20 | Completed | 33.33% | $219.75 | $202.25 | -7.96% | Stop |
| 2016-03-18 | 2018-12-20 | Completed | 33.33% | $143.68 | $202.25 | 40.77% | Stop |
| 2018-05-09 | 2018-07-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.41% | Interest Income |
| 2016-04-26 | 2018-05-09 | Completed | 33.33% | $147.53 | $209.69 | 42.13% | Signal |
| 2016-03-02 | 2016-04-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2015-10-06 | 2016-03-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2016-02-12 | 2016-03-02 | Completed | 33.33% | $128.89 | $137.44 | 6.63% | Signal |
| 2016-01-21 | 2016-02-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-10-13 | 2016-01-21 | Completed | 33.33% | $137.84 | $128.61 | -6.70% | Stop |
| 2015-08-13 | 2015-10-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2015-09-17 | 2015-10-06 | Completed | 33.33% | $135.28 | $135.81 | 0.39% | Signal |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2012-02-23 | 2015-08-25 | Completed | 33.33% | $96.22 | $131.98 | 37.16% | Stop |
| 2011-09-01 | 2015-08-25 | Completed | 33.33% | $85.50 | $131.98 | 54.36% | Stop |
| 2013-02-13 | 2015-08-13 | Completed | 33.33% | $107.01 | $140.13 | 30.96% | Signal |
| 2013-01-22 | 2013-02-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2012-08-30 | 2013-01-22 | Completed | 33.33% | $98.48 | $103.88 | 5.48% | Signal |
| 2012-07-05 | 2012-08-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2011-12-14 | 2012-07-05 | Completed | 33.33% | $88.22 | $96.74 | 9.66% | Signal |
| 2011-11-03 | 2012-02-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2011-08-09 | 2011-12-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2011-08-31 | 2011-11-03 | Completed | 33.33% | $85.55 | $88.12 | 3.00% | Signal |
| 2011-08-10 | 2011-09-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-09 | 2011-08-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2009-07-22 | 2011-08-10 | Completed | 33.33% | $61.85 | $80.87 | 30.75% | Stop |
| 2010-10-04 | 2011-08-09 | Completed | 33.33% | $77.71 | $80.46 | 3.53% | Stop |
| 2010-07-27 | 2011-08-09 | Completed | 33.33% | $75.56 | $80.46 | 6.48% | Stop |
| 2010-07-02 | 2010-10-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2010-07-02 | 2010-07-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2009-07-22 | 2010-07-02 | Completed | 33.33% | $61.85 | $69.63 | 12.58% | Stop |
| 2009-06-03 | 2010-07-02 | Completed | 33.33% | $60.35 | $69.63 | 15.38% | Stop |
| 2008-09-09 | 2009-07-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2008-02-25 | 2009-07-22 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.13% | Interest Income |
| 2008-07-18 | 2009-06-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.46% | Interest Income |
| 2008-08-07 | 2008-09-09 | Completed | 33.33% | $77.87 | $77.81 | -0.07% | Signal |
| 2008-07-16 | 2008-08-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2008-06-10 | 2008-07-18 | Completed | 33.33% | $82.13 | $77.27 | -5.91% | Signal |
| 2008-02-14 | 2008-07-16 | Completed | 33.33% | $83.76 | $73.88 | -11.79% | Stop |
| 2007-12-31 | 2008-06-10 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.82% | Interest Income |
| 2008-02-12 | 2008-02-25 | Completed | 33.33% | $82.08 | $82.60 | 0.64% | Signal |
| 2008-01-23 | 2008-02-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2008-01-18 | 2008-02-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2003-03-21 | 2008-01-23 | Completed | 33.33% | $50.40 | $78.13 | 55.00% | Stop |
| 2005-10-03 | 2008-01-18 | Completed | 33.33% | $67.01 | $81.52 | 21.65% | Stop |
| 2007-11-15 | 2007-12-31 | Completed | 33.33% | $87.50 | $88.61 | 1.27% | Signal |
| 2007-10-19 | 2007-11-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.28% | Interest Income |
| 2006-09-06 | 2007-10-19 | Completed | 33.33% | $73.87 | $91.31 | 23.61% | Signal |
| 2006-07-26 | 2006-09-06 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.57% | Interest Income |
| 2005-12-20 | 2006-07-26 | Completed | 33.33% | $69.02 | $71.47 | 3.56% | Signal |
| 2005-10-27 | 2005-12-20 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.57% | Interest Income |
| 2005-06-20 | 2005-10-27 | Completed | 33.33% | $66.62 | $65.56 | -1.58% | Signal |
| 2005-08-26 | 2005-10-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2004-12-17 | 2005-08-26 | Completed | 33.33% | $66.40 | $66.04 | -0.54% | Signal |
| 2005-05-05 | 2005-06-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2004-11-17 | 2005-05-05 | Completed | 33.33% | $65.63 | $65.16 | -0.71% | Signal |
| 2004-10-05 | 2004-12-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.41% | Interest Income |
| 2004-05-26 | 2004-11-17 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.75% | Interest Income |
| 2003-03-21 | 2004-10-05 | Completed | 33.33% | $50.40 | $63.39 | 25.76% | Signal |
| 2003-05-29 | 2004-05-26 | Completed | 33.33% | $53.22 | $62.21 | 16.90% | Signal |
| 2003-03-25 | 2003-05-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2003-03-11 | 2003-03-25 | Completed | 33.33% | $45.61 | $49.47 | 8.46% | Signal |
| 2002-08-29 | 2003-03-21 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.74% | Interest Income |
| 2000-12-05 | 2003-03-21 | Interest (CASH) | 33.33% | $1.00 | $1.06 | 5.80% | Interest Income |
| 2003-02-14 | 2003-03-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2002-12-31 | 2003-02-14 | Completed | 33.33% | $49.83 | $46.76 | -6.16% | Stop |
| 2002-06-17 | 2002-12-31 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.83% | Interest Income |
| 2002-07-22 | 2002-08-29 | Completed | 33.33% | $47.03 | $51.14 | 8.74% | Signal |
| 2002-06-27 | 2002-07-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2002-04-25 | 2002-06-27 | Completed | 33.33% | $58.96 | $54.51 | -7.55% | Stop |
| 2002-01-09 | 2002-06-17 | Completed | 33.33% | $59.83 | $56.41 | -5.72% | Stop |
| 2000-10-13 | 2002-04-25 | Interest (CASH) | 33.33% | $1.00 | $1.05 | 5.32% | Interest Income |
| 2001-09-10 | 2002-01-09 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.63% | Interest Income |
| 2001-06-22 | 2001-09-10 | Completed | 33.33% | $62.20 | $55.47 | -10.82% | Signal |
| 2000-11-20 | 2001-06-22 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.71% | Interest Income |
| 2000-03-21 | 2000-12-05 | Completed | 33.33% | $60.90 | $61.69 | 1.31% | Signal |
| 2000-09-29 | 2000-11-20 | Completed | 33.33% | $62.07 | $61.01 | -1.72% | Signal |
| 2000-07-17 | 2000-10-13 | Completed | 33.33% | $61.80 | $57.55 | -6.88% | Stop |
| 2000-09-07 | 2000-09-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income |
| 2000-07-17 | 2000-09-07 | Completed | 33.33% | $61.80 | $64.78 | 4.81% | Signal |
| 2000-03-30 | 2000-07-17 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.70% | Interest Income |
| 2000-02-22 | 2000-07-17 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.32% | Interest Income |
| 2000-03-15 | 2000-03-30 | Completed | 33.33% | $56.28 | $62.79 | 11.57% | Signal |
| 2000-02-28 | 2000-03-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2000-02-22 | 2000-03-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2000-01-12 | 2000-02-28 | Completed | 33.33% | $65.78 | $56.60 | -13.96% | Stop |
| 2000-01-12 | 2000-02-22 | Completed | 33.33% | $65.78 | $58.70 | -10.76% | Stop |
| 2000-01-12 | 2000-02-22 | Completed | 33.33% | $65.78 | $58.70 | -10.76% | Stop |
| 2000-01-10 | 2000-01-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2000-01-10 | 2000-01-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2000-01-10 | 2000-01-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |