DIA
SPDR Dow Jones Industrial Average ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-13
Executive Summary
The quantitative backtest for DIA (SPDR Dow Jones Industrial Average ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -25.4% (compared to the benchmark's drawdown of -51.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 9.5%, compared to a Buy-and-Hold benchmark return of 8.1%. The strategy executed 14 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.
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DIA Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 21.02% | 21.02% | 7.12% | 10.20% | 14.23% | 13.40% | 9.53% | 8.10% |
| Sharpe Ratio | 1.53 | 1.53 | 0.54 | 0.66 | 0.94 | 0.71 | 0.70 | 0.42 |
| Max Drawdown | -9.76% | -9.76% | -18.58% | -20.76% | -18.58% | -36.70% | -25.44% | -51.87% |
| % Time Invested | 100.0% | 100.0% | 81.0% | 100.0% | 89.2% | 100.0% | 82.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 0.6 | 0.0 | 0.5 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-05-01 | Open | Open | 100% | $402.08 | $513.06 | 27.60% | Mark-to-Market |
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2023-11-08 | 2025-04-08 | Completed | 100% | $328.24 | $387.06 | 17.92% | Stop |
| 2023-10-04 | 2023-11-08 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.54% | Interest Income |
| 2023-07-19 | 2023-10-04 | Completed | 100% | $334.38 | $316.58 | -5.32% | Stop |
| 2022-11-16 | 2023-07-19 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.22% | Interest Income |
| 2022-10-25 | 2022-11-16 | Completed | 100% | $295.69 | $315.75 | 6.78% | Signal |
| 2022-10-03 | 2022-10-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2022-06-14 | 2022-10-03 | Completed | 100% | $286.14 | $273.15 | -4.54% | Stop |
| 2022-05-20 | 2022-06-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-03-24 | 2022-05-20 | Completed | 100% | $176.10 | $293.77 | 66.82% | Stop |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2019-01-16 | 2020-03-02 | Completed | 100% | $210.45 | $229.64 | 9.12% | Stop |
| 2018-12-21 | 2019-01-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2015-09-17 | 2018-12-21 | Completed | 100% | $135.28 | $199.68 | 47.60% | Stop |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-31 | 2015-08-25 | Completed | 100% | $85.55 | $131.98 | 54.26% | Stop |
| 2011-08-09 | 2011-08-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2009-07-22 | 2011-08-09 | Completed | 100% | $61.85 | $80.46 | 30.09% | Stop |
| 2008-08-29 | 2009-07-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.28% | Interest Income |
| 2008-08-05 | 2008-08-29 | Completed | 100% | $76.70 | $78.73 | 2.64% | Signal |
| 2008-07-14 | 2008-08-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2008-02-14 | 2008-07-14 | Completed | 100% | $83.76 | $75.52 | -9.83% | Stop |
| 2008-01-23 | 2008-02-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2003-03-21 | 2008-01-23 | Completed | 100% | $50.40 | $78.13 | 55.00% | Stop |
| 2000-12-07 | 2003-03-21 | Interest (CASH) | 100% | $1.00 | $1.06 | 5.75% | Interest Income |
| 2000-03-20 | 2000-12-07 | Completed | 100% | $60.74 | $61.48 | 1.22% | Signal |
| 2000-02-25 | 2000-03-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2000-01-12 | 2000-02-25 | Completed | 100% | $65.78 | $57.40 | -12.74% | Stop |
| 2000-01-10 | 2000-01-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |