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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -36.4% (compared to the benchmark's drawdown of -51.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 7.0%, compared to a Buy-and-Hold benchmark return of 8.1%. The strategy executed 20 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.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
📊 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
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active
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% | 8.44% | 10.20% | 11.76% | 13.40% | 6.97% | 8.10% |
| Sharpe Ratio | 1.53 | 1.53 | 0.68 | 0.66 | 0.91 | 0.71 | 0.58 | 0.42 |
| Max Drawdown | -9.76% | -9.76% | -15.34% | -20.76% | -16.47% | -36.70% | -36.36% | -51.87% |
| % Time Invested | 100.0% | 100.0% | 83.6% | 100.0% | 85.5% | 100.0% | 76.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.4 | 0.0 | 0.8 | 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 |
| 2022-12-13 | 2025-04-08 | Completed | 100% | $328.18 | $387.06 | 17.94% | Stop |
| 2022-03-14 | 2022-12-13 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.81% | Interest Income |
| 2020-07-31 | 2022-03-14 | Completed | 100% | $238.12 | $308.06 | 29.37% | Signal |
| 2020-03-26 | 2020-07-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2020-03-24 | 2020-03-26 | Completed | 100% | $176.10 | $192.39 | 9.25% | Signal |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2019-03-15 | 2020-03-02 | Completed | 100% | $225.84 | $229.64 | 1.68% | Stop |
| 2018-12-21 | 2019-03-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.54% | Interest Income |
| 2016-03-18 | 2018-12-21 | Completed | 100% | $143.68 | $199.68 | 38.98% | Stop |
| 2016-01-22 | 2016-03-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2015-10-13 | 2016-01-22 | Completed | 100% | $137.84 | $131.13 | -4.86% | Signal |
| 2015-08-25 | 2015-10-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-12-22 | 2015-08-25 | Completed | 100% | $90.01 | $131.98 | 46.62% | Stop |
| 2011-09-02 | 2011-12-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-31 | 2011-09-02 | Completed | 100% | $85.55 | $83.03 | -2.94% | Signal |
| 2011-08-09 | 2011-08-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-09-21 | 2011-08-09 | Completed | 100% | $77.27 | $80.46 | 4.13% | Stop |
| 2010-07-13 | 2010-09-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2009-06-29 | 2010-07-13 | Completed | 100% | $58.80 | $73.69 | 25.32% | Signal |
| 2008-01-10 | 2009-06-29 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.41% | Interest Income |
| 2005-11-23 | 2008-01-10 | Completed | 100% | $68.98 | $84.21 | 22.09% | Signal |
| 2005-11-01 | 2005-11-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2005-06-28 | 2005-11-01 | Completed | 100% | $65.04 | $66.15 | 1.71% | Signal |
| 2005-06-03 | 2005-06-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2004-12-01 | 2005-06-03 | Completed | 100% | $65.22 | $66.29 | 1.64% | Signal |
| 2004-08-19 | 2004-12-01 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2003-03-21 | 2004-08-19 | Completed | 100% | $50.40 | $62.33 | 23.65% | Signal |
| 2002-06-27 | 2003-03-21 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.04% | Interest Income |
| 2002-03-07 | 2002-06-27 | Completed | 100% | $62.64 | $54.51 | -12.98% | Stop |
| 2001-08-17 | 2002-03-07 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.10% | Interest Income |
| 2001-06-07 | 2001-08-17 | Completed | 100% | $64.17 | $60.12 | -6.31% | Signal |
| 2001-03-19 | 2001-06-07 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.86% | Interest Income |
| 2001-02-07 | 2001-03-19 | Completed | 100% | $63.27 | $57.33 | -9.39% | Signal |
| 2000-11-21 | 2001-02-07 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.14% | Interest Income |
| 2000-07-17 | 2000-11-21 | Completed | 100% | $61.80 | $60.52 | -2.07% | Signal |
| 2000-06-15 | 2000-07-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income |
| 2000-05-23 | 2000-06-15 | Completed | 100% | $60.46 | $61.34 | 1.45% | Signal |
| 2000-02-25 | 2000-05-23 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.40% | 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 |