GS
Goldman Sachs Group Inc
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for GS (Goldman Sachs Group Inc) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -48.9% (compared to the benchmark's drawdown of -78.8%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 9.0%, compared to a Buy-and-Hold benchmark return of 12.3%. The strategy executed 33 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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GS Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 57.30% | 50.57% | 19.42% | 26.12% | 15.40% | 23.31% | 8.99% | 12.33% |
| Sharpe Ratio | 1.53 | 1.34 | 0.71 | 0.82 | 0.62 | 0.70 | 0.42 | 0.34 |
| Max Drawdown | -13.60% | -19.42% | -34.92% | -32.84% | -48.85% | -48.75% | -48.85% | -78.84% |
| % Time Invested | 93.7% | 100.0% | 80.4% | 100.0% | 73.8% | 100.0% | 63.6% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.4 | 0.0 | 1.4 | 0.0 | 1.3 | 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 | ||||||||
| 2026-03-04 | 2026-03-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2025-04-30 | 2026-03-04 | Completed | 100% | $522.58 | $866.02 | 65.64% | 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% | $551.10 | $435.91 | -20.94% | Stop | |
| 2025-03-05 | 2025-03-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-12-15 | 2025-03-05 | Completed | 100% | $360.28 | $567.77 | 57.51% | Stop | |
| 2023-10-04 | 2023-12-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.10% | Interest Income | |
| 2023-04-18 | 2023-10-04 | Completed | 100% | $303.43 | $286.53 | -5.62% | Stop | |
| 2022-11-22 | 2023-04-18 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.82% | Interest Income | |
| 2022-10-18 | 2022-11-22 | Completed | 100% | $293.54 | $348.04 | 18.51% | Signal | |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-05-03 | 2022-09-26 | Completed | 100% | $280.43 | $272.85 | -2.75% | Stop | |
| 2022-04-08 | 2022-05-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2022-02-10 | 2022-04-08 | Completed | 100% | $332.65 | $282.28 | -15.18% | Stop | |
| 2022-01-19 | 2022-02-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-10-16 | 2022-01-19 | Completed | 100% | $182.22 | $320.68 | 75.90% | Stop | |
| 2020-09-24 | 2020-10-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-05-29 | 2020-09-24 | Completed | 100% | $171.48 | $165.30 | -3.65% | Stop | |
| 2019-09-25 | 2020-05-29 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.73% | Interest Income | |
| 2019-09-13 | 2019-09-25 | Completed | 100% | $188.17 | $177.59 | -5.67% | Stop | |
| 2019-03-21 | 2019-09-13 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.07% | Interest Income | |
| 2019-03-19 | 2019-03-21 | Completed | 100% | $173.09 | $162.97 | -5.89% | Stop | |
| 2018-12-26 | 2019-03-19 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.54% | Interest Income | |
| 2018-12-07 | 2018-12-26 | Completed | 100% | $154.70 | $132.11 | -14.65% | Stop | |
| 2018-11-13 | 2018-12-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-05-29 | 2018-11-13 | Completed | 100% | $192.70 | $171.30 | -11.15% | Stop | |
| 2018-05-04 | 2018-05-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2017-05-11 | 2018-05-04 | Completed | 100% | $184.38 | $193.36 | 4.82% | Stop | |
| 2017-04-19 | 2017-05-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2016-07-15 | 2017-04-19 | Completed | 100% | $132.56 | $177.41 | 33.76% | Stop | |
| 2016-05-20 | 2016-07-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2016-02-02 | 2016-05-20 | Completed | 100% | $126.72 | $126.27 | -0.41% | Signal | |
| 2016-01-08 | 2016-02-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2016-01-08 | Completed | 100% | $151.59 | $134.59 | -11.26% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-05-07 | 2015-08-25 | Completed | 100% | $122.61 | $149.01 | 21.47% | Stop | |
| 2014-04-14 | 2014-05-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-02-20 | 2014-04-14 | Completed | 100% | $122.79 | $122.13 | -0.59% | Stop | |
| 2011-03-25 | 2013-02-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2010-05-11 | 2011-03-25 | Completed | 100% | $106.69 | $121.39 | 13.72% | Signal | |
| 2010-04-19 | 2010-05-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-02-19 | 2010-04-19 | Completed | 100% | $115.51 | $116.58 | 0.88% | Stop | |
| 2010-01-27 | 2010-02-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-12-07 | 2010-01-27 | Completed | 100% | $124.48 | $112.69 | -9.52% | Stop | |
| 2008-07-03 | 2009-12-07 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.60% | Interest Income | |
| 2008-06-26 | 2008-07-03 | Completed | 100% | $131.53 | $132.47 | 0.67% | Signal | |
| 2008-06-04 | 2008-06-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2008-04-10 | 2008-06-04 | Completed | 100% | $127.53 | $124.91 | -2.11% | Stop | |
| 2008-03-18 | 2008-04-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2008-03-10 | 2008-03-18 | Completed | 100% | $117.33 | $120.98 | 3.05% | Stop | |
| 2008-02-14 | 2008-03-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2008-01-31 | 2008-02-14 | Completed | 100% | $144.07 | $130.91 | -9.18% | Stop | |
| 2008-01-08 | 2008-01-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2007-12-04 | 2008-01-08 | Completed | 100% | $161.84 | $143.35 | -11.47% | Stop | |
| 2007-11-09 | 2007-12-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.20% | Interest Income | |
| 2007-08-16 | 2007-11-09 | Completed | 100% | $119.22 | $148.30 | 24.33% | Stop | |
| 2007-07-25 | 2007-08-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2006-06-19 | 2007-07-25 | Completed | 100% | $104.98 | $145.78 | 38.79% | Stop | |
| 2006-05-25 | 2006-06-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2005-06-21 | 2006-05-25 | Completed | 100% | $73.97 | $105.14 | 42.08% | Stop | |
| 2005-05-27 | 2005-06-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.19% | Interest Income | |
| 2004-06-03 | 2005-05-27 | Completed | 100% | $65.23 | $69.62 | 6.68% | Stop | |
| 2004-05-11 | 2004-06-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2003-10-29 | 2004-05-11 | Completed | 100% | $65.52 | $65.56 | 0.01% | Stop | |
| 2001-09-18 | 2003-10-29 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.10% | Interest Income | |
| 2001-07-17 | 2001-09-18 | Completed | 100% | $57.47 | $48.53 | -15.60% | Stop | |
| 2001-07-13 | 2001-07-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |