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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -41.0% (compared to the benchmark's drawdown of -78.8%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 9.4%, compared to a Buy-and-Hold benchmark return of 12.3%. The strategy executed 38 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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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% | 12.71% | 26.12% | 16.19% | 23.31% | 9.38% | 12.33% |
| Sharpe Ratio | 1.53 | 1.34 | 0.52 | 0.82 | 0.69 | 0.70 | 0.47 | 0.34 |
| Max Drawdown | -13.60% | -19.42% | -32.97% | -32.84% | -33.36% | -48.75% | -40.99% | -78.84% |
| % Time Invested | 93.7% | 100.0% | 66.5% | 100.0% | 64.6% | 100.0% | 57.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.8 | 0.0 | 1.7 | 0.0 | 1.5 | 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 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 | |
| 2025-06-11 | 2026-03-04 | Completed | 100% | $605.00 | $866.02 | 43.07% | Stop | |
| 2025-05-07 | 2025-06-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.41% | Interest Income | |
| 2025-04-30 | 2025-05-07 | Completed | 100% | $522.58 | $536.68 | 2.65% | Signal | |
| 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 | |
| 2023-10-05 | 2023-12-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.08% | Interest Income | |
| 2023-09-20 | 2023-10-05 | Completed | 100% | $322.03 | $288.89 | -10.33% | Signal | |
| 2023-04-26 | 2023-09-20 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.15% | Interest Income | |
| 2023-04-04 | 2023-04-26 | Completed | 100% | $302.34 | $312.30 | 3.24% | Signal | |
| 2023-03-13 | 2023-04-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2022-11-08 | 2023-03-13 | Completed | 100% | $330.61 | $295.73 | -10.60% | Stop | |
| 2022-10-13 | 2022-11-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2022-09-27 | 2022-10-13 | Completed | 100% | $271.48 | $265.02 | -2.43% | Signal | |
| 2022-08-30 | 2022-09-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.24% | Interest Income | |
| 2022-08-16 | 2022-08-30 | Completed | 100% | $319.70 | $303.41 | -5.14% | Stop | |
| 2022-01-19 | 2022-08-16 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.64% | Interest Income | |
| 2020-08-04 | 2022-01-19 | Completed | 100% | $173.32 | $320.68 | 84.93% | Stop | |
| 2020-03-27 | 2020-08-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2020-03-23 | 2020-03-27 | Completed | 100% | $117.54 | $137.45 | 16.89% | Signal | |
| 2020-02-28 | 2020-03-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2019-07-16 | 2020-02-28 | Completed | 100% | $182.29 | $172.02 | -5.68% | Stop | |
| 2019-03-21 | 2019-07-16 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.74% | Interest Income | |
| 2019-03-19 | 2019-03-21 | Completed | 100% | $173.09 | $162.97 | -5.89% | Stop | |
| 2018-08-14 | 2019-03-19 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.36% | Interest Income | |
| 2018-07-31 | 2018-08-14 | Completed | 100% | $200.05 | $189.90 | -5.12% | Stop | |
| 2018-05-31 | 2018-07-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 2018-05-29 | 2018-05-31 | Completed | 100% | $192.70 | $189.89 | -1.51% | Signal | |
| 2018-05-04 | 2018-05-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2017-10-19 | 2018-05-04 | Completed | 100% | $198.87 | $193.36 | -2.82% | Stop | |
| 2017-07-24 | 2017-10-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2017-05-11 | 2017-07-24 | Completed | 100% | $184.38 | $180.54 | -2.13% | Signal | |
| 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 | |
| 2015-09-28 | 2016-07-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2015-09-17 | 2015-09-28 | Completed | 100% | $151.59 | $143.55 | -5.35% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-07-21 | 2015-08-25 | Completed | 100% | $134.71 | $149.01 | 10.56% | Stop | |
| 2014-04-14 | 2014-07-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-09-25 | 2014-04-14 | Completed | 100% | $90.52 | $122.13 | 34.86% | Stop | |
| 2012-06-18 | 2012-09-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2012-05-30 | 2012-06-18 | Completed | 100% | $74.39 | $73.28 | -1.54% | Signal | |
| 2012-05-07 | 2012-05-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-03-16 | 2012-05-07 | Completed | 100% | $94.26 | $83.11 | -11.88% | Stop | |
| 2011-05-06 | 2012-03-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2010-11-08 | 2011-05-06 | Completed | 100% | $127.97 | $114.55 | -10.53% | Signal | |
| 2010-02-23 | 2010-11-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2010-02-19 | 2010-02-23 | Completed | 100% | $115.51 | $117.22 | 1.44% | Signal | |
| 2010-01-27 | 2010-02-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-12-22 | 2010-01-27 | Completed | 100% | $123.72 | $112.69 | -8.96% | Stop | |
| 2009-11-30 | 2009-12-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2009-05-08 | 2009-11-30 | Completed | 100% | $100.15 | $123.70 | 23.45% | Stop | |
| 2008-01-22 | 2009-05-08 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.30% | Interest Income | |
| 2008-01-14 | 2008-01-22 | Completed | 100% | $146.54 | $130.44 | -11.04% | Signal | |
| 2007-12-19 | 2008-01-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.20% | Interest Income | |
| 2007-11-06 | 2007-12-19 | Completed | 100% | $162.33 | $148.38 | -8.64% | Stop | |
| 2007-08-20 | 2007-11-06 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.85% | Interest Income | |
| 2007-08-16 | 2007-08-20 | Completed | 100% | $119.22 | $128.66 | 7.87% | Signal | |
| 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 | |
| 2005-08-15 | 2006-05-25 | Completed | 100% | $81.51 | $105.14 | 28.92% | Stop | |
| 2005-05-27 | 2005-08-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.68% | Interest Income | |
| 2004-11-17 | 2005-05-27 | Completed | 100% | $74.36 | $69.62 | -6.42% | Stop | |
| 2004-06-17 | 2004-11-17 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.68% | Interest Income | |
| 2004-06-03 | 2004-06-17 | Completed | 100% | $65.23 | $63.43 | -2.81% | Signal | |
| 2004-05-11 | 2004-06-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2003-05-08 | 2004-05-11 | Completed | 100% | $54.29 | $65.56 | 20.71% | Stop | |
| 2002-05-22 | 2003-05-08 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.36% | Interest Income | |
| 2002-05-20 | 2002-05-22 | Completed | 100% | $56.06 | $55.05 | -1.85% | Signal | |
| 2002-04-26 | 2002-05-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2002-02-25 | 2002-04-26 | Completed | 100% | $55.49 | $55.09 | -0.77% | Stop | |
| 2002-01-31 | 2002-02-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2001-12-19 | 2002-01-31 | Completed | 100% | $63.02 | $60.22 | -4.50% | Stop | |
| 2001-07-13 | 2001-12-19 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.08% | Interest Income | |