GS
Goldman Sachs Group Inc
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-09
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 9.2%, compared to a Buy-and-Hold benchmark return of 12.2%. The strategy executed 39 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for GS:
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 Model
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
🎯 Trading Horizon
Select risk profile & execution style for GS:
🛡️ Long-Term Investing Active Horizon
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.
Switch to MMA to enable
🛡️ GS Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-41.0% (vs -78.8% B&H)
+37.9% shallower drawdown
Downside Efficiency
0.51 Sortino
+0.06 vs 0.45 B&H
Capital Sheltered from Risk
42.5% of Time
Earning Treasury yield during downturns
* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.
📊 GS Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -14.87% | -19.42% | -32.97% | -32.84% | -33.36% | -48.75% | -40.99% | -78.84% |
| Sharpe Ratio | 1.19 | 1.01 | 0.42 | 0.74 | 0.65 | 0.67 | 0.46 | 0.34 |
| Sortino Ratio | 1.70 | 1.53 | 0.47 | 1.08 | 0.76 | 0.91 | 0.51 | 0.45 |
| CAGR | 42.46% | 37.35% | 10.21% | 23.48% | 15.19% | 22.33% | 9.18% | 12.15% |
| % Time Invested | 87.3% | 100.0% | 65.3% | 100.0% | 64.0% | 100.0% | 57.5% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 2.0 | 0.0 | 1.8 | 0.0 | 1.6 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Loading Top Diversifiers for GS... Top Diversifiers for GS
Explore Correlation Across Horizons →Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.
| Diversifier Asset | Category | 1Y Correlation (r) | Action |
|---|---|---|---|
| Loading top diversifier assets... | |||
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. Subscribe 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% | $602.05 | $861.80 | 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% | $520.04 | $534.06 | 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% | $548.42 | $433.78 | -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% | $358.53 | $565.01 | 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% | $320.46 | $287.49 | -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% | $300.87 | $310.77 | 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% | $329.00 | $294.29 | -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% | $270.16 | $263.73 | -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% | $318.15 | $301.93 | -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% | $172.48 | $319.12 | 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% | $116.96 | $136.78 | 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% | $181.40 | $171.18 | -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% | $172.25 | $162.18 | -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% | $199.08 | $188.98 | -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% | $191.76 | $188.97 | -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% | $197.90 | $192.42 | -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% | $183.48 | $179.66 | -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% | $131.92 | $176.54 | 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% | $150.85 | $142.85 | -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% | $134.06 | $148.29 | 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% | $90.08 | $121.53 | 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% | $74.02 | $72.92 | -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% | $93.80 | $82.70 | -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% | $127.35 | $113.99 | -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% | $114.94 | $116.65 | 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% | $123.12 | $112.15 | -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% | $99.66 | $123.10 | 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% | $145.83 | $129.80 | -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% | $161.54 | $147.66 | -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% | $118.64 | $128.03 | 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% | $104.47 | $145.07 | 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% | $81.12 | $104.63 | 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% | $74.00 | $69.28 | -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% | $64.91 | $63.12 | -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% | $54.02 | $65.24 | 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% | $55.79 | $54.78 | -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% | $55.22 | $54.82 | -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% | $62.72 | $59.93 | -4.50% | Stop | |
| 2001-07-13 | 2001-12-19 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.08% | Interest Income | |