MDY
S&P Midcap 400 ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for MDY (S&P Midcap 400 ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -29.1% (compared to the benchmark's drawdown of -55.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.9%, compared to a Buy-and-Hold benchmark return of 10.9%. The strategy executed 23 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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MDY Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 19.93% | 19.93% | 8.44% | 8.55% | 7.43% | 10.77% | 8.95% | 10.90% |
| Sharpe Ratio | 1.17 | 1.17 | 0.51 | 0.42 | 0.49 | 0.48 | 0.55 | 0.47 |
| Max Drawdown | -8.82% | -8.82% | -21.17% | -24.03% | -21.17% | -42.22% | -29.15% | -55.33% |
| % Time Invested | 100.0% | 100.0% | 70.0% | 100.0% | 68.2% | 100.0% | 77.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 0.9 | 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 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 | ||||||||
| 2025-03-14 | 2025-04-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-02-27 | 2025-03-14 | Completed | 100% | $508.02 | $519.74 | 2.26% | Stop | |
| 2024-02-02 | 2024-02-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2024-01-31 | 2024-02-02 | Completed | 100% | $492.39 | $487.11 | -1.12% | Signal | |
| 2022-10-31 | 2024-01-31 | Interest (CASH) | 100% | $1.00 | $1.06 | 6.45% | Interest Income | |
| 2022-10-18 | 2022-10-31 | Completed | 100% | $410.40 | $422.49 | 2.90% | Signal | |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-05-25 | 2022-09-26 | Completed | 100% | $410.70 | $387.48 | -5.70% | Stop | |
| 2022-05-03 | 2022-05-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2021-02-10 | 2022-05-03 | Completed | 100% | $433.37 | $434.81 | 0.28% | Stop | |
| 2020-04-16 | 2021-02-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2020-03-24 | 2020-04-16 | Completed | 100% | $217.44 | $256.21 | 17.77% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-01-06 | 2020-03-02 | Completed | 100% | $343.65 | $308.09 | -10.39% | Stop | |
| 2019-08-07 | 2020-01-06 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.71% | Interest Income | |
| 2019-01-10 | 2019-08-07 | Completed | 100% | $288.55 | $311.69 | 7.96% | Signal | |
| 2018-12-17 | 2019-01-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-11-14 | 2018-12-17 | Completed | 100% | $254.14 | $285.75 | 12.38% | Stop | |
| 2016-05-26 | 2016-11-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-02-10 | 2016-05-26 | Completed | 100% | $201.41 | $237.61 | 17.91% | Signal | |
| 2016-01-19 | 2016-02-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2016-01-19 | Completed | 100% | $228.49 | $204.65 | -10.48% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-10-27 | 2015-08-25 | Completed | 100% | $136.91 | $222.07 | 62.12% | Stop | |
| 2011-10-05 | 2011-10-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-29 | 2011-10-05 | Completed | 100% | $128.00 | $117.68 | -8.11% | Stop | |
| 2011-08-05 | 2011-08-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-05 | Completed | 100% | $112.82 | $131.21 | 16.24% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-09-15 | 2010-05-07 | Completed | 100% | $101.72 | $115.08 | 13.08% | Stop | |
| 2008-07-16 | 2009-09-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.52% | Interest Income | |
| 2008-02-04 | 2008-07-16 | Completed | 100% | $118.79 | $112.59 | -5.27% | Stop | |
| 2008-01-10 | 2008-02-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2003-06-02 | 2008-01-10 | Completed | 100% | $66.37 | $114.62 | 72.60% | Stop | |
| 2001-11-15 | 2003-06-02 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.33% | Interest Income | |
| 2001-10-10 | 2001-11-15 | Completed | 100% | $59.76 | $65.48 | 9.52% | Signal | |
| 2001-09-18 | 2001-10-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2001-04-10 | 2001-09-18 | Completed | 100% | $62.31 | $60.68 | -2.66% | Stop | |
| 2001-03-19 | 2001-04-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2000-05-10 | 2001-03-19 | Completed | 100% | $64.35 | $62.68 | -2.64% | Stop | |
| 2000-04-17 | 2000-05-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.36% | Interest Income | |
| 1998-11-02 | 2000-04-17 | Completed | 100% | $45.33 | $57.22 | 26.17% | Stop | |
| 1998-10-09 | 1998-11-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 1998-09-03 | 1998-10-09 | Completed | 100% | $38.16 | $37.91 | -0.71% | Stop | |
| 1998-08-12 | 1998-09-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 1997-04-25 | 1998-08-12 | Completed | 100% | $33.41 | $43.96 | 31.54% | Stop | |
| 1997-04-23 | 1997-04-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |