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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -32.6% (compared to the benchmark's drawdown of -55.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.0%, compared to a Buy-and-Hold benchmark return of 10.9%. 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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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% | 4.03% | 8.55% | 7.28% | 10.77% | 8.01% | 10.90% |
| Sharpe Ratio | 1.17 | 1.17 | 0.29 | 0.42 | 0.51 | 0.48 | 0.53 | 0.47 |
| Max Drawdown | -8.82% | -8.82% | -17.90% | -24.03% | -19.88% | -42.22% | -32.56% | -55.33% |
| % Time Invested | 100.0% | 100.0% | 71.2% | 100.0% | 77.3% | 100.0% | 76.1% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.5 | 0.0 | 0.7 | 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 | 2025-07-24 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.54% | Interest Income | |
| 2023-12-22 | 2025-03-14 | Completed | 100% | $493.44 | $519.74 | 5.28% | Stop | |
| 2023-10-24 | 2023-12-22 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.90% | Interest Income | |
| 2023-06-08 | 2023-10-24 | Completed | 100% | $450.92 | $421.32 | -6.61% | Signal | |
| 2023-05-16 | 2023-06-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2022-12-27 | 2023-05-16 | Completed | 100% | $425.29 | $428.63 | 0.74% | Signal | |
| 2022-02-22 | 2022-12-27 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.98% | Interest Income | |
| 2020-08-10 | 2022-02-22 | Completed | 100% | $330.16 | $452.10 | 36.86% | Signal | |
| 2020-03-02 | 2020-08-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2019-04-10 | 2020-03-02 | Completed | 100% | $321.63 | $308.09 | -4.26% | Stop | |
| 2018-11-16 | 2019-04-10 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.93% | Interest Income | |
| 2016-04-27 | 2018-11-16 | Completed | 100% | $237.41 | $307.07 | 29.28% | Signal | |
| 2015-08-25 | 2016-04-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2012-02-09 | 2015-08-25 | Completed | 100% | $148.48 | $222.07 | 49.49% | Stop | |
| 2011-08-05 | 2012-02-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-09-23 | 2011-08-05 | Completed | 100% | $116.43 | $131.21 | 12.63% | Stop | |
| 2010-08-25 | 2010-09-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-06-01 | 2010-08-25 | Completed | 100% | $112.82 | $106.63 | -5.53% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-06-11 | 2010-05-07 | Completed | 100% | $88.06 | $115.08 | 30.62% | Stop | |
| 2008-08-12 | 2009-06-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.36% | Interest Income | |
| 2008-08-07 | 2008-08-12 | Completed | 100% | $116.81 | $119.08 | 1.89% | Signal | |
| 2008-07-16 | 2008-08-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2008-04-09 | 2008-07-16 | Completed | 100% | $118.53 | $112.59 | -5.06% | Stop | |
| 2007-12-18 | 2008-04-09 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.65% | Interest Income | |
| 2006-09-06 | 2007-12-18 | Completed | 100% | $107.27 | $122.53 | 14.16% | Signal | |
| 2006-07-24 | 2006-09-06 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.61% | Interest Income | |
| 2004-11-01 | 2006-07-24 | Completed | 100% | $84.71 | $102.11 | 20.49% | Signal | |
| 2004-08-19 | 2004-11-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2003-05-20 | 2004-08-19 | Completed | 100% | $61.63 | $79.54 | 29.00% | Signal | |
| 2002-07-03 | 2003-05-20 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.19% | Interest Income | |
| 2002-01-08 | 2002-07-03 | Completed | 100% | $70.41 | $63.32 | -10.11% | Stop | |
| 2001-09-18 | 2002-01-08 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.60% | Interest Income | |
| 2001-06-15 | 2001-09-18 | Completed | 100% | $68.83 | $60.68 | -11.88% | Stop | |
| 2001-03-16 | 2001-06-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.96% | Interest Income | |
| 2000-05-10 | 2001-03-16 | Completed | 100% | $64.35 | $63.68 | -1.09% | Signal | |
| 2000-04-17 | 2000-05-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.36% | Interest Income | |
| 1998-12-29 | 2000-04-17 | Completed | 100% | $49.67 | $57.22 | 15.13% | Stop | |
| 1998-08-12 | 1998-12-29 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.70% | 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 | |