MS
Morgan Stanley
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for MS (Morgan Stanley) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -62.2% (compared to the benchmark's drawdown of -88.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.3%, compared to a Buy-and-Hold benchmark return of 12.7%. The strategy executed 58 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.
Switch to MMA to enable
MS Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 57.14% | 54.19% | 7.78% | 21.18% | 14.82% | 25.61% | 8.31% | 12.72% |
| Sharpe Ratio | 1.71 | 1.59 | 0.32 | 0.67 | 0.58 | 0.73 | 0.31 | 0.27 |
| Max Drawdown | -15.13% | -18.83% | -42.82% | -32.38% | -42.82% | -51.33% | -62.19% | -88.12% |
| % Time Invested | 93.7% | 100.0% | 69.8% | 100.0% | 73.7% | 100.0% | 65.7% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 2.0 | 0.0 | 1.6 | 0.0 | 1.9 | 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% | $110.44 | $166.68 | 50.85% | 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% | $115.20 | $93.25 | -19.09% | Stop | |
| 2025-03-05 | 2025-03-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-04-24 | 2025-03-05 | Completed | 100% | $87.29 | $118.18 | 35.31% | Stop | |
| 2024-01-17 | 2024-04-24 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.44% | Interest Income | |
| 2023-12-18 | 2024-01-17 | Completed | 100% | $85.10 | $78.78 | -7.48% | Stop | |
| 2023-05-05 | 2023-12-18 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.37% | Interest Income | |
| 2023-04-20 | 2023-05-05 | Completed | 100% | $80.96 | $76.15 | -5.98% | Stop | |
| 2023-03-13 | 2023-04-20 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.51% | Interest Income | |
| 2023-01-18 | 2023-03-13 | Completed | 100% | $86.52 | $79.78 | -7.84% | Stop | |
| 2022-12-22 | 2023-01-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.28% | Interest Income | |
| 2022-11-02 | 2022-12-22 | Completed | 100% | $74.59 | $77.39 | 3.70% | Signal | |
| 2022-10-11 | 2022-11-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2022-07-13 | 2022-10-11 | Completed | 100% | $65.98 | $68.98 | 4.49% | Stop | |
| 2022-06-17 | 2022-07-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2022-06-03 | 2022-06-17 | Completed | 100% | $73.81 | $64.72 | -12.35% | Stop | |
| 2022-05-11 | 2022-06-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2022-03-21 | 2022-05-11 | Completed | 100% | $82.35 | $70.21 | -14.78% | Stop | |
| 2022-02-25 | 2022-03-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-05-28 | 2022-02-25 | Completed | 100% | $39.28 | $80.05 | 103.69% | Stop | |
| 2020-03-10 | 2020-05-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2019-10-18 | 2020-03-10 | Completed | 100% | $35.37 | $32.81 | -7.30% | Stop | |
| 2019-03-13 | 2019-10-18 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.31% | Interest Income | |
| 2019-01-04 | 2019-03-13 | Completed | 100% | $32.22 | $33.97 | 5.38% | Signal | |
| 2018-12-11 | 2019-01-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-11-05 | 2018-12-11 | Completed | 100% | $36.61 | $33.03 | -9.82% | Stop | |
| 2018-10-12 | 2018-11-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-06-21 | 2018-10-12 | Completed | 100% | $39.01 | $35.00 | -10.31% | Stop | |
| 2018-05-30 | 2018-06-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2016-08-31 | 2018-05-30 | Completed | 100% | $24.38 | $39.82 | 63.24% | Stop | |
| 2016-06-28 | 2016-08-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2016-06-24 | 2016-06-28 | Completed | 100% | $18.90 | $18.29 | -3.28% | Stop | |
| 2016-04-07 | 2016-06-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2016-03-08 | 2016-04-07 | Completed | 100% | $19.27 | $18.16 | -5.77% | Signal | |
| 2016-02-12 | 2016-03-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2016-02-02 | 2016-02-12 | Completed | 100% | $19.01 | $16.42 | -13.65% | Stop | |
| 2016-01-08 | 2016-02-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-16 | 2016-01-08 | Completed | 100% | $25.67 | $21.92 | -14.67% | Stop | |
| 2015-08-24 | 2015-09-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-05-07 | 2015-08-24 | Completed | 100% | $21.59 | $23.45 | 8.57% | Stop | |
| 2014-04-14 | 2014-05-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-09-07 | 2014-04-14 | Completed | 100% | $11.85 | $20.93 | 76.45% | Stop | |
| 2011-01-21 | 2012-09-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2010-07-27 | 2011-01-21 | Completed | 100% | $19.16 | $20.69 | 7.92% | Signal | |
| 2010-07-02 | 2010-07-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-06-01 | 2010-07-02 | Completed | 100% | $18.81 | $16.37 | -13.03% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-02-17 | 2010-05-07 | Completed | 100% | $19.54 | $19.54 | -0.03% | Stop | |
| 2010-01-25 | 2010-02-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-12-21 | 2010-01-25 | Completed | 100% | $20.58 | $19.74 | -4.09% | Stop | |
| 2009-01-16 | 2009-12-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2009-01-06 | 2009-01-16 | Completed | 100% | $12.39 | $11.64 | -6.08% | Stop | |
| 2008-03-18 | 2009-01-06 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.92% | Interest Income | |
| 2008-03-13 | 2008-03-18 | Completed | 100% | $26.75 | $26.35 | -1.55% | Stop | |
| 2008-02-20 | 2008-03-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2008-02-01 | 2008-02-20 | Completed | 100% | $32.78 | $27.51 | -16.13% | Stop | |
| 2008-01-09 | 2008-02-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2007-11-28 | 2008-01-09 | Completed | 100% | $33.43 | $30.61 | -8.48% | Stop | |
| 2007-11-05 | 2007-11-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.21% | Interest Income | |
| 2007-08-20 | 2007-11-05 | Completed | 100% | $41.38 | $38.46 | -7.09% | Stop | |
| 2007-07-27 | 2007-08-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2007-03-28 | 2007-07-27 | Completed | 100% | $43.23 | $42.70 | -1.30% | Stop | |
| 2007-03-06 | 2007-03-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2006-07-07 | 2007-03-06 | Completed | 100% | $34.57 | $39.55 | 14.35% | Stop | |
| 2006-06-14 | 2006-07-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2005-12-28 | 2006-06-14 | Completed | 100% | $31.01 | $29.94 | -3.48% | Stop | |
| 2005-04-19 | 2005-12-28 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.40% | Interest Income | |
| 2004-05-07 | 2005-04-19 | Completed | 100% | $27.02 | $27.61 | 2.11% | Stop | |
| 2004-04-15 | 2004-05-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2003-11-06 | 2004-04-15 | Completed | 100% | $28.32 | $27.73 | -2.14% | Stop | |
| 2002-06-04 | 2003-11-06 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.79% | Interest Income | |
| 2001-10-02 | 2002-06-04 | Completed | 100% | $23.07 | $21.87 | -5.23% | Stop | |
| 2001-08-17 | 2001-10-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2001-07-02 | 2001-08-17 | Completed | 100% | $31.39 | $25.58 | -18.56% | Stop | |
| 2001-06-08 | 2001-07-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2001-04-04 | 2001-06-08 | Completed | 100% | $24.07 | $31.47 | 30.66% | Stop | |
| 2001-03-13 | 2001-04-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2001-03-07 | 2001-03-13 | Completed | 100% | $31.83 | $28.29 | -11.16% | Stop | |
| 2001-02-12 | 2001-03-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2001-01-11 | 2001-02-12 | Completed | 100% | $41.98 | $38.68 | -7.90% | Stop | |
| 2000-12-18 | 2001-01-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2000-12-04 | 2000-12-18 | Completed | 100% | $30.43 | $34.72 | 14.03% | Stop | |
| 2000-11-09 | 2000-12-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2000-10-16 | 2000-11-09 | Completed | 100% | $38.01 | $34.90 | -8.21% | Stop | |
| 2000-09-22 | 2000-10-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.38% | Interest Income | |
| 2000-06-05 | 2000-09-22 | Completed | 100% | $39.23 | $42.11 | 7.30% | Stop | |
| 2000-05-11 | 2000-06-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2000-04-26 | 2000-05-11 | Completed | 100% | $38.77 | $33.17 | -14.48% | Stop | |
| 2000-04-03 | 2000-04-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.36% | Interest Income | |
| 2000-01-31 | 2000-04-03 | Completed | 100% | $30.68 | $40.31 | 31.33% | Stop | |
| 2000-01-06 | 2000-01-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 1999-08-26 | 2000-01-06 | Completed | 100% | $23.45 | $28.99 | 23.56% | Stop | |
| 1999-08-04 | 1999-08-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 1999-06-17 | 1999-08-04 | Completed | 100% | $22.17 | $20.94 | -5.57% | Stop | |
| 1999-05-25 | 1999-06-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 1999-05-12 | 1999-05-25 | Completed | 100% | $24.44 | $21.54 | -11.93% | Stop | |
| 1999-04-20 | 1999-05-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.28% | Interest Income | |
| 1999-01-08 | 1999-04-20 | Completed | 100% | $20.30 | $23.15 | 14.02% | Stop | |
| 1998-12-15 | 1999-01-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.28% | Interest Income | |
| 1998-10-22 | 1998-12-15 | Completed | 100% | $13.22 | $15.10 | 14.15% | Stop | |
| 1998-09-30 | 1998-10-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 1998-09-23 | 1998-09-30 | Completed | 100% | $12.82 | $10.71 | -16.48% | Stop | |
| 1998-08-31 | 1998-09-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 1998-08-27 | 1998-08-31 | Completed | 100% | $17.69 | $15.64 | -11.62% | Stop | |
| 1998-08-05 | 1998-08-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 1997-11-19 | 1998-08-05 | Completed | 100% | $11.89 | $19.23 | 61.62% | Stop | |
| 1997-10-28 | 1997-11-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 1997-04-11 | 1997-10-28 | Completed | 100% | $8.31 | $10.51 | 26.33% | Stop | |
| 1997-03-19 | 1997-04-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 1996-08-07 | 1997-03-19 | Completed | 100% | $6.06 | $8.58 | 41.49% | Stop | |
| 1996-07-16 | 1996-08-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 1995-11-17 | 1996-07-16 | Completed | 100% | $5.99 | $6.00 | 0.08% | Stop | |
| 1995-10-26 | 1995-11-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 1995-05-05 | 1995-10-26 | Completed | 100% | $5.13 | $5.64 | 9.77% | Stop | |
| 1995-05-03 | 1995-05-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |