MS
Morgan Stanley
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for MS (Morgan Stanley) using the Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -43.8% (compared to the benchmark's drawdown of -88.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 9.3%, compared to a Buy-and-Hold benchmark return of 12.7%. The strategy executed 59 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.
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% | 12.97% | 21.18% | 18.48% | 25.61% | 9.26% | 12.72% |
| Sharpe Ratio | 1.71 | 1.59 | 0.55 | 0.67 | 0.73 | 0.73 | 0.38 | 0.27 |
| Max Drawdown | -15.13% | -18.83% | -29.91% | -32.38% | -32.26% | -51.33% | -43.82% | -88.12% |
| % Time Invested | 93.7% | 100.0% | 65.6% | 100.0% | 67.9% | 100.0% | 58.7% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.4 | 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 | |
| 2025-06-13 | 2026-03-04 | Completed | 100% | $127.12 | $166.68 | 31.06% | Stop | |
| 2025-05-06 | 2025-06-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.46% | Interest Income | |
| 2025-04-30 | 2025-05-06 | Completed | 100% | $110.44 | $115.03 | 4.10% | 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% | $115.20 | $93.25 | -19.09% | Stop | |
| 2025-03-05 | 2025-03-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-12-18 | 2025-03-05 | Completed | 100% | $85.10 | $118.18 | 38.80% | Stop | |
| 2023-09-26 | 2023-12-18 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.25% | Interest Income | |
| 2023-09-22 | 2023-09-26 | Completed | 100% | $78.18 | $75.29 | -3.74% | Signal | |
| 2023-05-16 | 2023-09-22 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.90% | Interest Income | |
| 2023-04-10 | 2023-05-16 | Completed | 100% | $75.64 | $75.18 | -0.66% | Signal | |
| 2023-03-16 | 2023-04-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2022-12-02 | 2023-03-16 | Completed | 100% | $82.11 | $76.18 | -7.26% | Stop | |
| 2022-02-25 | 2022-12-02 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.70% | Interest Income | |
| 2020-07-16 | 2022-02-25 | Completed | 100% | $42.88 | $80.05 | 86.59% | Stop | |
| 2020-06-12 | 2020-07-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-06-10 | 2020-06-12 | Completed | 100% | $41.59 | $38.87 | -6.58% | Stop | |
| 2020-04-03 | 2020-06-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-03-19 | 2020-04-03 | Completed | 100% | $25.01 | $27.66 | 10.52% | Signal | |
| 2020-02-26 | 2020-03-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2019-10-18 | 2020-02-26 | Completed | 100% | $35.37 | $39.74 | 12.28% | Stop | |
| 2019-09-25 | 2019-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2019-09-18 | 2019-09-25 | Completed | 100% | $35.68 | $34.41 | -3.60% | Signal | |
| 2019-08-15 | 2019-09-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2019-05-09 | 2019-08-15 | Completed | 100% | $37.02 | $32.04 | -13.49% | Stop | |
| 2019-03-25 | 2019-05-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2019-03-19 | 2019-03-25 | Completed | 100% | $35.75 | $33.42 | -6.57% | Stop | |
| 2018-06-29 | 2019-03-19 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.61% | Interest Income | |
| 2018-06-21 | 2018-06-29 | Completed | 100% | $39.01 | $38.47 | -1.42% | Signal | |
| 2018-05-30 | 2018-06-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2016-08-24 | 2018-05-30 | Completed | 100% | $23.39 | $39.82 | 70.18% | Stop | |
| 2016-06-28 | 2016-08-24 | 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 | |
| 2015-09-21 | 2016-06-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2015-09-16 | 2015-09-21 | Completed | 100% | $25.67 | $24.74 | -3.69% | Signal | |
| 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 | |
| 2013-05-13 | 2014-04-14 | Completed | 100% | $17.21 | $20.93 | 21.49% | Stop | |
| 2013-04-19 | 2013-05-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-09-07 | 2013-04-19 | Completed | 100% | $11.85 | $14.70 | 23.95% | Stop | |
| 2012-05-15 | 2012-09-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2012-05-02 | 2012-05-15 | Completed | 100% | $12.37 | $10.31 | -16.70% | Stop | |
| 2012-04-10 | 2012-05-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-03-08 | 2012-04-10 | Completed | 100% | $12.99 | $12.96 | -0.27% | Stop | |
| 2011-05-16 | 2012-03-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2011-05-12 | 2011-05-16 | Completed | 100% | $17.40 | $16.99 | -2.41% | Signal | |
| 2011-04-19 | 2011-05-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-12-29 | 2011-04-19 | Completed | 100% | $19.36 | $18.83 | -2.76% | Stop | |
| 2010-01-25 | 2010-12-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2009-12-22 | 2010-01-25 | Completed | 100% | $20.87 | $19.74 | -5.44% | Stop | |
| 2009-11-30 | 2009-12-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2009-07-16 | 2009-11-30 | Completed | 100% | $19.89 | $21.48 | 7.94% | Stop | |
| 2009-06-23 | 2009-07-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-05-11 | 2009-06-23 | Completed | 100% | $19.29 | $18.68 | -3.23% | Stop | |
| 2009-01-16 | 2009-05-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2009-01-06 | 2009-01-16 | Completed | 100% | $12.39 | $11.64 | -6.08% | Stop | |
| 2007-08-29 | 2009-01-06 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.63% | Interest Income | |
| 2007-08-20 | 2007-08-29 | Completed | 100% | $41.38 | $40.51 | -2.14% | Signal | |
| 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 | |
| 2005-11-18 | 2006-06-14 | Completed | 100% | $29.71 | $29.94 | 0.74% | Stop | |
| 2005-05-25 | 2005-11-18 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.69% | Interest Income | |
| 2005-05-11 | 2005-05-25 | Completed | 100% | $26.16 | $26.23 | 0.23% | Signal | |
| 2005-04-19 | 2005-05-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2004-12-22 | 2005-04-19 | Completed | 100% | $28.46 | $27.61 | -3.06% | Stop | |
| 2004-05-25 | 2004-12-22 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.96% | Interest Income | |
| 2004-05-07 | 2004-05-25 | Completed | 100% | $27.02 | $27.32 | 1.06% | Signal | |
| 2004-04-15 | 2004-05-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2003-04-28 | 2004-04-15 | Completed | 100% | $22.94 | $27.73 | 20.82% | Stop | |
| 2003-02-07 | 2003-04-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2003-01-16 | 2003-02-07 | Completed | 100% | $21.86 | $18.47 | -15.54% | Stop | |
| 2002-05-22 | 2003-01-16 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.00% | Interest Income | |
| 2002-05-20 | 2002-05-22 | Completed | 100% | $25.16 | $23.84 | -5.28% | Signal | |
| 2002-04-26 | 2002-05-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2001-10-02 | 2002-04-26 | Completed | 100% | $23.07 | $24.54 | 6.32% | Stop | |
| 2001-08-09 | 2001-10-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2001-08-06 | 2001-08-09 | Completed | 100% | $30.84 | $28.16 | -8.74% | Stop | |
| 2000-11-09 | 2001-08-06 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.32% | 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 | |
| 1999-11-10 | 2000-01-06 | Completed | 100% | $26.53 | $28.99 | 9.19% | Stop | |
| 1999-09-23 | 1999-11-10 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.66% | Interest Income | |
| 1999-08-26 | 1999-09-23 | Completed | 100% | $23.45 | $21.60 | -7.92% | Signal | |
| 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 | |
| 1999-01-22 | 1999-04-20 | Completed | 100% | $20.12 | $23.15 | 15.04% | Stop | |
| 1998-09-29 | 1999-01-22 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.35% | Interest Income | |
| 1998-09-23 | 1998-09-29 | Completed | 100% | $12.82 | $11.75 | -8.38% | Signal | |
| 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 | |
| 1996-10-25 | 1997-03-19 | Completed | 100% | $6.84 | $8.58 | 25.36% | Stop | |
| 1996-08-29 | 1996-10-25 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.81% | Interest Income | |
| 1996-08-07 | 1996-08-29 | Completed | 100% | $6.06 | $5.88 | -2.96% | Signal | |
| 1996-07-16 | 1996-08-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 1996-02-16 | 1996-07-16 | Completed | 100% | $6.26 | $6.00 | -4.11% | Stop | |
| 1996-01-25 | 1996-02-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 1995-11-17 | 1996-01-25 | Completed | 100% | $5.99 | $5.73 | -4.51% | Signal | |
| 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 | |