PEP
PepsiCo Inc
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for PEP (PepsiCo Inc) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -37.8% (compared to the benchmark's drawdown of -40.4%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 10.5%, compared to a Buy-and-Hold benchmark return of 13.5%. The strategy executed 44 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
PEP Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | -2.54% | -1.70% | 3.00% | 0.38% | 6.11% | 5.47% | 10.51% | 13.53% |
| Sharpe Ratio | -0.46 | -0.08 | 0.24 | 0.02 | 0.41 | 0.27 | 0.52 | 0.52 |
| Max Drawdown | -5.97% | -19.30% | -17.92% | -30.32% | -21.00% | -30.32% | -37.84% | -40.41% |
| % Time Invested | 7.1% | 100.0% | 52.4% | 100.0% | 72.3% | 100.0% | 76.7% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 0.4 | 0.0 | 0.5 | 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 | ||||||||
| 2026-02-09 | 2026-03-06 | Completed | 100% | $166.25 | $156.60 | -5.85% | Stop | |
| 2024-03-04 | 2026-02-09 | Interest (CASH) | 100% | $1.00 | $1.09 | 8.99% | Interest Income | |
| 2023-10-30 | 2024-03-04 | Completed | 100% | $146.29 | $151.43 | 3.46% | Signal | |
| 2023-10-06 | 2023-10-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2020-04-06 | 2023-10-06 | Completed | 100% | $105.81 | $144.01 | 36.04% | Stop | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-03-26 | 2020-03-13 | Completed | 100% | $97.14 | $99.24 | 2.12% | Stop | |
| 2018-12-17 | 2019-03-26 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.64% | Interest Income | |
| 2018-05-15 | 2018-12-17 | Completed | 100% | $74.73 | $90.73 | 21.36% | Signal | |
| 2018-04-23 | 2018-05-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2015-09-17 | 2018-04-23 | Completed | 100% | $67.23 | $79.32 | 17.92% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-09-02 | 2015-08-25 | Completed | 100% | $40.78 | $67.31 | 64.98% | Stop | |
| 2011-08-11 | 2011-09-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2009-03-19 | 2011-08-11 | Completed | 100% | $29.62 | $38.41 | 29.58% | Stop | |
| 2008-12-16 | 2009-03-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2008-11-03 | 2008-12-16 | Completed | 100% | $33.28 | $31.15 | -6.44% | Signal | |
| 2008-10-10 | 2008-11-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2008-02-14 | 2008-10-10 | Completed | 100% | $41.20 | $33.70 | -18.25% | Stop | |
| 2008-01-23 | 2008-02-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2003-04-15 | 2008-01-23 | Completed | 100% | $21.63 | $39.32 | 81.70% | Stop | |
| 2003-01-10 | 2003-04-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2002-09-27 | 2003-01-10 | Completed | 100% | $19.58 | $22.59 | 15.32% | Signal | |
| 2002-09-05 | 2002-09-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2002-08-01 | 2002-09-05 | Completed | 100% | $22.39 | $19.58 | -12.60% | Stop | |
| 2002-07-10 | 2002-08-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2001-04-12 | 2002-07-10 | Completed | 100% | $21.47 | $23.99 | 11.66% | Stop | |
| 2001-03-21 | 2001-04-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2000-12-27 | 2001-03-21 | Completed | 100% | $25.06 | $20.96 | -16.41% | Stop | |
| 2000-12-04 | 2000-12-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2000-07-24 | 2000-12-04 | Completed | 100% | $22.33 | $21.48 | -3.86% | Stop | |
| 1999-04-29 | 2000-07-24 | Interest (CASH) | 100% | $1.00 | $1.07 | 6.63% | Interest Income | |
| 1998-09-23 | 1999-04-29 | Completed | 100% | $15.53 | $18.69 | 20.30% | Signal | |
| 1998-08-31 | 1998-09-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 1998-08-10 | 1998-08-31 | Completed | 100% | $18.52 | $15.80 | -14.71% | Stop | |
| 1998-07-17 | 1998-08-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 1998-06-02 | 1998-07-17 | Completed | 100% | $20.43 | $19.44 | -4.87% | Stop | |
| 1998-05-08 | 1998-06-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 1997-11-20 | 1998-05-08 | Completed | 100% | $18.49 | $18.71 | 1.11% | Stop | |
| 1997-10-29 | 1997-11-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 1996-08-08 | 1997-10-29 | Completed | 100% | $14.31 | $18.31 | 27.86% | Stop | |
| 1996-07-17 | 1996-08-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 1995-03-23 | 1996-07-17 | Completed | 100% | $8.81 | $13.92 | 57.91% | Stop | |
| 1994-03-14 | 1995-03-23 | Interest (CASH) | 100% | $1.00 | $1.05 | 5.06% | Interest Income | |
| 1993-05-12 | 1994-03-14 | Completed | 100% | $7.82 | $7.66 | -2.10% | Signal | |
| 1993-04-20 | 1993-05-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 1991-10-09 | 1993-04-20 | Completed | 100% | $5.94 | $7.58 | 27.60% | Stop | |
| 1991-09-17 | 1991-10-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 1991-05-22 | 1991-09-17 | Completed | 100% | $6.60 | $6.01 | -8.93% | Stop | |
| 1991-04-30 | 1991-05-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 1990-10-23 | 1991-04-30 | Completed | 100% | $4.97 | $6.30 | 26.68% | Stop | |
| 1990-10-01 | 1990-10-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.45% | Interest Income | |
| 1990-09-14 | 1990-10-01 | Completed | 100% | $4.99 | $4.66 | -6.61% | Stop | |
| 1990-08-22 | 1990-09-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.47% | Interest Income | |
| 1990-02-21 | 1990-08-22 | Completed | 100% | $3.80 | $4.77 | 25.44% | Stop | |
| 1990-01-29 | 1990-02-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.49% | Interest Income | |
| 1988-11-10 | 1990-01-29 | Completed | 100% | $2.59 | $3.74 | 44.32% | Stop | |
| 1988-10-03 | 1988-11-10 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.84% | Interest Income | |
| 1987-11-09 | 1988-10-03 | Completed | 100% | $1.95 | $2.53 | 29.58% | Signal | |
| 1987-10-16 | 1987-11-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1987-06-15 | 1987-10-16 | Completed | 100% | $2.32 | $2.29 | -1.66% | Stop | |
| 1987-05-21 | 1987-06-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1986-09-29 | 1987-05-21 | Completed | 100% | $1.64 | $2.04 | 24.46% | Stop | |
| 1986-09-05 | 1986-09-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1984-08-29 | 1986-09-05 | Completed | 100% | $0.85 | $1.85 | 116.91% | Stop | |
| 1983-08-23 | 1984-08-29 | Interest (CASH) | 100% | $1.00 | $1.08 | 8.02% | Interest Income | |
| 1983-01-07 | 1983-08-23 | Completed | 100% | $0.66 | $0.62 | -4.92% | Stop | |
| 1982-12-15 | 1983-01-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1982-11-15 | 1982-12-15 | Completed | 100% | $0.73 | $0.62 | -15.26% | Stop | |
| 1982-10-22 | 1982-11-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1982-03-24 | 1982-10-22 | Completed | 100% | $0.63 | $0.78 | 24.28% | Stop | |
| 1982-03-02 | 1982-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1981-09-30 | 1982-03-02 | Completed | 100% | $0.55 | $0.58 | 6.50% | Stop | |
| 1981-09-08 | 1981-09-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1981-02-25 | 1981-09-08 | Completed | 100% | $0.53 | $0.55 | 3.97% | Stop | |
| 1980-09-10 | 1981-02-25 | Interest (CASH) | 100% | $1.00 | $1.04 | 3.50% | Interest Income | |
| 1980-07-31 | 1980-09-10 | Completed | 100% | $0.44 | $0.42 | -5.75% | Stop | |
| 1979-06-05 | 1980-07-31 | Interest (CASH) | 100% | $1.00 | $1.09 | 9.16% | Interest Income | |
| 1979-03-05 | 1979-06-05 | Completed | 100% | $0.37 | $0.36 | -1.45% | Signal | |
| 1979-02-08 | 1979-03-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1978-10-23 | 1979-02-08 | Completed | 100% | $0.40 | $0.36 | -8.24% | Stop | |
| 1978-09-29 | 1978-10-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1978-06-28 | 1978-09-29 | Completed | 100% | $0.44 | $0.43 | -2.27% | Stop | |
| 1977-09-06 | 1978-06-28 | Interest (CASH) | 100% | $1.00 | $1.06 | 6.32% | Interest Income | |
| 1977-01-14 | 1977-09-06 | Completed | 100% | $0.37 | $0.37 | -0.56% | Signal | |
| 1976-12-22 | 1977-01-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1975-10-13 | 1976-12-22 | Completed | 100% | $0.31 | $0.36 | 16.32% | Stop | |
| 1974-08-14 | 1975-10-13 | Interest (CASH) | 100% | $1.00 | $1.09 | 9.16% | Interest Income | |