PEP
PepsiCo Inc
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-10
Executive Summary
The quantitative backtest for PEP (PepsiCo Inc) using the Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -44.8% (compared to the benchmark's drawdown of -40.4%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.5%, compared to a Buy-and-Hold benchmark return of 13.5%. The strategy executed 60 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for PEP:
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 Model
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
🎯 Trading Horizon
Select risk profile & execution style for PEP:
🛡️ Long-Term Investing Active Horizon
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 Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-44.8% (vs -40.4% B&H)
-4.4% shallower drawdown
Sortino Ratio
0.54
vs 0.73 B&H
Capital Sheltered from Risk
26.5% of Time
Earning Treasury yield during downturns
* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.
📊 PEP Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -17.49% | -19.30% | -18.53% | -30.32% | -21.00% | -30.32% | -44.83% | -40.41% |
| Sharpe Ratio | 0.02 | -0.02 | 0.21 | 0.04 | 0.30 | 0.28 | 0.45 | 0.52 |
| Sortino Ratio | 0.03 | -0.03 | 0.25 | 0.05 | 0.34 | 0.36 | 0.54 | 0.73 |
| CAGR | 0.39% | -0.33% | 3.07% | 0.67% | 4.61% | 5.80% | 8.49% | 13.52% |
| % Time Invested | 73.4% | 100.0% | 67.7% | 100.0% | 75.6% | 100.0% | 73.5% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 0.6 | 0.0 | 0.9 | 0.0 | 1.2 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
Loading...
Loading Top Diversifiers for PEP... Top Diversifiers for PEP
Explore Correlation Across Horizons →Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.
| Diversifier Asset | Category | 1Y Correlation (r) | Action |
|---|---|---|---|
| Loading top diversifier assets... | |||
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. Subscribe to Unlock | ||||||||
| 2026-06-24 | 2026-06-30 | Completed | 100% | $140.52 | $137.34 | -2.31% | Signal | |
| 2026-06-01 | 2026-06-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.24% | Interest Income | |
| 2025-09-09 | 2026-06-01 | Completed | 100% | $135.68 | $139.61 | 2.85% | Stop | |
| 2024-11-25 | 2025-09-09 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.36% | Interest Income | |
| 2024-05-02 | 2024-11-25 | Completed | 100% | $159.97 | $150.54 | -5.94% | Signal | |
| 2023-10-05 | 2024-05-02 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.10% | Interest Income | |
| 2021-04-28 | 2023-10-05 | Completed | 100% | $120.30 | $151.45 | 25.83% | Signal | |
| 2021-03-19 | 2021-04-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-07-09 | 2021-03-19 | Completed | 100% | $108.98 | $110.93 | 1.74% | Signal | |
| 2020-04-08 | 2020-07-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2020-04-06 | 2020-04-08 | Completed | 100% | $104.69 | $105.49 | 0.71% | Signal | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2018-06-14 | 2020-03-13 | Completed | 100% | $81.30 | $98.19 | 20.72% | Stop | |
| 2018-03-23 | 2018-06-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.42% | Interest Income | |
| 2017-12-07 | 2018-03-23 | Completed | 100% | $90.04 | $82.72 | -8.17% | Signal | |
| 2017-11-14 | 2017-12-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2017-02-17 | 2017-11-14 | Completed | 100% | $79.29 | $85.78 | 8.12% | Signal | |
| 2017-01-06 | 2017-02-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2015-10-26 | 2017-01-06 | Completed | 100% | $73.00 | $77.58 | 6.23% | Signal | |
| 2015-09-29 | 2015-10-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-09-17 | 2015-09-29 | Completed | 100% | $66.52 | $65.98 | -0.86% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-04-22 | 2015-08-25 | Completed | 100% | $58.62 | $66.60 | 13.55% | Stop | |
| 2014-02-20 | 2014-04-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-12-06 | 2014-02-20 | Completed | 100% | $41.30 | $52.51 | 27.10% | Signal | |
| 2011-09-07 | 2011-12-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-09-02 | 2011-09-07 | Completed | 100% | $40.35 | $39.94 | -1.07% | Signal | |
| 2011-08-11 | 2011-09-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-04-25 | 2011-08-11 | Completed | 100% | $41.93 | $38.00 | -9.43% | Stop | |
| 2011-03-29 | 2011-04-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2009-03-19 | 2011-03-29 | Completed | 100% | $29.31 | $40.22 | 37.16% | Signal | |
| 2008-10-10 | 2009-03-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2008-09-29 | 2008-10-10 | Completed | 100% | $40.94 | $33.34 | -18.61% | Stop | |
| 2008-03-27 | 2008-09-29 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.81% | Interest Income | |
| 2008-02-14 | 2008-03-27 | Completed | 100% | $40.76 | $40.78 | -0.00% | Signal | |
| 2008-01-23 | 2008-02-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2005-01-14 | 2008-01-23 | Completed | 100% | $28.37 | $38.90 | 37.03% | Stop | |
| 2004-09-16 | 2005-01-14 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.67% | Interest Income | |
| 2003-04-15 | 2004-09-16 | Completed | 100% | $21.40 | $26.45 | 23.52% | Signal | |
| 2002-11-22 | 2003-04-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.45% | Interest Income | |
| 2002-10-22 | 2002-11-22 | Completed | 100% | $23.04 | $21.76 | -5.58% | Stop | |
| 2002-07-10 | 2002-10-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 2001-08-20 | 2002-07-10 | Completed | 100% | $23.33 | $23.74 | 1.69% | Stop | |
| 2001-03-21 | 2001-08-20 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.53% | Interest Income | |
| 2000-12-27 | 2001-03-21 | Completed | 100% | $24.80 | $20.74 | -16.41% | Stop | |
| 2000-12-04 | 2000-12-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2000-05-09 | 2000-12-04 | Completed | 100% | $19.04 | $21.25 | 11.56% | Stop | |
| 2000-02-08 | 2000-05-09 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.43% | Interest Income | |
| 2000-01-27 | 2000-02-08 | Completed | 100% | $16.99 | $16.64 | -2.07% | Signal | |
| 1999-06-23 | 2000-01-27 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.99% | Interest Income | |
| 1999-06-03 | 1999-06-23 | Completed | 100% | $17.84 | $17.66 | -1.06% | Signal | |
| 1999-05-11 | 1999-06-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 1998-12-31 | 1999-05-11 | Completed | 100% | $19.97 | $17.29 | -13.46% | Stop | |
| 1998-08-31 | 1998-12-31 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.48% | Interest Income | |
| 1998-08-10 | 1998-08-31 | Completed | 100% | $18.32 | $15.63 | -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% | $20.21 | $19.24 | -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% | $18.30 | $18.51 | 1.11% | Stop | |
| 1997-10-29 | 1997-11-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 1997-02-25 | 1997-10-29 | Completed | 100% | $15.15 | $18.11 | 19.48% | Stop | |
| 1996-09-18 | 1997-02-25 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.21% | Interest Income | |
| 1996-08-08 | 1996-09-18 | Completed | 100% | $14.16 | $12.79 | -9.72% | Signal | |
| 1996-07-17 | 1996-08-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 1994-11-22 | 1996-07-17 | Completed | 100% | $7.79 | $13.78 | 76.86% | Stop | |
| 1994-03-25 | 1994-11-22 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.98% | Interest Income | |
| 1993-09-15 | 1994-03-25 | Completed | 100% | $8.50 | $7.86 | -7.57% | Signal | |
| 1993-05-14 | 1993-09-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.04% | Interest Income | |
| 1993-05-12 | 1993-05-14 | Completed | 100% | $7.73 | $7.45 | -3.73% | Signal | |
| 1993-04-20 | 1993-05-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 1992-01-09 | 1993-04-20 | Completed | 100% | $7.17 | $7.50 | 4.56% | Stop | |
| 1991-10-16 | 1992-01-09 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.02% | Interest Income | |
| 1991-10-09 | 1991-10-16 | Completed | 100% | $5.87 | $5.85 | -0.48% | Signal | |
| 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% | $6.53 | $5.95 | -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% | $4.91 | $6.23 | 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% | $4.94 | $4.62 | -6.61% | Stop | |
| 1990-08-22 | 1990-09-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.47% | Interest Income | |
| 1990-04-16 | 1990-08-22 | Completed | 100% | $4.48 | $4.72 | 5.34% | Stop | |
| 1990-03-22 | 1990-04-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.49% | Interest Income | |
| 1990-02-21 | 1990-03-22 | Completed | 100% | $3.76 | $4.03 | 7.19% | Signal | |
| 1990-01-29 | 1990-02-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.49% | Interest Income | |
| 1988-06-13 | 1990-01-29 | Completed | 100% | $2.38 | $3.70 | 55.42% | Stop | |
| 1988-05-19 | 1988-06-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1988-05-04 | 1988-05-19 | Completed | 100% | $2.22 | $2.10 | -5.40% | Signal | |
| 1987-11-24 | 1988-05-04 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.38% | Interest Income | |
| 1987-11-09 | 1987-11-24 | Completed | 100% | $1.93 | $2.10 | 8.48% | 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% | $2.30 | $2.26 | -1.66% | Stop | |
| 1987-05-21 | 1987-06-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1987-02-27 | 1987-05-21 | Completed | 100% | $2.07 | $2.02 | -2.22% | Stop | |
| 1986-10-23 | 1987-02-27 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.64% | Interest Income | |
| 1986-09-29 | 1986-10-23 | Completed | 100% | $1.62 | $1.69 | 3.74% | Signal | |
| 1986-09-05 | 1986-09-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1983-11-16 | 1986-09-05 | Completed | 100% | $0.70 | $1.83 | 159.48% | Stop | |
| 1982-12-15 | 1983-11-16 | Interest (CASH) | 100% | $1.00 | $1.07 | 7.25% | Interest Income | |
| 1982-11-15 | 1982-12-15 | Completed | 100% | $0.72 | $0.61 | -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% | $0.62 | $0.77 | 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% | $0.54 | $0.58 | 6.50% | Stop | |
| 1981-09-08 | 1981-09-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1980-06-10 | 1981-09-08 | Completed | 100% | $0.41 | $0.54 | 31.11% | Stop | |
| 1980-02-08 | 1980-06-10 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.54% | Interest Income | |
| 1979-11-14 | 1980-02-08 | Completed | 100% | $0.39 | $0.37 | -5.92% | Signal | |
| 1979-10-23 | 1979-11-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1979-08-09 | 1979-10-23 | Completed | 100% | $0.42 | $0.38 | -10.54% | Stop | |
| 1978-11-13 | 1979-08-09 | Interest (CASH) | 100% | $1.00 | $1.06 | 5.72% | Interest Income | |
| 1978-10-23 | 1978-11-13 | Completed | 100% | $0.39 | $0.37 | -4.33% | Signal | |
| 1978-09-29 | 1978-10-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1977-08-30 | 1978-09-29 | Completed | 100% | $0.37 | $0.42 | 14.23% | Stop | |
| 1977-02-02 | 1977-08-30 | Interest (CASH) | 100% | $1.00 | $1.04 | 4.40% | Interest Income | |
| 1977-01-14 | 1977-02-02 | Completed | 100% | $0.37 | $0.34 | -8.14% | Signal | |
| 1976-12-22 | 1977-01-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1975-08-27 | 1976-12-22 | Completed | 100% | $0.26 | $0.36 | 36.25% | Stop | |
| 1975-08-05 | 1975-08-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 1975-02-24 | 1975-08-05 | Completed | 100% | $0.25 | $0.27 | 8.37% | Stop | |
| 1974-08-14 | 1975-02-24 | Interest (CASH) | 100% | $1.00 | $1.04 | 4.03% | Interest Income | |