PEP
PepsiCo Inc
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
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.
📊 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
PEP Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 1.41% | -1.70% | 2.90% | 0.38% | 4.34% | 5.47% | 8.50% | 13.53% |
| Sharpe Ratio | 0.08 | -0.08 | 0.20 | 0.02 | 0.29 | 0.27 | 0.45 | 0.52 |
| Max Drawdown | -17.49% | -19.30% | -18.53% | -30.32% | -21.00% | -30.32% | -44.83% | -40.41% |
| % Time Invested | 73.8% | 100.0% | 70.3% | 100.0% | 76.9% | 100.0% | 73.7% | 100.0% |
| Trades / Year | 2.0 | 0.0 | 0.6 | 0.0 | 0.9 | 0.0 | 1.2 | 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 | ||||||||
| 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% | $161.68 | $152.15 | -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% | $121.59 | $153.07 | 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% | $110.14 | $112.12 | 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% | $105.81 | $106.61 | 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% | $82.17 | $99.24 | 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% | $91.00 | $83.61 | -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% | $80.14 | $86.69 | 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% | $73.78 | $78.41 | 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% | $67.23 | $66.69 | -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% | $59.25 | $67.31 | 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% | $41.74 | $53.07 | 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% | $40.78 | $40.36 | -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% | $42.38 | $38.41 | -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% | $29.62 | $40.65 | 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% | $41.38 | $33.70 | -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% | $41.20 | $41.22 | -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% | $28.68 | $39.32 | 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% | $21.63 | $26.73 | 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% | $23.28 | $22.00 | -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% | $23.58 | $23.99 | 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% | $25.06 | $20.96 | -16.41% | Stop | |
| 2000-12-04 | 2000-12-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2000-05-09 | 2000-12-04 | Completed | 100% | $19.24 | $21.48 | 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% | $17.17 | $16.82 | -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% | $18.03 | $17.85 | -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% | $20.18 | $17.47 | -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% | $18.52 | $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 | |
| 1997-02-25 | 1997-10-29 | Completed | 100% | $15.32 | $18.31 | 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% | $14.31 | $12.93 | -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% | $7.87 | $13.92 | 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% | $8.59 | $7.95 | -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% | $7.82 | $7.53 | -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% | $7.25 | $7.58 | 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% | $5.94 | $5.91 | -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% | $6.60 | $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 | |
| 1990-04-16 | 1990-08-22 | Completed | 100% | $4.53 | $4.77 | 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% | $3.80 | $4.08 | 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% | $2.40 | $3.74 | 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% | $2.24 | $2.12 | -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% | $1.95 | $2.12 | 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% | $2.32 | $2.29 | -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% | $2.09 | $2.04 | -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% | $1.64 | $1.70 | 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% | $0.71 | $1.85 | 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% | $0.73 | $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 | |
| 1980-06-10 | 1981-09-08 | Completed | 100% | $0.42 | $0.55 | 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% | $0.40 | $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% | $0.43 | $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% | $0.40 | $0.38 | -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 | $0.43 | 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% | $0.27 | $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 | |