RSP
Invesco S&P 500 Equal Weight ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-08-03
Executive Summary
The quantitative backtest for RSP (Invesco S&P 500 Equal Weight ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -25.9% (compared to the benchmark's drawdown of -59.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 10.7%, compared to a Buy-and-Hold benchmark return of 10.4%. The strategy executed 13 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.
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RSP Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 20.17% | 20.17% | 3.10% | 8.95% | 11.81% | 11.99% | 10.69% | 10.38% |
| Sharpe Ratio | 1.58 | 1.58 | 0.22 | 0.53 | 0.75 | 0.62 | 0.69 | 0.49 |
| Max Drawdown | -7.85% | -7.85% | -24.37% | -21.38% | -24.37% | -39.04% | -25.95% | -59.92% |
| % Time Invested | 100.0% | 100.0% | 87.1% | 100.0% | 90.8% | 100.0% | 87.6% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 0.7 | 0.0 | 0.6 | 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 | ||||||||
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-12-15 | 2025-04-07 | Completed | 100% | $150.40 | $150.52 | 0.03% | Stop | |
| 2023-10-24 | 2023-12-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.79% | Interest Income | |
| 2023-04-04 | 2023-10-24 | Completed | 100% | $137.48 | $130.81 | -4.90% | Stop | |
| 2022-12-12 | 2023-04-04 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.42% | Interest Income | |
| 2022-10-18 | 2022-12-12 | Completed | 100% | $125.41 | $135.52 | 8.01% | Signal | |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-06-07 | 2022-09-26 | Completed | 100% | $137.11 | $122.10 | -10.99% | Stop | |
| 2022-05-13 | 2022-06-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2020-03-24 | 2022-05-13 | Completed | 100% | $68.08 | $132.62 | 94.71% | Stop | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-01-15 | 2020-03-02 | Completed | 100% | $83.82 | $92.81 | 10.66% | Stop | |
| 2018-12-20 | 2019-01-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-09-26 | 2018-12-20 | Completed | 100% | $70.20 | $79.97 | 13.87% | Stop | |
| 2016-05-20 | 2016-09-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2016-02-09 | 2016-05-20 | Completed | 100% | $57.26 | $65.84 | 14.93% | Signal | |
| 2016-01-15 | 2016-02-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-08-30 | 2016-01-15 | Completed | 100% | $35.11 | $58.07 | 65.33% | Stop | |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-08 | Completed | 100% | $30.62 | $33.74 | 10.14% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-09-15 | 2010-05-07 | Completed | 100% | $28.13 | $31.53 | 12.04% | Stop | |
| 2008-06-13 | 2009-09-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.68% | Interest Income | |
| 2008-02-01 | 2008-06-13 | Completed | 100% | $33.37 | $32.84 | -1.63% | Signal | |
| 2008-01-09 | 2008-02-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2005-04-26 | 2008-01-09 | Completed | 100% | $26.51 | $32.46 | 22.36% | Stop | |
| 2005-04-22 | 2005-04-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |