SDY
SPDR S&P Dividend ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for SDY (SPDR S&P Dividend ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -19.7% (compared to the benchmark's drawdown of -50.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.6%, compared to a Buy-and-Hold benchmark return of 9.4%. The strategy executed 41 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Mathematical Model
Excess Return MMA Active
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)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
SDY Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 11.94% | 14.49% | 3.20% | 7.64% | 7.28% | 9.26% | 8.58% | 9.38% |
| Sharpe Ratio | 1.16 | 1.28 | 0.31 | 0.53 | 0.63 | 0.52 | 0.75 | 0.46 |
| Max Drawdown | -7.67% | -7.67% | -14.58% | -15.21% | -14.58% | -36.70% | -19.68% | -50.71% |
| % Time Invested | 100.0% | 100.0% | 90.0% | 100.0% | 94.6% | 100.0% | 89.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 2.8 | 0.0 | 2.3 | 0.0 | 2.2 | 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 | ||||||||
| 2025-12-09 | 2026-01-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.43% | Interest Income | |
| 2025-07-17 | 2025-12-09 | Completed | 33.33% | $134.13 | $136.08 | 1.40% | Signal | |
| 2025-04-08 | 2025-10-06 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.10% | Interest Income | |
| 2025-01-22 | 2025-07-17 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.07% | Interest Income | |
| 2024-04-09 | 2025-04-08 | Completed | 33.33% | $122.13 | $122.50 | 0.25% | Stop | |
| 2024-01-23 | 2025-01-22 | Completed | 33.33% | $115.98 | $129.48 | 11.58% | Signal | |
| 2023-08-23 | 2024-05-10 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.89% | Interest Income | |
| 2023-08-23 | 2024-04-09 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.39% | Interest Income | |
| 2023-09-19 | 2024-01-23 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.85% | Interest Income | |
| 2023-09-15 | 2023-09-19 | Completed | 33.33% | $111.96 | $111.24 | -0.70% | Signal | |
| 2023-08-23 | 2023-09-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-07-26 | 2023-08-23 | Completed | 33.33% | $117.02 | $111.26 | -4.97% | Stop | |
| 2023-07-26 | 2023-08-23 | Completed | 33.33% | $117.02 | $111.26 | -4.97% | Stop | |
| 2023-07-26 | 2023-08-23 | Completed | 33.33% | $117.02 | $111.26 | -4.97% | Stop | |
| 2023-06-21 | 2023-07-26 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.51% | Interest Income | |
| 2023-06-01 | 2023-07-26 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.78% | Interest Income | |
| 2023-04-19 | 2023-07-26 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.40% | Interest Income | |
| 2023-03-22 | 2023-06-21 | Completed | 33.33% | $111.22 | $112.18 | 0.81% | Signal | |
| 2023-04-04 | 2023-06-01 | Completed | 33.33% | $113.73 | $108.06 | -5.04% | Stop | |
| 2022-12-30 | 2023-04-19 | Completed | 33.33% | $114.49 | $113.69 | -0.75% | Signal | |
| 2023-02-08 | 2023-04-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.72% | Interest Income | |
| 2022-09-21 | 2023-03-22 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.15% | Interest Income | |
| 2021-02-10 | 2023-02-08 | Completed | 33.33% | $96.56 | $118.20 | 22.35% | Signal | |
| 2022-10-28 | 2022-12-30 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.73% | Interest Income | |
| 2022-10-18 | 2022-10-28 | Completed | 33.33% | $106.40 | $109.73 | 3.08% | Signal | |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-07-28 | 2022-09-26 | Completed | 33.33% | $111.64 | $104.34 | -6.58% | Stop | |
| 2022-07-13 | 2022-09-21 | Completed | 33.33% | $106.27 | $109.14 | 2.64% | Signal | |
| 2022-06-17 | 2022-07-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-06-17 | 2022-07-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2021-12-08 | 2022-06-17 | Completed | 33.33% | $111.18 | $103.01 | -7.40% | Stop | |
| 2020-10-28 | 2022-06-17 | Completed | 33.33% | $80.13 | $103.01 | 28.48% | Stop | |
| 2021-09-22 | 2021-12-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-07-13 | 2021-09-22 | Completed | 33.33% | $77.64 | $104.01 | 33.89% | Signal | |
| 2020-11-04 | 2021-02-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-04-01 | 2020-11-04 | Completed | 33.33% | $65.24 | $83.06 | 27.24% | Signal | |
| 2020-04-29 | 2020-10-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2020-03-02 | 2020-07-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2020-03-24 | 2020-04-29 | Completed | 33.33% | $61.36 | $76.64 | 24.84% | Signal | |
| 2020-03-10 | 2020-04-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2020-03-10 | Completed | 33.33% | $51.99 | $77.53 | 49.05% | Stop | |
| 2019-03-25 | 2020-03-02 | Completed | 33.33% | $80.18 | $80.52 | 0.37% | Stop | |
| 2019-01-18 | 2020-03-02 | Completed | 33.33% | $77.04 | $80.52 | 4.46% | Stop | |
| 2018-12-18 | 2019-03-25 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.62% | Interest Income | |
| 2018-12-26 | 2019-01-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-03-17 | 2018-12-26 | Completed | 33.33% | $57.93 | $69.88 | 20.57% | Stop | |
| 2018-06-12 | 2018-12-18 | Completed | 33.33% | $75.78 | $74.83 | -1.31% | Signal | |
| 2018-04-25 | 2018-06-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2017-01-11 | 2018-04-25 | Completed | 33.33% | $65.30 | $72.90 | 11.58% | Signal | |
| 2016-11-21 | 2017-01-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2015-12-09 | 2016-11-21 | Completed | 33.33% | $53.99 | $63.31 | 17.21% | Signal | |
| 2015-09-29 | 2016-03-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2015-07-23 | 2015-12-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2015-09-17 | 2015-09-29 | Completed | 33.33% | $51.99 | $50.13 | -3.62% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-02-10 | 2015-08-25 | Completed | 33.33% | $34.19 | $51.81 | 51.46% | Stop | |
| 2011-08-31 | 2015-08-25 | Completed | 33.33% | $31.27 | $51.81 | 65.60% | Stop | |
| 2012-08-21 | 2015-07-23 | Completed | 33.33% | $35.94 | $54.23 | 50.81% | Signal | |
| 2012-07-05 | 2012-08-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-11-29 | 2012-07-05 | Completed | 33.33% | $31.52 | $34.84 | 10.48% | Signal | |
| 2011-10-31 | 2012-02-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-08-09 | 2011-11-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-31 | 2011-10-31 | Completed | 33.33% | $31.27 | $32.64 | 4.32% | Signal | |
| 2011-08-09 | 2011-08-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-09 | 2011-08-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-09-29 | 2011-08-09 | Completed | 33.33% | $29.44 | $28.37 | -3.70% | Stop | |
| 2010-06-01 | 2011-08-09 | Completed | 33.33% | $27.00 | $28.37 | 5.01% | Stop | |
| 2010-06-01 | 2011-08-09 | Completed | 33.33% | $27.00 | $28.37 | 5.01% | Stop | |
| 2010-07-28 | 2010-09-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2010-06-01 | 2010-07-28 | Completed | 33.33% | $27.00 | $28.74 | 6.40% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-09-15 | 2010-05-07 | Completed | 33.33% | $24.78 | $27.82 | 12.18% | Stop | |
| 2009-08-24 | 2010-05-07 | Completed | 33.33% | $24.47 | $27.82 | 13.62% | Stop | |
| 2009-05-29 | 2010-05-07 | Completed | 33.33% | $21.12 | $27.82 | 31.64% | Stop | |
| 2008-04-17 | 2009-09-15 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.95% | Interest Income | |
| 2007-11-08 | 2009-08-24 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.95% | Interest Income | |
| 2007-11-08 | 2009-05-29 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.91% | Interest Income | |
| 2008-02-14 | 2008-04-17 | Completed | 33.33% | $28.34 | $27.84 | -1.80% | Signal | |
| 2008-01-23 | 2008-02-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2007-11-12 | 2008-01-23 | Completed | 33.33% | $29.10 | $26.29 | -9.71% | Stop | |
| 2007-11-08 | 2007-11-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |