SPTI SPDR Portfolio Intermediate Term Treasury ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for SPTI (SPDR Portfolio Intermediate Term Treasury ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -3.8% (compared to the benchmark's drawdown of -16.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.5%, compared to a Buy-and-Hold benchmark return of 1.9%. The strategy executed 30 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
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.
SPTI Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.86% | 3.82% | 2.66% | 0.14% | 2.84% | 1.42% | 2.50% | 1.85% |
| Sharpe Ratio | 1.31 | 1.10 | 1.16 | 0.03 | 1.14 | 0.32 | 0.96 | 0.47 |
| Max Drawdown | -1.59% | -2.80% | -3.78% | -15.06% | -3.78% | -16.11% | -3.78% | -16.11% |
| % Time Invested | 100.0% | 100.0% | 60.3% | 100.0% | 72.9% | 100.0% | 84.1% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 2.0 | 0.0 | 1.7 | 0.0 | 1.8 | 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 / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| 2024-08-05 | Open | Open | 33.33% | $27.22 | $28.44 | 4.49% | Mark-to-Market |
| 2026-05-20 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.12% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2025-06-27 | 2026-05-20 | Completed | 33.33% | $27.72 | $28.14 | 1.50% | Signal |
| 2026-03-03 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.60% | Interest Income |
| 2026-02-10 | 2026-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2025-04-21 | 2026-02-10 | Completed | 33.33% | $27.35 | $28.64 | 4.74% | Signal |
| 2025-06-03 | 2025-06-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-03-11 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income |
| 2024-12-17 | 2025-04-21 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.20% | Interest Income |
| 2024-08-05 | 2025-03-11 | Completed | 33.33% | $27.22 | $27.25 | 0.11% | Signal |
| 2024-08-05 | 2024-12-17 | Completed | 33.33% | $27.22 | $26.64 | -2.13% | Signal |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-06-14 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.75% | Interest Income |
| 2024-04-29 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.62% | Interest Income |
| 2023-06-02 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.08 | 7.87% | Interest Income |
| 2024-05-10 | 2024-06-14 | Completed | 33.33% | $25.74 | $26.17 | 1.69% | Signal |
| 2023-06-02 | 2024-05-10 | Interest (FLOT) | 33.33% | $1.00 | $1.06 | 6.50% | Interest Income |
| 2024-01-24 | 2024-04-29 | Completed | 33.33% | $26.03 | $25.48 | -2.11% | Signal |
| 2023-07-10 | 2024-01-24 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 3.55% | Interest Income |
| 2023-06-15 | 2023-07-10 | Completed | 33.33% | $25.57 | $25.18 | -1.53% | Signal |
| 2023-06-02 | 2023-06-15 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.28% | Interest Income |
| 2023-05-23 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-02-23 | 2023-05-23 | Completed | 33.33% | $25.05 | $25.66 | 2.45% | Signal |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-02-23 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.83% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-01-06 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-12-10 | 2022-01-06 | Completed | 33.33% | $28.08 | $27.78 | -1.07% | Signal |
| 2021-11-12 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-11-09 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2021-11-02 | 2021-12-10 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2018-11-20 | 2021-11-12 | Completed | 33.33% | $24.63 | $28.05 | 13.88% | Signal |
| 2021-07-30 | 2021-11-09 | Completed | 33.33% | $28.61 | $28.23 | -1.33% | Signal |
| 2021-09-02 | 2021-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2021-08-03 | 2021-09-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-05-04 | 2021-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2021-05-04 | 2021-07-30 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-02-22 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.09% | Interest Income |
| 2020-12-02 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2018-11-20 | 2021-02-22 | Completed | 33.33% | $24.63 | $28.43 | 15.45% | Signal |
| 2020-11-24 | 2020-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2020-02-28 | 2020-11-24 | Completed | 33.33% | $27.85 | $28.77 | 3.33% | Signal |
| 2020-01-09 | 2020-02-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2018-11-20 | 2020-01-09 | Completed | 33.33% | $24.63 | $26.79 | 8.78% | Signal |
| 2018-11-02 | 2018-11-20 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2018-11-02 | 2018-11-20 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2018-11-02 | 2018-11-20 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2018-10-08 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2018-01-18 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.77% | Interest Income |
| 2017-07-05 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 2.80% | Interest Income |
| 2018-08-24 | 2018-10-08 | Completed | 33.33% | $24.65 | $24.34 | -1.26% | Signal |
| 2017-11-16 | 2018-08-24 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.70% | Interest Income |
| 2017-08-24 | 2018-01-18 | Completed | 33.33% | $24.89 | $24.53 | -1.46% | Signal |
| 2017-05-09 | 2017-11-16 | Completed | 33.33% | $24.60 | $24.74 | 0.56% | Signal |
| 2017-05-02 | 2017-08-24 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.51% | Interest Income |
| 2014-09-26 | 2017-07-05 | Completed | 33.33% | $23.67 | $24.66 | 4.19% | Signal |
| 2017-05-02 | 2017-05-09 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2017-04-04 | 2017-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2017-04-04 | 2017-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2017-01-04 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2016-11-11 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.63% | Interest Income |
| 2014-03-18 | 2017-01-04 | Completed | 33.33% | $23.56 | $24.39 | 3.53% | Signal |
| 2016-02-19 | 2016-11-11 | Completed | 33.33% | $24.71 | $24.66 | -0.21% | Signal |
| 2016-02-02 | 2016-02-19 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2016-01-27 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2015-09-15 | 2016-01-27 | Completed | 33.33% | $24.24 | $24.47 | 0.93% | Signal |
| 2015-09-02 | 2015-09-15 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2015-08-04 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-07-17 | 2015-08-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2013-12-02 | 2015-07-17 | Completed | 33.33% | $23.53 | $24.13 | 2.55% | Signal |
| 2014-09-03 | 2014-09-26 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2014-05-02 | 2014-09-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2014-04-02 | 2014-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2014-03-04 | 2014-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2014-03-04 | 2014-03-18 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2014-02-04 | 2014-03-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2014-02-04 | 2014-03-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2014-01-03 | 2014-02-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2014-01-03 | 2014-02-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2013-12-10 | 2014-01-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2013-12-03 | 2014-01-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2009-05-22 | 2013-12-10 | Completed | 33.33% | $20.81 | $23.48 | 12.84% | Signal |
| 2013-08-02 | 2013-12-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2013-08-02 | 2013-12-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2013-07-08 | 2013-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2013-07-02 | 2013-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2013-04-26 | 2013-07-08 | Completed | 33.33% | $23.81 | $23.25 | -2.35% | Signal |
| 2013-06-07 | 2013-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.14% | Interest Income |
| 2011-05-31 | 2013-06-07 | Completed | 33.33% | $22.37 | $23.57 | 5.40% | Signal |
| 2013-02-22 | 2013-04-26 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2013-02-12 | 2013-02-22 | Completed | 33.33% | $23.60 | $23.64 | 0.13% | Signal |
| 2013-01-18 | 2013-02-12 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2011-05-19 | 2013-01-18 | Completed | 33.33% | $22.22 | $23.63 | 6.38% | Signal |
| 2011-04-19 | 2011-05-31 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2011-04-04 | 2011-05-19 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2009-12-09 | 2011-04-19 | Completed | 33.33% | $21.23 | $22.05 | 3.87% | Signal |
| 2011-03-02 | 2011-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-01-20 | 2011-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2009-10-05 | 2011-01-20 | Completed | 33.33% | $21.11 | $21.94 | 3.91% | Signal |
| 2009-10-02 | 2009-12-09 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2009-10-02 | 2009-10-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2009-09-17 | 2009-10-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2009-07-02 | 2009-10-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2009-05-22 | 2009-09-17 | Completed | 33.33% | $20.81 | $20.88 | 0.34% | Signal |
| 2009-06-02 | 2009-07-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2009-05-20 | 2009-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2009-05-20 | 2009-05-22 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2009-05-20 | 2009-05-22 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |