SPTI
SPDR Portfolio Intermediate Term Treasury ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for SPTI (SPDR Portfolio Intermediate Term Treasury ETF) using the Excess Return MMA* 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 2.3%, compared to a Buy-and-Hold benchmark return of 1.8%. The strategy executed 30 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.
SPTI Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.40% | 2.27% | 2.40% | -0.21% | 2.53% | 1.23% | 2.34% | 1.79% |
| Sharpe Ratio | 1.25 | 0.66 | 1.10 | -0.04 | 1.05 | 0.28 | 0.92 | 0.46 |
| Max Drawdown | -1.61% | -2.80% | -3.84% | -15.06% | -3.84% | -16.11% | -3.84% | -16.11% |
| % Time Invested | 100.0% | 100.0% | 60.3% | 100.0% | 72.9% | 100.0% | 84.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 2.0 | 0.0 | 1.7 | 0.0 | 1.7 | 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 | ||||||||
| 2025-06-27 | 2026-05-20 | Completed | 33.33% | $27.55 | $27.96 | 1.45% | Signal | |
| 2025-04-21 | 2026-02-10 | Completed | 33.33% | $27.17 | $28.46 | 4.68% | Signal | |
| 2025-03-11 | 2025-06-27 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.28% | Interest Income | |
| 2024-12-17 | 2025-04-21 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.41% | Interest Income | |
| 2024-08-05 | 2025-03-11 | Completed | 33.33% | $27.04 | $27.07 | 0.06% | Signal | |
| 2024-08-05 | 2024-12-17 | Completed | 33.33% | $27.04 | $26.47 | -2.18% | Signal | |
| 2024-06-14 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.72% | Interest Income | |
| 2024-04-29 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.42% | Interest Income | |
| 2021-11-12 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.11 | 10.84% | Interest Income | |
| 2024-05-10 | 2024-06-14 | Completed | 33.33% | $25.57 | $26.00 | 1.64% | Signal | |
| 2022-01-06 | 2024-05-10 | Interest (CASH) | 33.33% | $1.00 | $1.09 | 9.48% | Interest Income | |
| 2024-01-24 | 2024-04-29 | Completed | 33.33% | $25.86 | $25.32 | -2.16% | Signal | |
| 2023-07-10 | 2024-01-24 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.97% | Interest Income | |
| 2023-06-15 | 2023-07-10 | Completed | 33.33% | $25.41 | $25.02 | -1.58% | Signal | |
| 2023-05-23 | 2023-06-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-02-23 | 2023-05-23 | Completed | 33.33% | $24.89 | $25.50 | 2.40% | Signal | |
| 2021-11-09 | 2023-02-23 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.74% | Interest Income | |
| 2021-12-10 | 2022-01-06 | Completed | 33.33% | $27.90 | $27.60 | -1.12% | Signal | |
| 2021-02-22 | 2021-12-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2018-11-20 | 2021-11-12 | Completed | 33.33% | $24.47 | $27.87 | 13.82% | Signal | |
| 2021-07-30 | 2021-11-09 | Completed | 33.33% | $28.43 | $28.05 | -1.38% | Signal | |
| 2020-11-24 | 2021-07-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2018-11-20 | 2021-02-22 | Completed | 33.33% | $24.47 | $28.25 | 15.39% | Signal | |
| 2020-02-28 | 2020-11-24 | Completed | 33.33% | $27.67 | $28.59 | 3.28% | Signal | |
| 2020-01-09 | 2020-02-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income | |
| 2018-11-20 | 2020-01-09 | Completed | 33.33% | $24.47 | $26.62 | 8.72% | Signal | |
| 2018-10-08 | 2018-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.28% | Interest Income | |
| 2018-01-18 | 2018-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income | |
| 2017-07-05 | 2018-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.28% | Interest Income | |
| 2018-08-24 | 2018-10-08 | Completed | 33.33% | $24.49 | $24.18 | -1.31% | Signal | |
| 2017-11-16 | 2018-08-24 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.32% | Interest Income | |
| 2017-08-24 | 2018-01-18 | Completed | 33.33% | $24.73 | $24.37 | -1.50% | Signal | |
| 2017-05-09 | 2017-11-16 | Completed | 33.33% | $24.45 | $24.58 | 0.51% | Signal | |
| 2017-01-04 | 2017-08-24 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.53% | Interest Income | |
| 2014-09-26 | 2017-07-05 | Completed | 33.33% | $23.52 | $24.51 | 4.14% | Signal | |
| 2016-11-11 | 2017-05-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2014-03-18 | 2017-01-04 | Completed | 33.33% | $23.41 | $24.23 | 3.48% | Signal | |
| 2016-02-19 | 2016-11-11 | Completed | 33.33% | $24.55 | $24.50 | -0.26% | Signal | |
| 2016-01-27 | 2016-02-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-15 | 2016-01-27 | Completed | 33.33% | $24.09 | $24.31 | 0.88% | Signal | |
| 2015-07-17 | 2015-09-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-12-02 | 2015-07-17 | Completed | 33.33% | $23.37 | $23.97 | 2.50% | Signal | |
| 2013-12-10 | 2014-09-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2013-06-07 | 2014-03-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2009-05-22 | 2013-12-10 | Completed | 33.33% | $20.68 | $23.33 | 12.78% | Signal | |
| 2013-07-08 | 2013-12-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2013-04-26 | 2013-07-08 | Completed | 33.33% | $23.65 | $23.10 | -2.40% | Signal | |
| 2011-05-31 | 2013-06-07 | Completed | 33.33% | $22.22 | $23.42 | 5.35% | Signal | |
| 2013-02-22 | 2013-04-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-02-12 | 2013-02-22 | Completed | 33.33% | $23.45 | $23.48 | 0.08% | Signal | |
| 2013-01-18 | 2013-02-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-05-19 | 2013-01-18 | Completed | 33.33% | $22.07 | $23.48 | 6.32% | Signal | |
| 2011-04-19 | 2011-05-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-01-20 | 2011-05-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2009-12-09 | 2011-04-19 | Completed | 33.33% | $21.09 | $21.91 | 3.82% | Signal | |
| 2009-10-05 | 2011-01-20 | Completed | 33.33% | $20.97 | $21.79 | 3.85% | Signal | |
| 2009-09-17 | 2009-12-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2009-05-20 | 2009-10-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2009-05-22 | 2009-09-17 | Completed | 33.33% | $20.68 | $20.75 | 0.29% | Signal | |
| 2009-05-20 | 2009-05-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2009-05-20 | 2009-05-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |