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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -4.3% (compared to the benchmark's drawdown of -16.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.0%, compared to a Buy-and-Hold benchmark return of 1.8%. The strategy executed 12 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.
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SPTI Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.45% | 2.27% | 1.92% | -0.21% | 2.24% | 1.23% | 2.00% | 1.79% |
| Sharpe Ratio | 1.07 | 0.66 | 0.55 | -0.04 | 0.71 | 0.28 | 0.67 | 0.46 |
| Max Drawdown | -2.80% | -2.80% | -4.35% | -15.06% | -4.35% | -16.11% | -4.35% | -16.11% |
| % Time Invested | 88.9% | 100.0% | 59.1% | 100.0% | 61.5% | 100.0% | 69.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 0.7 | 0.0 | 0.7 | 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 | ||||||||
| 2025-02-25 | 2025-03-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-01-04 | 2025-02-25 | Completed | 100% | $25.85 | $26.83 | 3.72% | Signal | |
| 2023-08-14 | 2024-01-04 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.14% | Interest Income | |
| 2023-03-23 | 2023-08-14 | Completed | 100% | $25.71 | $25.02 | -2.73% | Signal | |
| 2021-10-28 | 2023-03-23 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.13% | Interest Income | |
| 2021-08-20 | 2021-10-28 | Completed | 100% | $28.39 | $27.89 | -1.82% | Signal | |
| 2020-12-21 | 2021-08-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2018-12-06 | 2020-12-21 | Completed | 100% | $24.68 | $28.61 | 15.84% | Signal | |
| 2018-11-12 | 2018-12-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-08-17 | 2018-11-12 | Completed | 100% | $24.47 | $24.30 | -0.74% | Signal | |
| 2017-12-21 | 2018-08-17 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.15% | Interest Income | |
| 2017-05-31 | 2017-12-21 | Completed | 100% | $24.60 | $24.47 | -0.60% | Signal | |
| 2016-11-28 | 2017-05-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2014-02-19 | 2016-11-28 | Completed | 100% | $23.44 | $24.28 | 3.54% | Signal | |
| 2013-06-26 | 2014-02-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2013-04-15 | 2013-06-26 | Completed | 100% | $23.63 | $23.19 | -1.92% | Signal | |
| 2013-02-21 | 2013-04-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-05-31 | 2013-02-21 | Completed | 100% | $22.22 | $23.48 | 5.60% | Signal | |
| 2011-02-04 | 2011-05-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2009-10-14 | 2011-02-04 | Completed | 100% | $20.86 | $21.64 | 3.66% | Signal | |
| 2009-07-01 | 2009-10-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2009-05-22 | 2009-07-01 | Completed | 100% | $20.68 | $20.52 | -0.82% | Signal | |
| 2009-05-20 | 2009-05-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |