SPYM
SPDR Portfolio S&P 500 ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for SPYM (SPDR Portfolio S&P 500 ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -20.1% (compared to the benchmark's drawdown of -53.4%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 11.4%, compared to a Buy-and-Hold benchmark return of 11.1%. 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.
SPYM Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 12.48% | 17.82% | 8.67% | 12.48% | 13.97% | 15.01% | 11.45% | 11.12% |
| Sharpe Ratio | 0.99 | 1.30 | 0.71 | 0.70 | 1.04 | 0.78 | 0.89 | 0.56 |
| Max Drawdown | -8.90% | -8.90% | -17.30% | -24.48% | -17.30% | -33.87% | -20.12% | -53.40% |
| % Time Invested | 100.0% | 100.0% | 92.5% | 100.0% | 95.3% | 100.0% | 92.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.8 | 0.0 | 1.9 | 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 | ||||||||
| 2026-04-07 | 2026-05-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2025-05-01 | 2026-04-07 | Completed | 33.33% | $64.98 | $77.06 | 18.53% | Signal | |
| 2025-07-17 | 2025-09-10 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.64% | Interest Income | |
| 2025-04-30 | 2025-07-17 | Completed | 33.33% | $63.49 | $72.63 | 14.33% | Signal | |
| 2025-03-28 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-11-08 | 2025-04-07 | Completed | 33.33% | $49.68 | $56.70 | 14.08% | Stop | |
| 2023-04-19 | 2025-04-07 | Completed | 33.33% | $46.45 | $56.70 | 22.01% | Stop | |
| 2024-01-04 | 2025-03-28 | Completed | 33.33% | $53.41 | $65.56 | 22.68% | Signal | |
| 2023-11-03 | 2024-01-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.87% | Interest Income | |
| 2022-11-18 | 2023-11-08 | Interest (CASH) | 33.33% | $1.00 | $1.05 | 4.95% | Interest Income | |
| 2023-01-27 | 2023-11-03 | Completed | 33.33% | $45.30 | $49.17 | 8.50% | Signal | |
| 2022-05-10 | 2023-04-19 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.32% | Interest Income | |
| 2022-02-25 | 2023-01-27 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.36% | Interest Income | |
| 2022-10-25 | 2022-11-18 | Completed | 33.33% | $42.32 | $44.42 | 4.91% | Signal | |
| 2022-10-03 | 2022-10-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2022-06-02 | 2022-10-03 | Completed | 33.33% | $45.34 | $40.33 | -11.09% | Stop | |
| 2022-05-10 | 2022-06-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2022-03-21 | 2022-05-10 | Completed | 33.33% | $49.19 | $44.81 | -8.95% | Stop | |
| 2020-04-01 | 2022-05-10 | Completed | 33.33% | $26.64 | $44.81 | 68.12% | Stop | |
| 2022-02-25 | 2022-03-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-08-11 | 2022-02-25 | Completed | 33.33% | $36.36 | $47.44 | 30.39% | Stop | |
| 2020-06-25 | 2022-02-25 | Completed | 33.33% | $32.74 | $47.44 | 44.85% | Stop | |
| 2020-06-29 | 2020-08-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-24 | 2020-06-29 | Completed | 33.33% | $25.15 | $32.51 | 29.18% | Signal | |
| 2020-04-09 | 2020-06-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-03-24 | 2020-04-09 | Completed | 33.33% | $25.15 | $29.80 | 18.41% | 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 | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-01-16 | 2020-03-10 | Completed | 33.33% | $27.25 | $30.40 | 11.49% | Stop | |
| 2019-06-17 | 2020-03-02 | Completed | 33.33% | $30.51 | $31.83 | 4.29% | Stop | |
| 2019-03-27 | 2020-03-02 | Completed | 33.33% | $29.57 | $31.83 | 7.61% | Stop | |
| 2019-02-11 | 2019-06-17 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.83% | Interest Income | |
| 2018-12-03 | 2019-03-27 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.74% | Interest Income | |
| 2019-01-11 | 2019-02-11 | Completed | 33.33% | $26.93 | $28.44 | 5.54% | Signal | |
| 2018-12-21 | 2019-01-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-12-18 | 2019-01-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2011-08-31 | 2018-12-21 | Completed | 33.33% | $11.05 | $25.66 | 132.14% | Stop | |
| 2016-03-07 | 2018-12-18 | Completed | 33.33% | $19.60 | $26.61 | 35.69% | Stop | |
| 2018-07-09 | 2018-12-03 | Completed | 33.33% | $28.67 | $29.00 | 1.09% | Signal | |
| 2018-05-21 | 2018-07-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2016-04-29 | 2018-05-21 | Completed | 33.33% | $20.43 | $28.13 | 37.62% | Signal | |
| 2016-02-17 | 2016-04-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2015-11-06 | 2016-03-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2015-12-21 | 2016-02-17 | Completed | 33.33% | $19.78 | $18.65 | -5.78% | Signal | |
| 2015-08-25 | 2015-12-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2015-09-17 | 2015-11-06 | Completed | 33.33% | $19.63 | $20.58 | 4.76% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-08-31 | 2015-08-25 | Completed | 33.33% | $12.96 | $19.16 | 47.73% | Stop | |
| 2012-03-09 | 2015-08-25 | Completed | 33.33% | $12.50 | $19.16 | 53.15% | Stop | |
| 2012-07-11 | 2012-08-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-12-23 | 2012-07-11 | Completed | 33.33% | $11.44 | $12.29 | 7.42% | Signal | |
| 2011-10-17 | 2012-03-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-08-05 | 2011-12-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-08-30 | 2011-10-17 | Completed | 33.33% | $10.91 | $11.01 | 0.87% | Signal | |
| 2011-08-09 | 2011-08-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-09 | Completed | 33.33% | $9.52 | $10.28 | 7.91% | Stop | |
| 2010-11-19 | 2011-08-08 | Completed | 33.33% | $10.64 | $10.50 | -1.30% | Stop | |
| 2010-10-08 | 2011-08-05 | Completed | 33.33% | $10.29 | $10.94 | 6.30% | Signal | |
| 2010-10-14 | 2010-11-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-06-01 | 2010-10-14 | Completed | 33.33% | $9.52 | $10.44 | 9.58% | Signal | |
| 2010-07-16 | 2010-10-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2010-06-01 | 2010-07-16 | Completed | 33.33% | $9.52 | $9.54 | 0.18% | 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 | |
| 2009-08-28 | 2010-05-07 | Completed | 33.33% | $8.97 | $9.85 | 9.79% | Stop | |
| 2009-08-17 | 2010-05-07 | Completed | 33.33% | $8.49 | $9.85 | 15.96% | Stop | |
| 2009-05-28 | 2010-05-07 | Completed | 33.33% | $7.74 | $9.85 | 27.15% | Stop | |
| 2008-08-01 | 2009-08-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.44% | Interest Income | |
| 2008-01-11 | 2009-08-17 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.42% | Interest Income | |
| 2008-08-01 | 2009-05-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income | |
| 2008-07-30 | 2008-08-01 | Completed | 33.33% | $10.67 | $10.55 | -1.13% | Signal | |
| 2008-06-12 | 2008-08-01 | Completed | 33.33% | $11.29 | $10.55 | -6.57% | Signal | |
| 2008-07-08 | 2008-07-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2007-11-12 | 2008-07-08 | Completed | 33.33% | $11.93 | $10.51 | -11.88% | Stop | |
| 2008-01-08 | 2008-06-12 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income | |
| 2007-11-12 | 2008-01-11 | Completed | 33.33% | $11.93 | $11.59 | -2.90% | Signal | |
| 2007-11-30 | 2008-01-08 | Completed | 33.33% | $12.27 | $11.65 | -5.12% | Signal | |
| 2007-11-08 | 2007-11-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2007-11-08 | 2007-11-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2007-11-08 | 2007-11-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |