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 Moving Average (50/200)* 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 11.1%, compared to a Buy-and-Hold benchmark return of 11.1%. The strategy executed 11 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.
Switch to MMA to enable
SPYM Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 17.82% | 17.82% | 11.20% | 12.48% | 13.66% | 15.01% | 11.06% | 11.12% |
| Sharpe Ratio | 1.30 | 1.30 | 0.84 | 0.70 | 1.00 | 0.78 | 0.85 | 0.56 |
| Max Drawdown | -8.90% | -8.90% | -20.10% | -24.48% | -20.10% | -33.87% | -20.10% | -53.40% |
| % Time Invested | 100.0% | 100.0% | 81.3% | 100.0% | 84.7% | 100.0% | 77.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.4 | 0.0 | 0.6 | 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 | ||||||||
| 2025-04-07 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2023-01-27 | 2025-04-07 | Completed | 100% | $45.30 | $56.70 | 25.10% | Stop | |
| 2022-03-17 | 2023-01-27 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.34% | Interest Income | |
| 2020-07-06 | 2022-03-17 | Completed | 100% | $34.15 | $47.87 | 40.11% | Signal | |
| 2020-04-01 | 2020-07-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2020-03-24 | 2020-04-01 | Completed | 100% | $25.15 | $26.64 | 5.87% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-03-25 | 2020-03-02 | Completed | 100% | $29.32 | $31.83 | 8.53% | Stop | |
| 2018-12-11 | 2019-03-25 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.67% | Interest Income | |
| 2016-03-07 | 2018-12-11 | Completed | 100% | $19.60 | $27.82 | 41.83% | Signal | |
| 2016-01-13 | 2016-03-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2015-12-17 | 2016-01-13 | Completed | 100% | $20.30 | $18.92 | -6.81% | Signal | |
| 2015-09-08 | 2015-12-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2012-01-26 | 2015-09-08 | Completed | 100% | $12.12 | $19.26 | 58.80% | Signal | |
| 2011-08-09 | 2012-01-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-10-12 | 2011-08-09 | Completed | 100% | $10.27 | $10.28 | 0.05% | Stop | |
| 2010-07-09 | 2010-10-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2010-06-01 | 2010-07-09 | Completed | 100% | $9.52 | $9.42 | -1.07% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-06-19 | 2010-05-07 | Completed | 100% | $7.96 | $9.85 | 23.61% | Stop | |
| 2008-01-04 | 2009-06-19 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.45% | Interest Income | |
| 2007-11-12 | 2008-01-04 | Completed | 100% | $11.93 | $11.74 | -1.58% | Signal | |
| 2007-11-08 | 2007-11-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |