SPYV
SPDR Portfolio S&P 500 Value ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for SPYV (SPDR Portfolio S&P 500 Value ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -17.0% (compared to the benchmark's drawdown of -58.5%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 9.7%, compared to a Buy-and-Hold benchmark return of 9.8%. The strategy executed 51 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.
SPYV Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 16.31% | 17.71% | 8.13% | 11.53% | 10.86% | 11.77% | 9.66% | 9.80% |
| Sharpe Ratio | 1.59 | 1.65 | 0.74 | 0.77 | 0.89 | 0.66 | 0.82 | 0.51 |
| Max Drawdown | -6.22% | -6.22% | -12.45% | -17.89% | -14.95% | -36.89% | -17.02% | -58.45% |
| % Time Invested | 100.0% | 100.0% | 97.4% | 100.0% | 97.7% | 100.0% | 92.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.4 | 0.0 | 2.1 | 0.0 | 2.1 | 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 | ||||||||
| 2025-05-14 | 2025-10-08 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.70% | Interest Income | |
| 2025-02-19 | 2025-07-23 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.81% | Interest Income | |
| 2025-04-30 | 2025-05-14 | Completed | 33.33% | $47.75 | $49.65 | 3.94% | Signal | |
| 2025-04-08 | 2025-05-01 | 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 | |
| 2023-04-04 | 2025-04-08 | Completed | 33.33% | $38.23 | $46.09 | 20.52% | Stop | |
| 2023-03-16 | 2025-04-07 | Completed | 33.33% | $36.17 | $44.04 | 21.71% | Stop | |
| 2024-01-04 | 2025-02-19 | Completed | 33.33% | $44.34 | $51.49 | 16.07% | Signal | |
| 2023-10-30 | 2024-01-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.96% | Interest Income | |
| 2023-06-14 | 2023-10-30 | Completed | 33.33% | $40.07 | $37.74 | -5.88% | Signal | |
| 2023-05-17 | 2023-06-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income | |
| 2022-12-28 | 2023-05-17 | Completed | 33.33% | $36.23 | $38.01 | 4.85% | Signal | |
| 2022-12-23 | 2023-04-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.26% | Interest Income | |
| 2022-06-14 | 2023-03-16 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.76% | Interest Income | |
| 2022-05-09 | 2022-12-28 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income | |
| 2022-07-14 | 2022-12-23 | Completed | 33.33% | $33.29 | $35.90 | 7.78% | Signal | |
| 2022-06-21 | 2022-07-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2021-02-10 | 2022-06-21 | Completed | 33.33% | $32.02 | $33.39 | 4.24% | Stop | |
| 2020-10-30 | 2022-06-14 | Completed | 33.33% | $26.18 | $34.16 | 30.42% | Stop | |
| 2020-07-13 | 2022-05-09 | Completed | 33.33% | $25.84 | $36.13 | 39.71% | Signal | |
| 2021-01-15 | 2021-02-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-04-01 | 2021-01-15 | Completed | 33.33% | $21.80 | $31.45 | 44.17% | Signal | |
| 2020-05-21 | 2020-10-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2020-06-12 | 2020-07-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-06-09 | 2020-06-12 | Completed | 33.33% | $27.73 | $26.05 | -6.08% | Stop | |
| 2020-03-31 | 2020-06-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-03-24 | 2020-05-21 | Completed | 33.33% | $20.37 | $24.84 | 21.90% | Signal | |
| 2020-03-10 | 2020-04-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-24 | 2020-03-31 | Completed | 33.33% | $20.37 | $22.90 | 12.41% | Signal | |
| 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% | $23.94 | $25.57 | 6.76% | Stop | |
| 2019-06-12 | 2020-03-02 | Completed | 33.33% | $26.16 | $26.83 | 2.49% | Stop | |
| 2019-03-28 | 2020-03-02 | Completed | 33.33% | $25.53 | $26.83 | 5.02% | Stop | |
| 2019-01-25 | 2019-06-12 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.91% | Interest Income | |
| 2018-12-10 | 2019-03-28 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income | |
| 2019-01-15 | 2019-01-25 | Completed | 33.33% | $23.73 | $24.51 | 3.23% | Signal | |
| 2018-12-21 | 2019-01-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-12-20 | 2019-01-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-09-22 | 2018-12-21 | Completed | 33.33% | $20.46 | $22.65 | 10.67% | Stop | |
| 2018-09-25 | 2018-12-20 | Completed | 33.33% | $26.44 | $22.80 | -13.78% | Stop | |
| 2018-07-31 | 2018-12-10 | Completed | 33.33% | $25.68 | $24.25 | -5.61% | Signal | |
| 2018-08-31 | 2018-09-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2016-06-13 | 2018-08-31 | Completed | 33.33% | $19.62 | $25.99 | 32.40% | Signal | |
| 2018-04-27 | 2018-07-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.50% | Interest Income | |
| 2016-04-26 | 2018-04-27 | Completed | 33.33% | $19.63 | $24.60 | 25.26% | Signal | |
| 2016-04-20 | 2016-09-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2015-10-05 | 2016-06-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-02-17 | 2016-04-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2015-09-17 | 2016-04-20 | Completed | 33.33% | $18.25 | $19.65 | 7.63% | Signal | |
| 2016-02-12 | 2016-02-17 | Completed | 33.33% | $17.04 | $17.68 | 3.71% | Signal | |
| 2016-01-21 | 2016-02-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-10-09 | 2016-01-21 | Completed | 33.33% | $18.63 | $16.95 | -9.02% | Stop | |
| 2015-08-21 | 2015-10-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-09-17 | 2015-10-05 | Completed | 33.33% | $18.25 | $18.00 | -1.38% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-03-15 | 2015-08-25 | Completed | 33.33% | $12.50 | $17.79 | 42.28% | Stop | |
| 2011-08-30 | 2015-08-25 | Completed | 33.33% | $10.49 | $17.79 | 69.43% | Stop | |
| 2012-09-04 | 2015-08-21 | Completed | 33.33% | $12.48 | $18.55 | 48.59% | Signal | |
| 2012-07-03 | 2012-09-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-12-23 | 2012-07-03 | Completed | 33.33% | $11.17 | $12.14 | 8.65% | Signal | |
| 2011-10-04 | 2012-03-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-07-18 | 2011-12-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-08-29 | 2011-10-04 | Completed | 33.33% | $10.47 | $9.44 | -9.94% | Signal | |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-05 | 2011-08-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-08 | Completed | 33.33% | $9.67 | $10.20 | 5.38% | Stop | |
| 2010-11-17 | 2011-08-05 | Completed | 33.33% | $10.50 | $10.68 | 1.70% | Stop | |
| 2010-10-07 | 2011-07-18 | Completed | 33.33% | $10.44 | $11.56 | 10.73% | Signal | |
| 2010-10-19 | 2010-11-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-06-01 | 2010-10-19 | Completed | 33.33% | $9.67 | $10.43 | 7.84% | Signal | |
| 2010-07-20 | 2010-10-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2010-06-01 | 2010-07-20 | Completed | 33.33% | $9.67 | $9.45 | -2.30% | 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 | |
| 2009-09-15 | 2010-05-07 | Completed | 33.33% | $9.24 | $9.94 | 7.55% | Stop | |
| 2009-08-25 | 2010-05-07 | Completed | 33.33% | $9.12 | $9.94 | 8.91% | Stop | |
| 2009-06-02 | 2010-05-07 | Completed | 33.33% | $8.29 | $9.94 | 19.78% | Stop | |
| 2008-07-02 | 2009-09-15 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.59% | Interest Income | |
| 2007-12-13 | 2009-08-25 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.66% | Interest Income | |
| 2007-09-12 | 2009-06-02 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.56% | Interest Income | |
| 2008-02-13 | 2008-07-02 | Completed | 33.33% | $12.21 | $11.21 | -8.22% | Signal | |
| 2008-01-22 | 2008-02-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2003-03-24 | 2008-01-22 | Completed | 33.33% | $6.83 | $11.44 | 67.40% | Stop | |
| 2003-03-24 | 2007-12-13 | Completed | 33.33% | $6.83 | $13.16 | 92.55% | Signal | |
| 2006-09-12 | 2007-09-12 | Completed | 33.33% | $11.67 | $13.26 | 13.61% | Signal | |
| 2006-07-24 | 2006-09-12 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.69% | Interest Income | |
| 2006-01-05 | 2006-07-24 | Completed | 33.33% | $10.75 | $11.11 | 3.25% | Signal | |
| 2005-12-12 | 2006-01-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2005-12-01 | 2005-12-12 | Completed | 33.33% | $10.61 | $10.61 | -0.05% | Signal | |
| 2005-11-07 | 2005-12-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2005-07-19 | 2005-11-07 | Completed | 33.33% | $10.24 | $10.27 | 0.30% | Signal | |
| 2005-05-31 | 2005-07-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.41% | Interest Income | |
| 2004-08-26 | 2005-05-31 | Completed | 33.33% | $9.11 | $10.00 | 9.73% | Signal | |
| 2004-06-07 | 2004-08-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2003-05-28 | 2004-06-07 | Completed | 33.33% | $7.67 | $8.98 | 17.05% | Signal | |
| 2003-03-28 | 2003-05-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2003-03-11 | 2003-03-28 | Completed | 33.33% | $6.43 | $6.80 | 5.75% | Signal | |
| 2002-09-30 | 2003-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.60% | Interest Income | |
| 2002-09-30 | 2003-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.60% | Interest Income | |
| 2003-02-14 | 2003-03-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2002-12-27 | 2003-02-14 | Completed | 33.33% | $7.07 | $6.60 | -6.68% | Stop | |
| 2002-09-30 | 2002-12-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income | |