SPY
SPDR S&P 500 ETF Trust
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-28
Executive Summary
The quantitative backtest for SPY (SPDR S&P 500 ETF Trust) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -19.1% (compared to the benchmark's drawdown of -55.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 11.2%, compared to a Buy-and-Hold benchmark return of 11.1%. The strategy executed 68 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.
SPY Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 12.18% | 17.62% | 8.72% | 12.56% | 13.81% | 14.91% | 11.16% | 11.10% |
| Sharpe Ratio | 0.96 | 1.28 | 0.72 | 0.69 | 1.03 | 0.78 | 0.85 | 0.56 |
| Max Drawdown | -8.88% | -8.88% | -17.35% | -24.50% | -17.35% | -33.72% | -19.05% | -55.19% |
| % Time Invested | 100.0% | 100.0% | 92.5% | 100.0% | 95.3% | 100.0% | 90.2% | 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 | 2026-05-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2025-05-01 | 2026-04-07 | Completed | 33.33% | $552.60 | $654.96 | 18.47% | 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% | $539.97 | $617.56 | 14.31% | 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% | $423.02 | $482.40 | 13.98% | Stop | |
| 2023-04-19 | 2025-04-07 | Completed | 33.33% | $395.66 | $482.40 | 21.86% | Stop | |
| 2024-01-04 | 2025-03-28 | Completed | 33.33% | $454.59 | $557.68 | 22.62% | 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% | $385.97 | $418.76 | 8.44% | 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% | $360.54 | $378.57 | 4.95% | 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% | $386.43 | $343.68 | -11.11% | 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% | $419.39 | $381.77 | -9.01% | Stop | |
| 2020-04-01 | 2022-05-10 | Completed | 33.33% | $227.37 | $381.77 | 67.83% | 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% | $310.21 | $404.23 | 30.24% | Stop | |
| 2020-06-25 | 2022-02-25 | Completed | 33.33% | $279.47 | $404.23 | 44.57% | 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% | $214.93 | $277.57 | 29.08% | Signal | |
| 2020-04-08 | 2020-06-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-03-24 | 2020-04-08 | Completed | 33.33% | $214.93 | $245.69 | 14.25% | 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% | $233.33 | $259.45 | 11.14% | Stop | |
| 2019-04-08 | 2020-03-02 | Completed | 33.33% | $258.86 | $271.82 | 4.95% | Stop | |
| 2019-03-28 | 2020-03-02 | Completed | 33.33% | $251.90 | $271.82 | 7.86% | Stop | |
| 2019-02-13 | 2019-04-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income | |
| 2018-12-04 | 2019-03-28 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.74% | Interest Income | |
| 2019-01-11 | 2019-02-13 | Completed | 33.33% | $230.52 | $246.04 | 6.68% | 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% | $94.06 | $220.73 | 134.56% | Stop | |
| 2016-06-29 | 2018-12-18 | Completed | 33.33% | $174.49 | $228.75 | 31.03% | Stop | |
| 2018-07-11 | 2018-12-04 | Completed | 33.33% | $245.38 | $247.58 | 0.84% | Signal | |
| 2018-05-21 | 2018-07-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2016-04-29 | 2018-05-21 | Completed | 33.33% | $175.18 | $240.64 | 37.30% | Signal | |
| 2015-11-06 | 2016-06-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2016-02-25 | 2016-04-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2015-12-15 | 2016-02-25 | Completed | 33.33% | $171.55 | $163.33 | -4.84% | Signal | |
| 2015-08-25 | 2015-12-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2015-11-06 | Completed | 33.33% | $166.76 | $175.78 | 5.35% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-08-29 | 2015-08-25 | Completed | 33.33% | $111.00 | $162.94 | 46.71% | Stop | |
| 2012-03-08 | 2015-08-25 | Completed | 33.33% | $106.06 | $162.94 | 53.54% | Stop | |
| 2012-07-11 | 2012-08-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-12-22 | 2012-07-11 | Completed | 33.33% | $96.83 | $105.27 | 8.66% | Signal | |
| 2011-10-17 | 2012-03-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-08-04 | 2011-12-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-08-30 | 2011-10-17 | Completed | 33.33% | $92.80 | $94.18 | 1.43% | 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 | |
| 2010-07-27 | 2011-08-09 | Completed | 33.33% | $84.46 | $87.61 | 3.68% | Stop | |
| 2010-11-08 | 2011-08-08 | Completed | 33.33% | $92.61 | $89.79 | -3.09% | Stop | |
| 2010-10-11 | 2011-08-04 | Completed | 33.33% | $88.35 | $95.56 | 8.10% | Signal | |
| 2010-10-12 | 2010-11-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-06-01 | 2010-10-12 | Completed | 33.33% | $81.19 | $88.01 | 8.34% | Signal | |
| 2010-07-16 | 2010-10-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2010-07-02 | 2010-07-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-06-01 | 2010-07-16 | Completed | 33.33% | $81.19 | $82.14 | 1.11% | Signal | |
| 2009-11-11 | 2010-07-02 | Completed | 33.33% | $81.88 | $77.64 | -5.24% | Stop | |
| 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 | |
| 2009-08-18 | 2010-05-07 | Completed | 33.33% | $72.79 | $84.41 | 15.90% | Stop | |
| 2009-05-29 | 2010-05-07 | Completed | 33.33% | $67.16 | $84.41 | 25.62% | Stop | |
| 2008-07-24 | 2009-11-11 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.50% | Interest Income | |
| 2008-01-10 | 2009-08-18 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.43% | Interest Income | |
| 2008-07-29 | 2009-05-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income | |
| 2008-06-13 | 2008-07-29 | Completed | 33.33% | $96.75 | $89.19 | -7.87% | Signal | |
| 2008-02-14 | 2008-07-24 | Completed | 33.33% | $97.55 | $92.33 | -5.40% | Signal | |
| 2008-01-02 | 2008-06-13 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.83% | Interest Income | |
| 2008-01-23 | 2008-02-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2003-03-21 | 2008-01-23 | Completed | 33.33% | $58.08 | $90.52 | 55.77% | Stop | |
| 2006-11-16 | 2008-01-10 | Completed | 33.33% | $97.67 | $99.49 | 1.81% | Signal | |
| 2007-12-03 | 2008-01-02 | Completed | 33.33% | $104.99 | $104.37 | -0.65% | Signal | |
| 2007-09-18 | 2007-12-03 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income | |
| 2006-09-19 | 2007-09-18 | Completed | 33.33% | $91.89 | $104.95 | 14.16% | Signal | |
| 2006-10-06 | 2006-11-16 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.57% | Interest Income | |
| 2004-12-17 | 2006-10-06 | Completed | 33.33% | $80.61 | $93.86 | 16.38% | Signal | |
| 2006-06-22 | 2006-09-19 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.20% | Interest Income | |
| 2005-12-23 | 2006-06-22 | Completed | 33.33% | $87.06 | $86.52 | -0.66% | Signal | |
| 2005-11-09 | 2005-12-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 2005-06-22 | 2005-11-09 | Completed | 33.33% | $82.76 | $83.39 | 0.71% | Signal | |
| 2005-05-04 | 2005-06-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2004-11-05 | 2005-05-04 | Completed | 33.33% | $78.38 | $79.02 | 0.77% | Signal | |
| 2004-10-26 | 2004-12-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2004-06-07 | 2004-11-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.65% | Interest Income | |
| 2003-03-21 | 2004-10-26 | Completed | 33.33% | $58.08 | $73.74 | 26.90% | Signal | |
| 2003-05-21 | 2004-06-07 | Completed | 33.33% | $60.25 | $75.36 | 25.03% | Signal | |
| 2003-03-20 | 2003-05-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income | |
| 2001-08-22 | 2003-03-21 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.66% | Interest Income | |
| 2001-08-22 | 2003-03-21 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.66% | Interest Income | |
| 2003-03-11 | 2003-03-20 | Completed | 33.33% | $53.08 | $56.89 | 7.13% | Signal | |
| 2003-02-14 | 2003-03-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2002-12-31 | 2003-02-14 | Completed | 33.33% | $57.32 | $53.66 | -6.43% | Stop | |
| 2002-04-17 | 2002-12-31 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.12% | Interest Income | |
| 2002-01-10 | 2002-04-17 | Completed | 33.33% | $74.19 | $72.93 | -1.76% | Signal | |
| 2001-08-27 | 2002-01-10 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.76% | Interest Income | |
| 2001-07-18 | 2001-08-27 | Completed | 33.33% | $76.76 | $75.75 | -1.37% | Signal | |
| 2001-08-03 | 2001-08-22 | Completed | 33.33% | $77.91 | $74.34 | -4.63% | Stop | |
| 2001-08-03 | 2001-08-22 | Completed | 33.33% | $77.91 | $74.34 | -4.63% | Stop | |
| 2001-02-28 | 2001-08-03 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.66% | Interest Income | |
| 2000-10-17 | 2001-08-03 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.73% | Interest Income | |
| 2000-10-18 | 2001-07-18 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.53% | Interest Income | |
| 2001-01-17 | 2001-02-28 | Completed | 33.33% | $85.38 | $80.26 | -6.05% | Signal | |
| 2000-12-21 | 2001-01-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 1998-09-24 | 2000-12-21 | Completed | 33.33% | $65.69 | $79.78 | 21.39% | Stop | |
| 2000-05-19 | 2000-10-18 | Completed | 33.33% | $89.56 | $83.72 | -6.56% | Signal | |
| 2000-05-10 | 2000-10-17 | Completed | 33.33% | $88.26 | $87.39 | -1.04% | Signal | |
| 2000-04-17 | 2000-05-19 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.53% | Interest Income | |
| 2000-04-17 | 2000-05-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income | |
| 1999-11-19 | 2000-04-17 | Completed | 33.33% | $89.01 | $84.93 | -4.64% | Stop | |
| 1999-02-03 | 2000-04-17 | Completed | 33.33% | $77.92 | $84.93 | 8.94% | Stop | |
| 1999-10-04 | 1999-11-19 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.67% | Interest Income | |
| 1998-12-11 | 1999-10-04 | Completed | 33.33% | $71.95 | $80.75 | 12.18% | Signal | |
| 1999-01-08 | 1999-02-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 1998-09-23 | 1999-01-08 | Completed | 33.33% | $64.18 | $79.47 | 23.75% | Signal | |
| 1998-08-31 | 1998-12-11 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.25% | Interest Income | |
| 1998-09-01 | 1998-09-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 1998-08-31 | 1998-09-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 1995-05-25 | 1998-09-01 | Completed | 33.33% | $30.76 | $59.15 | 92.18% | Stop | |
| 1997-11-20 | 1998-08-31 | Completed | 33.33% | $58.10 | $63.88 | 9.89% | Stop | |
| 1997-11-20 | 1998-08-31 | Completed | 33.33% | $58.10 | $63.88 | 9.89% | Stop | |
| 1997-10-29 | 1997-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 1997-10-29 | 1997-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 1996-10-14 | 1997-10-29 | Completed | 33.33% | $42.17 | $56.39 | 33.65% | Stop | |
| 1995-01-23 | 1997-10-29 | Completed | 33.33% | $26.71 | $56.39 | 111.03% | Stop | |
| 1996-09-06 | 1996-10-14 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income | |
| 1995-03-01 | 1996-09-06 | Completed | 33.33% | $28.28 | $38.93 | 37.58% | Signal | |
| 1995-01-19 | 1995-05-25 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.00% | Interest Income | |
| 1995-01-19 | 1995-03-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.62% | Interest Income | |
| 1995-01-19 | 1995-01-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |