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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -33.2% (compared to the benchmark's drawdown of -55.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 10.9%, compared to a Buy-and-Hold benchmark return of 11.1%. The strategy executed 14 total trades.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
📊 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 Active
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.
🎯 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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SPY Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 17.62% | 17.62% | 7.79% | 12.56% | 14.48% | 14.91% | 10.90% | 11.10% |
| Sharpe Ratio | 1.28 | 1.28 | 0.52 | 0.69 | 0.93 | 0.78 | 0.72 | 0.56 |
| Max Drawdown | -8.88% | -8.88% | -25.27% | -24.50% | -25.27% | -33.72% | -33.25% | -55.19% |
| % Time Invested | 100.0% | 100.0% | 77.4% | 100.0% | 87.4% | 100.0% | 83.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.5 | 0.0 | 0.4 | 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 | 2025-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-11-08 | 2025-04-07 | Completed | 100% | $423.02 | $482.40 | 13.98% | Stop | |
| 2022-11-30 | 2023-11-08 | Interest (CASH) | 100% | $1.00 | $1.05 | 4.83% | Interest Income | |
| 2022-10-18 | 2022-11-30 | Completed | 100% | $357.05 | $376.43 | 5.37% | Signal | |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-06-02 | 2022-09-26 | Completed | 100% | $386.43 | $348.75 | -9.79% | Stop | |
| 2022-05-10 | 2022-06-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2020-03-24 | 2022-05-10 | Completed | 100% | $214.93 | $381.77 | 77.53% | Stop | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-01-16 | 2020-03-02 | Completed | 100% | $233.33 | $271.82 | 16.44% | Stop | |
| 2018-12-21 | 2019-01-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2011-08-31 | 2018-12-21 | Completed | 100% | $94.06 | $220.73 | 134.56% | Stop | |
| 2011-08-09 | 2011-08-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-07-26 | 2011-08-09 | Completed | 100% | $83.28 | $87.61 | 5.15% | Stop | |
| 2010-07-01 | 2010-07-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-11-11 | 2010-07-01 | Completed | 100% | $81.88 | $77.67 | -5.20% | Stop | |
| 2008-07-15 | 2009-11-11 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.54% | Interest Income | |
| 2008-02-13 | 2008-07-15 | Completed | 100% | $96.88 | $87.62 | -9.60% | Signal | |
| 2008-01-22 | 2008-02-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2003-03-21 | 2008-01-22 | Completed | 100% | $58.08 | $90.61 | 55.92% | Stop | |
| 2001-08-22 | 2003-03-21 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.66% | Interest Income | |
| 2001-08-03 | 2001-08-22 | Completed | 100% | $77.91 | $74.34 | -4.63% | Stop | |
| 2001-02-27 | 2001-08-03 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.68% | Interest Income | |
| 2000-12-26 | 2001-02-27 | Completed | 100% | $82.85 | $80.29 | -3.14% | Signal | |
| 2000-12-01 | 2000-12-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 1998-09-24 | 2000-12-01 | Completed | 100% | $65.69 | $84.08 | 27.93% | Stop | |
| 1998-09-01 | 1998-09-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 1995-05-11 | 1998-09-01 | Completed | 100% | $30.58 | $59.15 | 93.32% | Stop | |
| 1995-01-19 | 1995-05-11 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.77% | Interest Income | |