SPY
SPDR S&P 500 ETF Trust
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-12
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 -33.0% (compared to the benchmark's drawdown of -55.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 11.0%, 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 | 24.28% | 24.28% | 8.61% | 13.32% | 15.05% | 15.41% | 11.00% | 11.14% |
| Sharpe Ratio | 1.77 | 1.77 | 0.58 | 0.73 | 0.96 | 0.80 | 0.73 | 0.56 |
| Max Drawdown | -8.88% | -8.88% | -25.12% | -24.50% | -25.12% | -33.72% | -32.98% | -55.19% |
| % Time Invested | 100.0% | 100.0% | 77.4% | 100.0% | 87.4% | 100.0% | 83.4% | 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 / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| 2025-04-30 | Open | Open | 100% | $541.36 | $741.75 | 37.01% | Mark-to-Market |
| 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% | $424.11 | $483.65 | 14.04% | 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% | $357.97 | $377.40 | 5.43% | 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% | $387.42 | $349.65 | -9.75% | 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% | $215.49 | $382.76 | 77.62% | 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% | $233.93 | $272.52 | 16.50% | 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% | $94.30 | $221.30 | 134.68% | 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% | $83.49 | $87.84 | 5.21% | 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% | $82.09 | $77.87 | -5.15% | 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% | $97.13 | $87.85 | -9.55% | 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% | $58.23 | $90.84 | 56.00% | 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% | $78.11 | $74.53 | -4.58% | 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% | $83.06 | $80.50 | -3.09% | 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% | $65.86 | $84.29 | 27.99% | 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% | $30.66 | $59.30 | 93.42% | Stop |
| 1995-01-19 | 1995-05-11 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.77% | Interest Income |