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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -26.8% (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 17 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.
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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% | 11.29% | 12.56% | 13.47% | 14.91% | 11.00% | 11.10% |
| Sharpe Ratio | 1.28 | 1.28 | 0.84 | 0.69 | 0.99 | 0.78 | 0.80 | 0.56 |
| Max Drawdown | -8.88% | -8.88% | -20.07% | -24.50% | -20.07% | -33.72% | -26.78% | -55.19% |
| % Time Invested | 100.0% | 100.0% | 81.3% | 100.0% | 84.6% | 100.0% | 77.7% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.4 | 0.0 | 0.5 | 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% | $385.97 | $482.40 | 24.92% | Stop | |
| 2022-03-17 | 2023-01-27 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.34% | Interest Income | |
| 2020-07-07 | 2022-03-17 | Completed | 100% | $290.44 | $407.97 | 40.40% | Signal | |
| 2020-04-01 | 2020-07-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2020-03-24 | 2020-04-01 | Completed | 100% | $214.93 | $227.37 | 5.73% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-03-27 | 2020-03-02 | Completed | 100% | $252.58 | $271.82 | 7.56% | Stop | |
| 2018-12-13 | 2019-03-27 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.67% | Interest Income | |
| 2016-04-21 | 2018-12-13 | Completed | 100% | $178.06 | $237.04 | 33.06% | Signal | |
| 2016-01-19 | 2016-04-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2015-12-10 | 2016-01-19 | Completed | 100% | $172.16 | $160.15 | -7.02% | Signal | |
| 2015-09-04 | 2015-12-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2012-01-24 | 2015-09-04 | Completed | 100% | $101.62 | $160.79 | 58.14% | Signal | |
| 2011-08-09 | 2012-01-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-10-14 | 2011-08-09 | Completed | 100% | $89.18 | $87.61 | -1.81% | Stop | |
| 2010-07-01 | 2010-10-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2009-06-19 | 2010-07-01 | Completed | 100% | $68.40 | $77.67 | 13.49% | Stop | |
| 2007-12-31 | 2009-06-19 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.49% | Interest Income | |
| 2006-08-30 | 2007-12-31 | Completed | 100% | $90.62 | $104.78 | 15.56% | Signal | |
| 2006-07-26 | 2006-08-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.49% | Interest Income | |
| 2004-10-28 | 2006-07-26 | Completed | 100% | $75.52 | $87.66 | 16.01% | Signal | |
| 2004-08-26 | 2004-10-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2003-03-21 | 2004-08-26 | Completed | 100% | $58.08 | $73.99 | 27.33% | Signal | |
| 2002-05-20 | 2003-03-21 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.22% | Interest Income | |
| 2002-04-22 | 2002-05-20 | Completed | 100% | $72.28 | $71.16 | -1.60% | Signal | |
| 2001-08-22 | 2002-04-22 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.28% | Interest Income | |
| 2001-08-03 | 2001-08-22 | Completed | 100% | $77.91 | $74.34 | -4.63% | Stop | |
| 2000-11-03 | 2001-08-03 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.40% | Interest Income | |
| 1998-12-07 | 2000-11-03 | Completed | 100% | $72.95 | $90.57 | 24.09% | Signal | |
| 1998-10-02 | 1998-12-07 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.76% | Interest Income | |
| 1998-09-24 | 1998-10-02 | Completed | 100% | $65.69 | $61.09 | -7.04% | Signal | |
| 1998-09-01 | 1998-09-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 1995-01-23 | 1998-09-01 | Completed | 100% | $26.71 | $59.15 | 121.37% | Stop | |
| 1995-01-19 | 1995-01-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |