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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -26.6% (compared to the benchmark's drawdown of -55.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 11.1%, 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.
Switch to MMA to enable
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% | 12.10% | 13.32% | 14.02% | 15.41% | 11.10% | 11.14% |
| Sharpe Ratio | 1.77 | 1.77 | 0.90 | 0.73 | 1.02 | 0.80 | 0.81 | 0.56 |
| Max Drawdown | -8.88% | -8.88% | -19.99% | -24.50% | -19.99% | -33.72% | -26.63% | -55.19% |
| % Time Invested | 100.0% | 100.0% | 81.4% | 100.0% | 84.7% | 100.0% | 77.6% | 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 / 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 |
|---|---|---|---|---|---|---|---|
| 2025-05-01 | Open | Open | 100% | $554.02 | $741.75 | 33.89% | Mark-to-Market |
| 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% | $386.97 | $483.65 | 24.98% | 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% | $291.19 | $409.02 | 40.47% | 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% | $215.49 | $227.95 | 5.78% | 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% | $253.23 | $272.52 | 7.62% | 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% | $178.52 | $237.65 | 33.13% | 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% | $172.60 | $160.56 | -6.98% | 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% | $101.88 | $161.20 | 58.22% | 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% | $89.41 | $87.84 | -1.76% | 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% | $68.57 | $77.87 | 13.55% | 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% | $90.85 | $105.05 | 15.62% | 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% | $75.71 | $87.88 | 16.07% | 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% | $58.23 | $74.18 | 27.39% | 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% | $72.46 | $71.34 | -1.55% | 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% | $78.11 | $74.53 | -4.58% | 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% | $73.14 | $90.80 | 24.15% | 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% | $65.86 | $61.25 | -7.00% | 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% | $26.77 | $59.30 | 121.48% | Stop |
| 1995-01-19 | 1995-01-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |