SRLN
SPDR Blackstone Senior Loan ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for SRLN (SPDR Blackstone Senior Loan ETF) using the Excess Return MMA* strategy in a Trading context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -3.8% (compared to the benchmark's drawdown of -22.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.4%, compared to a Buy-and-Hold benchmark return of 3.9%. The strategy executed 78 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.
Available in Investing Mode
Moving Average (50/200)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
Available in Investing Mode
SRLN Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.42% | 4.25% | 3.79% | 4.72% | 3.99% | 4.50% | 3.36% | 3.92% |
| Sharpe Ratio | 1.87 | 1.42 | 1.96 | 1.18 | 1.78 | 0.72 | 1.59 | 0.70 |
| Max Drawdown | -1.79% | -3.26% | -3.16% | -7.93% | -3.79% | -22.29% | -3.79% | -22.29% |
| % Time Invested | 93.2% | 100.0% | 88.8% | 100.0% | 92.4% | 100.0% | 89.4% | 100.0% |
| Trades / Year | 4.0 | 0.0 | 6.2 | 0.0 | 5.9 | 0.0 | 6.1 | 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 | ||||||||
| 2026-03-16 | 2026-04-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2026-02-13 | 2026-04-09 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.54% | Interest Income | |
| 2026-02-04 | 2026-04-09 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.64% | Interest Income | |
| 2025-05-16 | 2026-03-16 | Completed | 33.33% | $37.89 | $39.07 | 3.06% | Signal | |
| 2025-11-25 | 2026-02-13 | Completed | 33.33% | $39.43 | $39.43 | -0.05% | Signal | |
| 2025-11-10 | 2026-02-04 | Completed | 33.33% | $39.40 | $39.59 | 0.42% | Signal | |
| 2025-10-30 | 2025-11-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.28% | Interest Income | |
| 2025-10-15 | 2025-11-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.28% | Interest Income | |
| 2025-05-16 | 2025-10-30 | Completed | 33.33% | $37.89 | $39.31 | 3.69% | Signal | |
| 2025-05-08 | 2025-10-15 | Completed | 33.33% | $37.44 | $38.93 | 3.93% | Signal | |
| 2025-04-14 | 2025-05-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2025-03-05 | 2025-05-16 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.86% | Interest Income | |
| 2025-02-20 | 2025-05-08 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.91% | Interest Income | |
| 2023-07-03 | 2025-04-14 | Completed | 33.33% | $32.67 | $36.73 | 12.36% | Signal | |
| 2024-08-21 | 2025-03-05 | Completed | 33.33% | $35.98 | $37.42 | 3.95% | Signal | |
| 2024-09-03 | 2025-02-20 | Completed | 33.33% | $36.20 | $37.59 | 3.79% | Signal | |
| 2024-08-07 | 2024-09-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2024-07-16 | 2024-08-21 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.54% | Interest Income | |
| 2024-07-22 | 2024-08-07 | Completed | 33.33% | $35.86 | $35.57 | -0.84% | Signal | |
| 2024-06-24 | 2024-07-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income | |
| 2023-11-29 | 2024-07-16 | Completed | 33.33% | $33.74 | $35.82 | 6.10% | Signal | |
| 2024-05-17 | 2024-06-24 | Completed | 33.33% | $35.53 | $35.55 | 0.01% | Signal | |
| 2024-04-25 | 2024-05-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2024-03-01 | 2024-04-25 | Completed | 33.33% | $34.81 | $35.21 | 1.12% | Signal | |
| 2024-02-07 | 2024-03-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-11-15 | 2024-02-07 | Completed | 33.33% | $33.70 | $34.55 | 2.47% | Signal | |
| 2023-10-27 | 2023-11-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.47% | Interest Income | |
| 2023-10-11 | 2023-11-15 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.54% | Interest Income | |
| 2023-07-07 | 2023-10-27 | Completed | 33.33% | $32.55 | $33.29 | 2.22% | Signal | |
| 2023-06-15 | 2023-10-11 | Completed | 33.33% | $32.23 | $33.37 | 3.48% | Signal | |
| 2023-06-13 | 2023-07-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-05-24 | 2023-07-03 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.55% | Interest Income | |
| 2023-05-19 | 2023-06-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income | |
| 2023-05-04 | 2023-06-13 | Completed | 33.33% | $31.83 | $32.37 | 1.64% | Signal | |
| 2023-01-10 | 2023-05-24 | Completed | 33.33% | $31.55 | $31.75 | 0.57% | Signal | |
| 2023-04-18 | 2023-05-19 | Completed | 33.33% | $31.87 | $31.77 | -0.37% | Signal | |
| 2023-03-21 | 2023-05-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.60% | Interest Income | |
| 2023-03-03 | 2023-04-18 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.59% | Interest Income | |
| 2022-12-01 | 2023-03-21 | Completed | 33.33% | $30.97 | $31.06 | 0.22% | Signal | |
| 2023-01-24 | 2023-03-03 | Completed | 33.33% | $31.71 | $31.74 | 0.07% | Signal | |
| 2022-12-29 | 2023-01-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2022-03-23 | 2023-01-10 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.11% | Interest Income | |
| 2022-11-10 | 2022-12-29 | Completed | 33.33% | $30.92 | $30.73 | -0.68% | Signal | |
| 2022-09-15 | 2022-12-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.83% | Interest Income | |
| 2022-09-14 | 2022-11-10 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.60% | Interest Income | |
| 2022-08-12 | 2022-09-15 | Completed | 33.33% | $31.90 | $31.08 | -2.61% | Stop | |
| 2022-08-01 | 2022-09-14 | Completed | 33.33% | $30.99 | $31.17 | 0.54% | Signal | |
| 2022-05-13 | 2022-08-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.45% | Interest Income | |
| 2022-05-06 | 2022-08-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income | |
| 2022-04-27 | 2022-05-13 | Completed | 33.33% | $32.21 | $30.94 | -3.98% | Signal | |
| 2022-04-08 | 2022-05-06 | Completed | 33.33% | $32.41 | $31.96 | -1.43% | Signal | |
| 2022-02-28 | 2022-04-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2022-02-11 | 2022-04-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2020-05-28 | 2022-03-23 | Completed | 33.33% | $28.44 | $32.18 | 13.09% | Signal | |
| 2022-01-13 | 2022-02-28 | Completed | 33.33% | $32.70 | $32.35 | -1.12% | Signal | |
| 2021-12-29 | 2022-02-11 | Completed | 33.33% | $32.58 | $32.61 | 0.04% | Signal | |
| 2021-12-21 | 2022-01-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-12-06 | 2021-12-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-09-14 | 2021-12-21 | Completed | 33.33% | $32.28 | $32.43 | 0.41% | Signal | |
| 2021-08-31 | 2021-12-06 | Completed | 33.33% | $32.21 | $32.31 | 0.28% | Signal | |
| 2021-08-12 | 2021-09-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-07-28 | 2021-08-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-05-07 | 2021-08-12 | Completed | 33.33% | $27.53 | $32.03 | 16.26% | Signal | |
| 2021-04-19 | 2021-07-28 | Completed | 33.33% | $31.69 | $32.00 | 0.93% | Signal | |
| 2021-03-25 | 2021-04-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-11-10 | 2021-03-25 | Completed | 33.33% | $30.57 | $31.44 | 2.80% | Signal | |
| 2020-10-15 | 2020-11-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-08-11 | 2020-10-15 | Completed | 33.33% | $29.74 | $30.15 | 1.35% | Signal | |
| 2020-07-20 | 2020-08-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-04-20 | 2020-07-20 | Completed | 33.33% | $27.68 | $29.21 | 5.48% | Signal | |
| 2020-03-10 | 2020-05-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-03-02 | 2020-05-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2020-02-10 | 2020-04-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2019-02-26 | 2020-03-10 | Completed | 33.33% | $28.70 | $28.50 | -0.75% | Stop | |
| 2019-12-02 | 2020-03-02 | Completed | 33.33% | $29.76 | $29.54 | -0.78% | Signal | |
| 2019-11-12 | 2020-02-10 | Completed | 33.33% | $29.56 | $30.21 | 2.16% | Signal | |
| 2019-11-07 | 2019-12-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2019-10-18 | 2019-11-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2019-09-30 | 2019-11-07 | Completed | 33.33% | $29.56 | $29.51 | -0.22% | Signal | |
| 2019-09-13 | 2019-10-18 | Completed | 33.33% | $29.55 | $29.39 | -0.61% | Signal | |
| 2019-09-06 | 2019-09-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2019-08-21 | 2019-09-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2019-07-24 | 2019-09-06 | Completed | 33.33% | $29.24 | $29.32 | 0.21% | Signal | |
| 2019-07-09 | 2019-08-21 | Completed | 33.33% | $29.15 | $29.13 | -0.12% | Signal | |
| 2019-06-19 | 2019-07-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income | |
| 2019-05-31 | 2019-07-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2019-02-08 | 2019-06-19 | Completed | 33.33% | $28.31 | $29.03 | 2.51% | Signal | |
| 2019-04-26 | 2019-05-31 | Completed | 33.33% | $29.15 | $28.95 | -0.72% | Signal | |
| 2019-04-03 | 2019-04-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2019-01-23 | 2019-04-03 | Completed | 33.33% | $28.17 | $28.73 | 1.92% | Signal | |
| 2018-12-20 | 2019-02-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income | |
| 2018-11-15 | 2019-02-08 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.53% | Interest Income | |
| 2018-10-31 | 2019-01-23 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income | |
| 2016-05-04 | 2018-12-20 | Completed | 33.33% | $25.59 | $27.65 | 8.01% | Signal | |
| 2018-08-06 | 2018-11-15 | Completed | 33.33% | $28.29 | $28.55 | 0.87% | Signal | |
| 2018-07-27 | 2018-10-31 | Completed | 33.33% | $28.27 | $28.51 | 0.80% | Signal | |
| 2018-06-29 | 2018-08-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income | |
| 2018-07-03 | 2018-07-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2018-06-20 | 2018-07-03 | Completed | 33.33% | $28.16 | $28.06 | -0.41% | Signal | |
| 2018-01-11 | 2018-06-29 | Completed | 33.33% | $27.75 | $28.09 | 1.17% | Signal | |
| 2018-05-29 | 2018-06-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2018-03-29 | 2018-05-29 | Completed | 33.33% | $27.98 | $28.08 | 0.33% | Signal | |
| 2018-03-07 | 2018-03-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2017-12-18 | 2018-03-07 | Completed | 33.33% | $27.61 | $27.88 | 0.95% | Signal | |
| 2017-12-18 | 2018-01-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2017-11-24 | 2017-12-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2017-10-13 | 2017-12-18 | Completed | 33.33% | $27.50 | $27.61 | 0.33% | Signal | |
| 2017-09-25 | 2017-11-24 | Completed | 33.33% | $27.37 | $27.55 | 0.58% | Signal | |
| 2017-09-21 | 2017-10-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2017-08-30 | 2017-09-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2016-03-18 | 2017-09-21 | Completed | 33.33% | $25.20 | $27.36 | 8.51% | Signal | |
| 2017-07-28 | 2017-08-30 | Completed | 33.33% | $27.33 | $27.28 | -0.24% | Signal | |
| 2017-07-06 | 2017-07-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2017-03-10 | 2017-07-06 | Completed | 33.33% | $26.93 | $27.16 | 0.82% | Signal | |
| 2017-02-15 | 2017-03-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2016-12-16 | 2017-02-15 | Completed | 33.33% | $26.64 | $26.77 | 0.43% | Signal | |
| 2016-11-23 | 2016-12-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2016-07-28 | 2016-11-23 | Completed | 33.33% | $26.02 | $26.37 | 1.29% | Signal | |
| 2016-07-06 | 2016-07-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2016-03-10 | 2016-07-06 | Completed | 33.33% | $25.03 | $25.69 | 2.60% | Signal | |
| 2015-08-25 | 2016-05-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2015-08-12 | 2016-03-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2015-10-05 | 2016-03-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2015-09-24 | 2015-10-05 | Completed | 33.33% | $25.51 | $25.31 | -0.81% | Signal | |
| 2015-08-11 | 2015-09-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2015-03-02 | 2015-08-25 | Completed | 33.33% | $25.68 | $25.45 | -0.94% | Stop | |
| 2015-07-27 | 2015-08-12 | Completed | 33.33% | $25.87 | $25.67 | -0.85% | Signal | |
| 2015-07-16 | 2015-08-11 | Completed | 33.33% | $25.96 | $25.70 | -1.05% | Signal | |
| 2015-07-02 | 2015-07-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-06-16 | 2015-07-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-02-10 | 2015-07-02 | Completed | 33.33% | $25.39 | $25.93 | 2.11% | Signal | |
| 2015-01-20 | 2015-06-16 | Completed | 33.33% | $25.11 | $25.90 | 3.08% | Signal | |
| 2014-10-30 | 2015-03-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-12-29 | 2015-02-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-12-16 | 2015-01-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-11-25 | 2014-12-29 | Completed | 33.33% | $25.32 | $25.23 | -0.42% | Signal | |
| 2014-11-11 | 2014-12-16 | Completed | 33.33% | $25.24 | $24.69 | -2.23% | Signal | |
| 2014-10-13 | 2014-11-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-10-02 | 2014-11-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-10-14 | 2014-10-30 | Completed | 33.33% | $24.65 | $25.17 | 2.03% | Signal | |
| 2014-09-24 | 2014-10-13 | Completed | 33.33% | $25.24 | $25.08 | -0.70% | Signal | |
| 2014-09-08 | 2014-10-02 | Completed | 33.33% | $25.33 | $25.10 | -0.97% | Signal | |
| 2014-08-20 | 2014-09-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-08-06 | 2014-09-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-04-15 | 2014-08-20 | Completed | 33.33% | $25.04 | $25.17 | 0.47% | Signal | |
| 2014-05-28 | 2014-08-06 | Completed | 33.33% | $25.07 | $25.18 | 0.37% | Signal | |
| 2014-05-05 | 2014-05-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-03-21 | 2014-05-05 | Completed | 33.33% | $25.04 | $25.06 | 0.00% | Signal | |
| 2014-03-24 | 2014-04-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-10-14 | 2014-03-24 | Completed | 33.33% | $24.65 | $25.04 | 1.53% | Signal | |
| 2014-02-26 | 2014-03-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-10-14 | 2014-02-26 | Completed | 33.33% | $24.65 | $25.01 | 1.39% | Signal | |
| 2013-10-10 | 2013-10-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-10-10 | 2013-10-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-10-10 | 2013-10-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |