VGK
Vanguard European Stock Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for VGK (Vanguard European Stock Index Fund ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -43.9% (compared to the benchmark's drawdown of -63.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 1.9%, compared to a Buy-and-Hold benchmark return of 5.2%. The strategy executed 21 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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VGK Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 15.80% | 15.80% | -1.29% | 8.92% | 5.44% | 9.93% | 1.91% | 5.25% |
| Sharpe Ratio | 0.93 | 0.93 | -0.09 | 0.48 | 0.36 | 0.51 | 0.12 | 0.22 |
| Max Drawdown | -12.09% | -12.09% | -39.59% | -32.74% | -39.59% | -37.24% | -43.92% | -63.61% |
| % Time Invested | 100.0% | 100.0% | 77.9% | 100.0% | 80.5% | 100.0% | 71.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 0.8 | 0.0 | 1.1 | 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 | ||||||||
| 2025-04-09 | 2025-05-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-10-18 | 2025-04-09 | Completed | 100% | $52.52 | $60.17 | 14.52% | Stop | |
| 2023-03-16 | 2023-10-18 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.14% | Interest Income | |
| 2023-01-18 | 2023-03-16 | Completed | 100% | $54.50 | $50.39 | -7.59% | Stop | |
| 2022-09-22 | 2023-01-18 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.30% | Interest Income | |
| 2022-07-08 | 2022-09-22 | Completed | 100% | $45.86 | $43.14 | -5.98% | Signal | |
| 2022-06-14 | 2022-07-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2022-03-29 | 2022-06-14 | Completed | 100% | $55.10 | $46.50 | -15.65% | Stop | |
| 2022-03-07 | 2022-03-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2021-02-10 | 2022-03-07 | Completed | 100% | $52.02 | $49.22 | -5.42% | Stop | |
| 2020-12-18 | 2021-02-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-04-01 | 2020-12-18 | Completed | 100% | $34.20 | $50.44 | 47.42% | Signal | |
| 2020-03-10 | 2020-04-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-09-13 | 2020-03-10 | Completed | 100% | $43.62 | $39.81 | -8.79% | Stop | |
| 2019-02-15 | 2019-09-13 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.30% | Interest Income | |
| 2018-11-05 | 2019-02-15 | Completed | 100% | $40.85 | $40.91 | 0.11% | Signal | |
| 2018-10-12 | 2018-11-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-06-24 | 2018-10-12 | Completed | 100% | $32.57 | $41.14 | 26.25% | Stop | |
| 2015-07-22 | 2016-06-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2014-11-07 | 2015-07-22 | Completed | 100% | $36.38 | $38.78 | 6.54% | Signal | |
| 2014-10-16 | 2014-11-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-01-24 | 2014-10-16 | Completed | 100% | $32.02 | $33.98 | 6.09% | Stop | |
| 2012-05-09 | 2013-01-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2011-12-15 | 2012-05-09 | Completed | 100% | $24.78 | $26.17 | 5.53% | Signal | |
| 2011-11-22 | 2011-12-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-10-17 | 2011-11-22 | Completed | 100% | $26.43 | $24.36 | -7.86% | Stop | |
| 2011-09-23 | 2011-10-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-29 | 2011-09-23 | Completed | 100% | $26.65 | $22.93 | -14.00% | Stop | |
| 2011-08-05 | 2011-08-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-05 | Completed | 100% | $22.85 | $27.62 | 20.80% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-03-09 | 2010-05-07 | Completed | 100% | $26.41 | $23.41 | -11.40% | Stop | |
| 2009-03-31 | 2010-03-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2009-03-19 | 2009-03-31 | Completed | 100% | $17.61 | $17.10 | -2.94% | Stop | |
| 2008-09-17 | 2009-03-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2008-08-01 | 2008-09-17 | Completed | 100% | $32.26 | $27.16 | -15.83% | Stop | |
| 2008-07-10 | 2008-08-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2008-02-12 | 2008-07-10 | Completed | 100% | $32.82 | $31.87 | -2.94% | Stop | |
| 2008-01-18 | 2008-02-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2007-09-11 | 2008-01-18 | Completed | 100% | $35.84 | $34.29 | -4.37% | Stop | |
| 2007-08-17 | 2007-09-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2007-03-07 | 2007-08-17 | Completed | 100% | $32.77 | $34.37 | 4.84% | Stop | |
| 2007-03-05 | 2007-03-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |