VGLT
Vanguard Long-term Treasury Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for VGLT (Vanguard Long-term Treasury Index Fund ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -19.9% (compared to the benchmark's drawdown of -46.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 0.7%, compared to a Buy-and-Hold benchmark return of 0.8%. The strategy executed 71 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.
Moving Average (50/200)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
VGLT Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | -0.00% | 1.84% | 0.64% | -6.69% | 0.39% | -1.68% | 0.73% | 0.75% |
| Sharpe Ratio | -0.00 | 0.22 | 0.14 | -0.48 | 0.05 | -0.12 | 0.09 | 0.06 |
| Max Drawdown | -2.72% | -7.01% | -6.63% | -40.98% | -19.95% | -46.18% | -19.95% | -46.18% |
| % Time Invested | 79.4% | 100.0% | 51.1% | 100.0% | 64.2% | 100.0% | 69.5% | 100.0% |
| Trades / Year | 2.0 | 0.0 | 2.8 | 0.0 | 4.5 | 0.0 | 4.9 | 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 | ||||||||
| 2025-11-14 | 2026-05-18 | Completed | 33.33% | $55.43 | $53.21 | -4.05% | Signal | |
| 2025-09-24 | 2026-02-09 | Completed | 33.33% | $54.64 | $54.73 | 0.10% | Signal | |
| 2025-02-19 | 2025-11-14 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.14% | Interest Income | |
| 2025-06-02 | 2025-09-24 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.33% | Interest Income | |
| 2025-05-08 | 2025-06-02 | Completed | 33.33% | $53.03 | $51.77 | -2.43% | Signal | |
| 2024-12-13 | 2025-05-08 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.66% | Interest Income | |
| 2025-02-03 | 2025-02-19 | Completed | 33.33% | $52.59 | $52.34 | -0.53% | Signal | |
| 2025-01-08 | 2025-02-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-11-06 | 2025-01-08 | Completed | 33.33% | $52.51 | $50.72 | -3.45% | Stop | |
| 2024-11-06 | 2024-12-13 | Completed | 33.33% | $52.51 | $53.32 | 1.49% | Signal | |
| 2024-10-15 | 2024-11-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2024-10-15 | 2024-11-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2024-08-05 | 2024-10-22 | Completed | 33.33% | $57.32 | $53.97 | -5.89% | Stop | |
| 2024-08-22 | 2024-10-15 | Completed | 33.33% | $56.48 | $54.95 | -2.76% | Stop | |
| 2024-08-05 | 2024-10-15 | Completed | 33.33% | $57.32 | $54.95 | -4.18% | Stop | |
| 2024-07-31 | 2024-08-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2024-05-08 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.27% | Interest Income | |
| 2021-08-18 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.11 | 10.85% | Interest Income | |
| 2024-05-20 | 2024-07-31 | Completed | 33.33% | $52.03 | $54.32 | 4.36% | Signal | |
| 2022-03-16 | 2024-05-20 | Interest (CASH) | 33.33% | $1.00 | $1.10 | 9.56% | Interest Income | |
| 2024-05-03 | 2024-05-08 | Completed | 33.33% | $51.46 | $51.64 | 0.29% | Signal | |
| 2024-04-11 | 2024-05-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2024-01-26 | 2024-04-11 | Completed | 33.33% | $52.80 | $51.40 | -2.70% | Stop | |
| 2023-05-23 | 2024-01-26 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.68% | Interest Income | |
| 2023-02-15 | 2023-05-23 | Completed | 33.33% | $55.56 | $54.59 | -1.80% | Signal | |
| 2021-12-27 | 2023-02-15 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.64% | Interest Income | |
| 2022-02-01 | 2022-03-16 | Completed | 33.33% | $72.95 | $68.06 | -6.76% | Stop | |
| 2022-01-07 | 2022-02-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-07-08 | 2022-01-07 | Completed | 33.33% | $75.74 | $73.34 | -3.22% | Stop | |
| 2021-07-08 | 2021-12-27 | Completed | 33.33% | $75.74 | $75.90 | 0.16% | Signal | |
| 2021-03-02 | 2021-08-18 | Completed | 33.33% | $71.36 | $75.84 | 6.23% | Signal | |
| 2021-01-20 | 2021-07-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-11-02 | 2021-07-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2021-02-05 | 2021-03-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-10-29 | 2021-02-05 | Completed | 33.33% | $80.94 | $75.53 | -6.72% | Stop | |
| 2020-10-29 | 2021-01-20 | Completed | 33.33% | $80.94 | $76.87 | -5.07% | Signal | |
| 2020-10-29 | 2020-11-02 | Completed | 33.33% | $80.94 | $79.99 | -1.21% | Signal | |
| 2020-10-07 | 2020-10-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-10-07 | 2020-10-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-10-07 | 2020-10-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-06-29 | 2020-10-07 | Completed | 33.33% | $82.59 | $80.39 | -2.71% | Stop | |
| 2020-06-29 | 2020-10-07 | Completed | 33.33% | $82.59 | $80.39 | -2.71% | Stop | |
| 2020-06-29 | 2020-10-07 | Completed | 33.33% | $82.59 | $80.39 | -2.71% | Stop | |
| 2020-06-05 | 2020-06-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-06-05 | 2020-06-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-06-05 | 2020-06-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-04-03 | 2020-06-05 | Completed | 33.33% | $84.09 | $77.61 | -7.75% | Stop | |
| 2020-04-03 | 2020-06-05 | Completed | 33.33% | $84.09 | $77.61 | -7.75% | Stop | |
| 2020-04-03 | 2020-06-05 | Completed | 33.33% | $84.09 | $77.61 | -7.75% | Stop | |
| 2020-03-12 | 2020-04-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-12 | 2020-04-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-12 | 2020-04-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-02-25 | 2020-03-12 | Completed | 33.33% | $74.95 | $81.31 | 8.43% | Stop | |
| 2019-12-03 | 2020-03-12 | Completed | 33.33% | $69.74 | $81.31 | 16.53% | Stop | |
| 2019-12-03 | 2020-03-12 | Completed | 33.33% | $69.74 | $81.31 | 16.53% | Stop | |
| 2020-01-14 | 2020-02-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2019-12-03 | 2020-01-14 | Completed | 33.33% | $69.74 | $68.94 | -1.21% | Signal | |
| 2019-11-08 | 2019-12-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2019-11-08 | 2019-12-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2019-11-08 | 2019-12-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2019-10-08 | 2019-11-08 | Completed | 33.33% | $72.33 | $67.28 | -7.04% | Stop | |
| 2019-10-08 | 2019-11-08 | Completed | 33.33% | $72.33 | $67.28 | -7.04% | Stop | |
| 2019-10-08 | 2019-11-08 | Completed | 33.33% | $72.33 | $67.28 | -7.04% | Stop | |
| 2019-09-16 | 2019-10-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2019-09-16 | 2019-10-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2019-09-16 | 2019-10-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2018-12-11 | 2019-09-16 | Completed | 33.33% | $57.97 | $68.29 | 17.75% | Stop | |
| 2018-12-11 | 2019-09-16 | Completed | 33.33% | $57.97 | $68.29 | 17.75% | Stop | |
| 2018-12-11 | 2019-09-16 | Completed | 33.33% | $57.97 | $68.29 | 17.75% | Stop | |
| 2018-10-08 | 2018-12-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.41% | Interest Income | |
| 2018-03-12 | 2018-12-11 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.54% | Interest Income | |
| 2017-07-21 | 2018-12-11 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.35% | Interest Income | |
| 2018-07-30 | 2018-10-08 | Completed | 33.33% | $57.26 | $54.85 | -4.25% | Stop | |
| 2018-01-29 | 2018-07-30 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.90% | Interest Income | |
| 2018-03-01 | 2018-03-12 | Completed | 33.33% | $56.53 | $56.42 | -0.26% | Signal | |
| 2018-02-06 | 2018-03-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2017-08-22 | 2018-02-06 | Completed | 33.33% | $59.64 | $57.17 | -4.19% | Stop | |
| 2017-05-11 | 2018-01-29 | Completed | 33.33% | $56.25 | $58.43 | 3.82% | Signal | |
| 2017-01-12 | 2017-08-22 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.51% | Interest Income | |
| 2016-12-08 | 2017-07-21 | Completed | 33.33% | $55.22 | $59.04 | 6.87% | Signal | |
| 2016-11-15 | 2017-05-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2016-12-08 | 2017-01-12 | Completed | 33.33% | $55.22 | $56.94 | 3.05% | Signal | |
| 2016-11-15 | 2016-12-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2016-11-15 | 2016-12-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2016-11-08 | 2016-11-15 | Completed | 33.33% | $60.30 | $56.49 | -6.35% | Stop | |
| 2016-11-08 | 2016-11-15 | Completed | 33.33% | $60.30 | $56.49 | -6.35% | Stop | |
| 2016-11-08 | 2016-11-15 | Completed | 33.33% | $60.30 | $56.49 | -6.35% | Stop | |
| 2016-10-17 | 2016-11-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2016-10-17 | 2016-11-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2016-10-17 | 2016-11-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2016-01-12 | 2016-10-17 | Completed | 33.33% | $55.49 | $60.68 | 9.28% | Stop | |
| 2015-10-06 | 2016-10-17 | Completed | 33.33% | $55.46 | $60.68 | 9.35% | Stop | |
| 2015-05-29 | 2016-10-17 | Completed | 33.33% | $55.02 | $60.68 | 10.23% | Stop | |
| 2015-09-10 | 2016-01-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2015-06-08 | 2015-10-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2015-05-29 | 2015-09-10 | Completed | 33.33% | $55.02 | $54.60 | -0.80% | Signal | |
| 2015-05-29 | 2015-06-08 | Completed | 33.33% | $55.02 | $52.96 | -3.78% | Signal | |
| 2015-05-06 | 2015-05-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-05-06 | 2015-05-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-05-06 | 2015-05-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-03-12 | 2015-05-06 | Completed | 33.33% | $56.50 | $54.49 | -3.60% | Stop | |
| 2015-03-12 | 2015-05-06 | Completed | 33.33% | $56.50 | $54.49 | -3.60% | Stop | |
| 2015-03-12 | 2015-05-06 | Completed | 33.33% | $56.50 | $54.49 | -3.60% | Stop | |
| 2015-02-18 | 2015-03-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-02-18 | 2015-03-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-02-18 | 2015-03-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-10-16 | 2015-02-18 | Completed | 33.33% | $54.47 | $55.74 | 2.28% | Stop | |
| 2014-04-24 | 2015-02-18 | Completed | 33.33% | $48.24 | $55.74 | 15.49% | Stop | |
| 2014-03-03 | 2015-02-18 | Completed | 33.33% | $47.53 | $55.74 | 17.22% | Stop | |
| 2013-09-19 | 2014-10-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2013-03-12 | 2014-04-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2014-02-06 | 2014-03-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-02-04 | 2014-02-06 | Completed | 33.33% | $47.23 | $46.60 | -1.39% | Signal | |
| 2013-07-08 | 2014-02-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2013-09-17 | 2013-09-19 | Completed | 33.33% | $44.56 | $45.22 | 1.43% | Signal | |
| 2013-08-23 | 2013-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-06-20 | 2013-08-23 | Completed | 33.33% | $47.07 | $44.33 | -5.86% | Stop | |
| 2013-06-14 | 2013-07-08 | Completed | 33.33% | $48.41 | $45.68 | -5.69% | Signal | |
| 2013-05-29 | 2013-06-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-11-07 | 2013-06-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2013-02-27 | 2013-05-29 | Completed | 33.33% | $50.13 | $48.59 | -3.11% | Stop | |
| 2013-02-27 | 2013-03-12 | Completed | 33.33% | $50.13 | $48.65 | -2.99% | Signal | |
| 2013-02-04 | 2013-02-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-02-04 | 2013-02-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-09-11 | 2013-02-04 | Completed | 33.33% | $51.18 | $49.02 | -4.26% | Stop | |
| 2012-09-11 | 2013-02-04 | Completed | 33.33% | $51.18 | $49.02 | -4.26% | Stop | |
| 2012-09-11 | 2012-11-07 | Completed | 33.33% | $51.18 | $51.42 | 0.43% | Signal | |
| 2012-08-17 | 2012-09-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-08-17 | 2012-09-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-08-17 | 2012-09-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-06-04 | 2012-08-17 | Completed | 33.33% | $52.74 | $50.16 | -4.93% | Stop | |
| 2012-04-10 | 2012-08-17 | Completed | 33.33% | $47.64 | $50.16 | 5.25% | Stop | |
| 2012-04-10 | 2012-08-17 | Completed | 33.33% | $47.64 | $50.16 | 5.25% | Stop | |
| 2012-03-16 | 2012-06-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2012-03-16 | 2012-04-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-03-16 | 2012-04-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-12-27 | 2012-03-16 | Completed | 33.33% | $47.93 | $45.54 | -5.03% | Stop | |
| 2011-12-27 | 2012-03-16 | Completed | 33.33% | $47.93 | $45.54 | -5.03% | Stop | |
| 2011-12-27 | 2012-03-16 | Completed | 33.33% | $47.93 | $45.54 | -5.03% | Stop | |
| 2011-12-22 | 2011-12-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-12-22 | 2011-12-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-12-22 | 2011-12-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |