VTI Vanguard Total Stock Market Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for VTI (Vanguard Total Stock Market Index Fund ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -20.3% (compared to the benchmark's drawdown of -55.5%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 11.3%, compared to a Buy-and-Hold benchmark return of 11.3%. The strategy executed 50 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
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.
VTI Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 24.21% | 29.95% | 9.64% | 12.89% | 14.52% | 15.12% | 11.27% | 11.33% |
| Sharpe Ratio | 1.90 | 2.16 | 0.77 | 0.70 | 1.07 | 0.77 | 0.88 | 0.57 |
| Max Drawdown | -8.92% | -8.92% | -18.78% | -25.36% | -18.78% | -35.00% | -20.28% | -55.45% |
| % Time Invested | 100.0% | 100.0% | 91.4% | 100.0% | 94.8% | 100.0% | 93.1% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.8 | 0.0 | 2.1 | 0.0 | 2.2 | 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 |
|---|---|---|---|---|---|---|---|
| 2026-05-11 | Open | Open | 33.33% | $362.61 | $372.54 | 2.74% | Mark-to-Market |
| 2025-09-15 | Open | Open | 33.33% | $322.64 | $372.54 | 15.47% | Mark-to-Market |
| 2025-04-30 | Open | Open | 33.33% | $265.97 | $372.54 | 40.07% | Mark-to-Market |
| 2026-05-04 | 2026-05-11 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2026-04-10 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2025-05-01 | 2026-04-10 | Completed | 33.33% | $272.06 | $336.13 | 23.55% | Signal |
| 2025-06-27 | 2025-09-15 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.20% | Interest Income |
| 2025-04-30 | 2025-06-27 | Completed | 33.33% | $265.97 | $299.14 | 12.47% | Signal |
| 2025-03-27 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2023-11-08 | 2025-04-07 | Completed | 33.33% | $209.34 | $237.20 | 13.31% | Stop |
| 2023-04-20 | 2025-04-07 | Completed | 33.33% | $196.37 | $237.20 | 20.79% | Stop |
| 2024-01-04 | 2025-03-27 | Completed | 33.33% | $226.68 | $276.20 | 21.84% | Signal |
| 2023-11-03 | 2024-01-04 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.02% | Interest Income |
| 2023-06-02 | 2023-11-08 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 2.75% | Interest Income |
| 2023-01-30 | 2023-11-03 | Completed | 33.33% | $193.50 | $207.39 | 7.18% | Signal |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-04 | 2023-04-20 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-01-30 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.40% | Interest Income |
| 2022-10-31 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-20 | 2022-10-31 | Completed | 33.33% | $175.68 | $184.68 | 5.12% | Signal |
| 2022-10-04 | 2022-10-20 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2022-09-28 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.24% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-06-01 | 2022-09-28 | Completed | 33.33% | $196.08 | $173.79 | -11.37% | Stop |
| 2022-05-10 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-05-09 | 2022-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-03-21 | 2022-05-10 | Completed | 33.33% | $212.20 | $190.63 | -10.17% | Stop |
| 2020-04-01 | 2022-05-09 | Completed | 33.33% | $113.86 | $191.68 | 68.34% | Stop |
| 2022-03-02 | 2022-03-21 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2022-02-25 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2022-02-25 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-08-11 | 2022-02-25 | Completed | 33.33% | $157.57 | $204.52 | 29.79% | Stop |
| 2020-06-25 | 2022-02-25 | Completed | 33.33% | $141.38 | $204.52 | 44.66% | Stop |
| 2020-06-17 | 2020-08-11 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.64% | Interest Income |
| 2020-06-02 | 2020-06-25 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.62% | Interest Income |
| 2020-03-24 | 2020-06-17 | Completed | 33.33% | $107.37 | $145.98 | 35.96% | Signal |
| 2020-04-08 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2020-03-24 | 2020-04-08 | Completed | 33.33% | $107.37 | $122.67 | 14.25% | Signal |
| 2020-03-10 | 2020-04-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2019-01-16 | 2020-03-10 | Completed | 33.33% | $119.70 | $131.76 | 10.07% | Stop |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2019-06-19 | 2020-03-02 | Completed | 33.33% | $134.57 | $138.20 | 2.70% | Stop |
| 2019-03-27 | 2020-03-02 | Completed | 33.33% | $129.51 | $138.20 | 6.71% | Stop |
| 2019-03-04 | 2019-06-19 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.00% | Interest Income |
| 2019-03-04 | 2019-03-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2019-02-04 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2018-12-04 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2019-01-11 | 2019-02-04 | Completed | 33.33% | $118.32 | $124.26 | 5.02% | Signal |
| 2018-12-21 | 2019-01-16 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2018-12-18 | 2019-01-11 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2016-08-26 | 2018-12-21 | Completed | 33.33% | $95.46 | $112.63 | 17.99% | Stop |
| 2016-07-08 | 2018-12-18 | Completed | 33.33% | $92.08 | $116.86 | 26.91% | Stop |
| 2018-11-29 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2018-07-03 | 2018-11-29 | Completed | 33.33% | $125.25 | $124.81 | -0.35% | Signal |
| 2018-05-23 | 2018-07-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2016-05-02 | 2018-05-23 | Completed | 33.33% | $89.88 | $123.60 | 37.52% | Signal |
| 2016-07-20 | 2016-08-26 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2016-03-08 | 2016-07-20 | Completed | 33.33% | $86.02 | $94.44 | 9.79% | Signal |
| 2016-04-04 | 2016-07-08 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.72% | Interest Income |
| 2016-04-04 | 2016-05-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-03-02 | 2016-03-08 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-02-12 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2011-08-31 | 2016-02-12 | Completed | 33.33% | $48.69 | $79.04 | 62.32% | Stop |
| 2016-01-21 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-11-05 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2015-12-23 | 2016-01-21 | Completed | 33.33% | $88.47 | $80.08 | -9.49% | Stop |
| 2015-11-03 | 2015-12-23 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2015-09-17 | 2015-11-05 | Completed | 33.33% | $86.70 | $90.84 | 4.78% | Signal |
| 2015-09-02 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-09-02 | 2015-09-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2012-08-31 | 2015-08-25 | Completed | 33.33% | $56.97 | $84.83 | 48.90% | Stop |
| 2012-03-13 | 2015-08-25 | Completed | 33.33% | $55.62 | $84.83 | 52.52% | Stop |
| 2012-07-09 | 2012-08-31 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.70% | Interest Income |
| 2011-12-27 | 2012-07-09 | Completed | 33.33% | $50.51 | $54.74 | 8.37% | Signal |
| 2012-01-04 | 2012-03-13 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.83% | Interest Income |
| 2011-12-02 | 2012-01-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-12-02 | 2011-12-27 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2011-10-17 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-08-05 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.07% | Interest Income |
| 2011-08-30 | 2011-10-17 | Completed | 33.33% | $47.98 | $48.47 | 1.02% | Signal |
| 2011-08-09 | 2011-08-31 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-08 | 2011-08-30 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-06-01 | 2011-08-09 | Completed | 33.33% | $41.84 | $45.06 | 7.71% | Stop |
| 2010-11-19 | 2011-08-08 | Completed | 33.33% | $46.94 | $46.27 | -1.41% | Stop |
| 2010-10-12 | 2011-08-05 | Completed | 33.33% | $45.39 | $48.43 | 6.70% | Signal |
| 2010-11-02 | 2010-11-19 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2010-10-18 | 2010-11-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2010-06-01 | 2010-10-18 | Completed | 33.33% | $41.84 | $45.96 | 9.86% | Signal |
| 2010-09-02 | 2010-10-12 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-07-20 | 2010-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-06-01 | 2010-07-20 | Completed | 33.33% | $41.84 | $40.84 | -2.38% | Signal |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2009-07-22 | 2010-05-07 | Completed | 33.33% | $35.50 | $43.53 | 22.61% | Stop |
| 2009-07-22 | 2010-05-07 | Completed | 33.33% | $35.50 | $43.53 | 22.61% | Stop |
| 2009-05-27 | 2010-05-07 | Completed | 33.33% | $33.90 | $43.53 | 28.42% | Stop |
| 2009-07-02 | 2009-07-22 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2009-07-02 | 2009-07-22 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2009-06-02 | 2009-07-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2009-06-02 | 2009-07-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2009-05-04 | 2009-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2009-05-04 | 2009-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2009-05-04 | 2009-05-27 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2009-04-02 | 2009-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-04-02 | 2009-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-04-02 | 2009-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-01-05 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2009-01-05 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2009-01-05 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2008-09-03 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income |
| 2008-09-03 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income |
| 2008-09-03 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income |
| 2008-08-05 | 2008-09-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2008-07-25 | 2008-09-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2008-06-03 | 2008-09-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income |
| 2008-06-11 | 2008-08-05 | Completed | 33.33% | $49.24 | $45.89 | -6.80% | Signal |
| 2008-02-13 | 2008-07-25 | Completed | 33.33% | $48.82 | $45.82 | -6.15% | Signal |
| 2008-06-03 | 2008-06-11 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2008-01-07 | 2008-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 1.22% | Interest Income |
| 2008-01-02 | 2008-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 1.35% | Interest Income |
| 2008-01-22 | 2008-02-13 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2003-09-05 | 2008-01-22 | Completed | 33.33% | $32.78 | $44.45 | 35.59% | Stop |
| 2006-11-29 | 2008-01-07 | Completed | 33.33% | $48.58 | $50.34 | 3.62% | Signal |
| 2007-12-05 | 2008-01-02 | Completed | 33.33% | $52.28 | $52.19 | -0.17% | Signal |
| 2007-09-17 | 2007-12-05 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 1.24% | Interest Income |
| 2006-10-09 | 2007-09-17 | Completed | 33.33% | $46.74 | $52.32 | 11.95% | Signal |
| 2006-10-05 | 2006-11-29 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.75% | Interest Income |
| 2006-06-27 | 2006-10-09 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.41% | Interest Income |
| 2004-12-15 | 2006-10-05 | Completed | 33.33% | $39.85 | $46.66 | 17.10% | Signal |
| 2005-12-13 | 2006-06-27 | Completed | 33.33% | $43.16 | $43.36 | 0.45% | Signal |
| 2005-11-18 | 2005-12-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2005-07-18 | 2005-11-18 | Completed | 33.33% | $41.47 | $42.54 | 2.58% | Signal |
| 2005-05-06 | 2005-07-18 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.58% | Interest Income |
| 2004-11-04 | 2005-05-06 | Completed | 33.33% | $37.66 | $39.27 | 4.25% | Signal |
| 2004-10-20 | 2004-12-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2004-06-09 | 2004-11-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.63% | Interest Income |
| 2003-06-17 | 2004-10-20 | Completed | 33.33% | $31.84 | $36.16 | 13.59% | Signal |
| 2003-06-17 | 2004-06-09 | Completed | 33.33% | $31.84 | $37.07 | 16.44% | Signal |
| 2003-06-13 | 2003-09-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income |
| 2003-06-13 | 2003-06-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2003-06-13 | 2003-06-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |