VTI

Vanguard Total Stock Market Index Fund ETF

TREND FOLLOWING PERFORMANCE HISTORY

2026-09-11

Executive Summary

The quantitative backtest for VTI (Vanguard Total Stock Market 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 -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 10.9%, compared to a Buy-and-Hold benchmark return of 11.2%. The strategy executed 50 total trades.

* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.

📊 Strategy Model 4 Models Available

Compare quantitative moving average overlays for VTI:

Excess Return MMA Active Model

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.

🎯 Trading Horizon

Select risk profile & execution style for VTI:

🛡️ Long-Term Investing Active Horizon

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.

🛡️ VTI Drawdown Shield & Downside Protection

Why Drawdown Dictates Longevity →

Peak Drawdown Defense

-20.3% (vs -55.5% B&H)

+35.1% shallower drawdown

Downside Efficiency

1.05 Sortino

+0.36 vs 0.69 B&H

Capital Sheltered from Risk

20.0% of Time

Earning Treasury yield during downturns

* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.

📊 VTI Quality Metrics & KPI Summary

Metric	1Y		5Y		10Y		Full
	Strategy	B&H	Strategy	B&H	Strategy	B&H	Strategy	B&H
Max Drawdown	-8.92%	-8.92%	-18.81%	-25.36%	-18.81%	-35.00%	-20.34%	-55.45%
Sharpe Ratio	1.05	1.22	0.67	0.64	1.03	0.75	0.86	0.57
Sortino Ratio	1.49	1.78	0.84	0.88	1.25	0.89	1.05	0.69
CAGR	14.30%	17.23%	8.37%	11.86%	13.99%	14.81%	10.91%	11.24%
% Time Invested	97.0%	100.0%	74.9%	100.0%	82.5%	100.0%	80.0%	100.0%
Trades / Year	0.0	0.0	1.8	0.0	1.9	0.0	2.2	0.0

Cumulative Growth Performance

Hydrating Performance Trajectory... Loading historical performance data

Figure 1: Cumulative Trajectory Analysis. Logarithmic growth comparison of VTI under the Excess Return MMA strategy (Investing) versus Buy & Hold. The strategy produced a 10.9% CAGR with a -20.3% Max Drawdown across 50 trade signals (compared to Buy & Hold's 11.2% CAGR and -55.5% Max Drawdown).

Histogram of monthly return distribution for VTI under Excess Return MMA strategy in Investing context, illustrating downside risk mitigation and return skewness. — **Figure 2: Monthly Return Distribution Profile.** Monthly return distribution for **VTI** under **Excess Return MMA** (Investing). Visualizes return frequency, volatility clustering, and tail-risk truncation relative to standard buy-and-hold returns.

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Top Diversifiers for VTI

Explore Correlation Across Horizons →

Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.

Diversifier Asset	Category	1Y Correlation (r)	Action
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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. Subscribe to Unlock
2026-04-10	2026-05-11	Interest (CASH)	33.33%	$1.00	$1.00	0.30%	Interest Income
2025-05-01	2026-04-10	Completed	33.33%	$271.28	$335.17	23.49%	Signal
2025-06-27	2025-09-15	Interest (CASH)	33.33%	$1.00	$1.01	0.91%	Interest Income
2025-04-30	2025-06-27	Completed	33.33%	$265.20	$298.29	12.42%	Signal
2025-03-27	2025-05-01	Interest (CASH)	33.33%	$1.00	$1.00	0.40%	Interest Income
2025-04-07	2025-04-30	Interest (CASH)	33.33%	$1.00	$1.00	0.27%	Interest Income
2025-04-07	2025-04-30	Interest (CASH)	33.33%	$1.00	$1.00	0.27%	Interest Income
2023-11-08	2025-04-07	Completed	33.33%	$208.74	$236.52	13.25%	Stop
2023-04-20	2025-04-07	Completed	33.33%	$195.81	$236.52	20.73%	Stop
2024-01-04	2025-03-27	Completed	33.33%	$226.03	$275.40	21.78%	Signal
2023-11-03	2024-01-04	Interest (CASH)	33.33%	$1.00	$1.01	0.87%	Interest Income
2022-10-31	2023-11-08	Interest (CASH)	33.33%	$1.00	$1.05	5.20%	Interest Income
2023-01-30	2023-11-03	Completed	33.33%	$192.95	$206.79	7.12%	Signal
2022-05-10	2023-04-20	Interest (CASH)	33.33%	$1.00	$1.03	3.34%	Interest Income
2022-02-25	2023-01-30	Interest (CASH)	33.33%	$1.00	$1.02	2.38%	Interest Income
2022-10-20	2022-10-31	Completed	33.33%	$175.18	$184.15	5.07%	Signal
2022-09-28	2022-10-20	Interest (CASH)	33.33%	$1.00	$1.00	0.23%	Interest Income
2022-06-01	2022-09-28	Completed	33.33%	$195.52	$173.29	-11.41%	Stop
2022-05-09	2022-06-01	Interest (CASH)	33.33%	$1.00	$1.00	0.06%	Interest Income
2022-03-21	2022-05-10	Completed	33.33%	$211.59	$190.08	-10.21%	Stop
2020-04-01	2022-05-09	Completed	33.33%	$113.54	$191.13	68.25%	Stop
2022-02-25	2022-03-21	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income
2020-08-11	2022-02-25	Completed	33.33%	$157.12	$203.93	29.73%	Stop
2020-06-25	2022-02-25	Completed	33.33%	$140.98	$203.93	44.59%	Stop
2020-06-17	2020-08-11	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income
2020-04-08	2020-06-25	Interest (CASH)	33.33%	$1.00	$1.00	0.03%	Interest Income
2020-03-24	2020-06-17	Completed	33.33%	$107.06	$145.56	35.89%	Signal
2020-03-24	2020-04-08	Completed	33.33%	$107.06	$122.32	14.19%	Signal
2020-03-10	2020-04-01	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2020-03-02	2020-03-24	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income
2020-03-02	2020-03-24	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income
2019-01-16	2020-03-10	Completed	33.33%	$119.36	$131.38	10.02%	Stop
2019-06-19	2020-03-02	Completed	33.33%	$134.18	$137.81	2.65%	Stop
2019-03-27	2020-03-02	Completed	33.33%	$129.14	$137.81	6.66%	Stop
2019-02-04	2019-06-19	Interest (CASH)	33.33%	$1.00	$1.01	0.89%	Interest Income
2018-11-29	2019-03-27	Interest (CASH)	33.33%	$1.00	$1.01	0.76%	Interest Income
2019-01-11	2019-02-04	Completed	33.33%	$117.98	$123.91	4.97%	Signal
2018-12-21	2019-01-16	Interest (CASH)	33.33%	$1.00	$1.00	0.15%	Interest Income
2018-12-18	2019-01-11	Interest (CASH)	33.33%	$1.00	$1.00	0.15%	Interest Income
2016-08-26	2018-12-21	Completed	33.33%	$95.19	$112.31	17.93%	Stop
2016-07-08	2018-12-18	Completed	33.33%	$91.82	$116.52	26.85%	Stop
2018-07-03	2018-11-29	Completed	33.33%	$124.89	$124.45	-0.40%	Signal
2018-05-23	2018-07-03	Interest (CASH)	33.33%	$1.00	$1.00	0.21%	Interest Income
2016-05-02	2018-05-23	Completed	33.33%	$89.62	$123.25	37.45%	Signal
2016-07-20	2016-08-26	Interest (CASH)	33.33%	$1.00	$1.00	0.03%	Interest Income
2016-03-08	2016-07-20	Completed	33.33%	$85.78	$94.17	9.73%	Signal
2015-11-05	2016-07-08	Interest (CASH)	33.33%	$1.00	$1.00	0.17%	Interest Income
2016-01-21	2016-05-02	Interest (CASH)	33.33%	$1.00	$1.00	0.08%	Interest Income
2016-02-12	2016-03-08	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income
2011-08-31	2016-02-12	Completed	33.33%	$48.55	$78.81	62.24%	Stop
2015-12-23	2016-01-21	Completed	33.33%	$88.22	$79.85	-9.54%	Stop
2015-08-25	2015-12-23	Interest (CASH)	33.33%	$1.00	$1.00	0.03%	Interest Income
2015-09-17	2015-11-05	Completed	33.33%	$86.45	$90.58	4.72%	Signal
2015-08-25	2015-09-17	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2012-08-31	2015-08-25	Completed	33.33%	$56.81	$84.59	48.83%	Stop
2012-03-13	2015-08-25	Completed	33.33%	$55.46	$84.59	52.44%	Stop
2012-07-09	2012-08-31	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income
2011-12-27	2012-07-09	Completed	33.33%	$50.37	$54.58	8.32%	Signal
2011-10-17	2012-03-13	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income
2011-08-05	2011-12-27	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2011-08-30	2011-10-17	Completed	33.33%	$47.84	$48.33	0.97%	Signal
2011-08-09	2011-08-31	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2011-08-08	2011-08-30	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2010-06-01	2011-08-09	Completed	33.33%	$41.72	$44.93	7.65%	Stop
2010-11-19	2011-08-08	Completed	33.33%	$46.80	$46.14	-1.46%	Stop
2010-10-12	2011-08-05	Completed	33.33%	$45.26	$48.29	6.64%	Signal
2010-10-18	2010-11-19	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2010-06-01	2010-10-18	Completed	33.33%	$41.72	$45.83	9.81%	Signal
2010-07-20	2010-10-12	Interest (CASH)	33.33%	$1.00	$1.00	0.04%	Interest Income
2010-06-01	2010-07-20	Completed	33.33%	$41.72	$40.72	-2.43%	Signal
2010-05-07	2010-06-01	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2010-05-07	2010-06-01	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2010-05-07	2010-06-01	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2009-07-22	2010-05-07	Completed	33.33%	$35.40	$43.40	22.55%	Stop
2009-07-22	2010-05-07	Completed	33.33%	$35.40	$43.40	22.55%	Stop
2009-05-27	2010-05-07	Completed	33.33%	$33.80	$43.40	28.35%	Stop
2008-07-25	2009-07-22	Interest (CASH)	33.33%	$1.00	$1.00	0.46%	Interest Income
2008-01-07	2009-07-22	Interest (CASH)	33.33%	$1.00	$1.01	1.46%	Interest Income
2008-08-05	2009-05-27	Interest (CASH)	33.33%	$1.00	$1.00	0.38%	Interest Income
2008-06-11	2008-08-05	Completed	33.33%	$49.10	$45.76	-6.85%	Signal
2008-02-13	2008-07-25	Completed	33.33%	$48.68	$45.69	-6.20%	Signal
2008-01-02	2008-06-11	Interest (CASH)	33.33%	$1.00	$1.01	0.82%	Interest Income
2008-01-22	2008-02-13	Interest (CASH)	33.33%	$1.00	$1.00	0.14%	Interest Income
2003-09-05	2008-01-22	Completed	33.33%	$32.69	$44.32	35.52%	Stop
2006-11-29	2008-01-07	Completed	33.33%	$48.45	$50.20	3.57%	Signal
2007-12-05	2008-01-02	Completed	33.33%	$52.13	$52.04	-0.22%	Signal
2007-09-17	2007-12-05	Interest (CASH)	33.33%	$1.00	$1.01	0.81%	Interest Income
2006-10-09	2007-09-17	Completed	33.33%	$46.60	$52.17	11.89%	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%	$39.73	$46.53	17.04%	Signal
2005-12-13	2006-06-27	Completed	33.33%	$43.04	$43.23	0.40%	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%	$41.35	$42.42	2.53%	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%	$37.56	$39.15	4.20%	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%	$31.75	$36.06	13.53%	Signal
2003-06-17	2004-06-09	Completed	33.33%	$31.75	$36.96	16.38%	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

Next Steps: Portfolio Integration & Comparative Analysis

Single-ticker trend following is designed to truncate tail risk inside a broader portfolio. View where VTI ranks across 40+ tracked assets, evaluate correlation against non-correlated diversifiers, or model it inside a custom all-weather asset mix.

📊 View Full 40-Asset Backtest Matrix → 🛠️ Build Custom Portfolio with VTI → ⚖️ Compare VTI vs Non-Correlated Assets →

VTI