VTI
Vanguard Total Stock Market Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-12
Executive Summary
The quantitative backtest for VTI (Vanguard Total Stock Market Index Fund ETF) using the Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -20.5% (compared to the benchmark's drawdown of -55.5%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 11.1%, compared to a Buy-and-Hold benchmark return of 11.2%. The strategy executed 13 total trades.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
📊 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
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active
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.
Switch to MMA to enable
VTI Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 24.80% | 24.80% | 10.30% | 12.18% | 13.85% | 15.01% | 11.09% | 11.23% |
| Sharpe Ratio | 1.76 | 1.76 | 0.76 | 0.66 | 1.00 | 0.76 | 0.86 | 0.57 |
| Max Drawdown | -8.92% | -8.92% | -20.54% | -25.36% | -20.54% | -35.00% | -20.54% | -55.45% |
| % Time Invested | 100.0% | 100.0% | 80.7% | 100.0% | 84.1% | 100.0% | 79.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.4 | 0.0 | 0.6 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-05-01 | Open | Open | 100% | $272.06 | $366.36 | 34.66% | Mark-to-Market |
| 2025-04-07 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2023-01-30 | 2025-04-07 | Completed | 100% | $193.50 | $237.20 | 22.58% | Stop |
| 2022-03-08 | 2023-01-30 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.37% | Interest Income |
| 2020-07-08 | 2022-03-08 | Completed | 100% | $146.80 | $198.68 | 35.34% | Signal |
| 2020-03-31 | 2020-07-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2020-03-24 | 2020-03-31 | Completed | 100% | $107.37 | $120.14 | 11.89% | Signal |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2019-03-27 | 2020-03-02 | Completed | 100% | $129.51 | $138.20 | 6.71% | Stop |
| 2018-12-10 | 2019-03-27 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.70% | Interest Income |
| 2016-04-26 | 2018-12-10 | Completed | 100% | $90.72 | $120.02 | 32.30% | Signal |
| 2016-01-08 | 2016-04-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2015-12-30 | 2016-01-08 | Completed | 100% | $89.60 | $84.23 | -5.99% | Signal |
| 2015-08-25 | 2015-12-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2012-01-30 | 2015-08-25 | Completed | 100% | $52.53 | $84.83 | 61.50% | Stop |
| 2011-08-09 | 2012-01-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-10-14 | 2011-08-09 | Completed | 100% | $46.00 | $45.06 | -2.04% | Stop |
| 2010-07-13 | 2010-10-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2010-06-01 | 2010-07-13 | Completed | 100% | $41.84 | $42.12 | 0.68% | Signal |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2009-06-18 | 2010-05-07 | Completed | 100% | $34.10 | $43.53 | 27.66% | Stop |
| 2007-12-28 | 2009-06-18 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.50% | Interest Income |
| 2006-09-11 | 2007-12-28 | Completed | 100% | $44.89 | $52.92 | 17.89% | Signal |
| 2006-07-26 | 2006-09-11 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.63% | Interest Income |
| 2004-10-29 | 2006-07-26 | Completed | 100% | $37.10 | $43.78 | 18.01% | Signal |
| 2004-08-23 | 2004-10-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2003-06-17 | 2004-08-23 | Completed | 100% | $31.84 | $35.81 | 12.49% | Signal |
| 2003-06-13 | 2003-06-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |