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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -20.6% (compared to the benchmark's drawdown of -55.5%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 11.0%, 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for VTI:
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 Model
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.
Switch to MMA to enable
🛡️ VTI Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-20.6% (vs -55.5% B&H)
+34.8% shallower drawdown
Downside Efficiency
0.96 Sortino
+0.27 vs 0.69 B&H
Capital Sheltered from Risk
20.7% 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% | -20.62% | -25.36% | -20.62% | -35.00% | -20.62% | -55.45% |
| Sharpe Ratio | 1.22 | 1.22 | 0.73 | 0.64 | 0.99 | 0.75 | 0.86 | 0.57 |
| Sortino Ratio | 1.78 | 1.78 | 0.85 | 0.88 | 1.13 | 0.89 | 0.96 | 0.69 |
| CAGR | 17.23% | 17.23% | 9.94% | 11.86% | 13.60% | 14.81% | 11.04% | 11.24% |
| % Time Invested | 100.0% | 100.0% | 80.7% | 100.0% | 84.1% | 100.0% | 79.3% | 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
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Loading Top Diversifiers for VTI... 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 | ||||||||
| 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% | $192.95 | $236.52 | 22.52% | 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% | $146.38 | $198.11 | 35.27% | 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% | $107.06 | $119.79 | 11.84% | 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% | $129.14 | $137.81 | 6.66% | 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% | $90.46 | $119.68 | 32.24% | 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% | $89.34 | $83.99 | -6.04% | 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% | $52.38 | $84.59 | 61.42% | 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% | $45.87 | $44.93 | -2.09% | 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% | $41.72 | $42.00 | 0.63% | 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% | $34.00 | $43.40 | 27.60% | 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% | $44.76 | $52.77 | 17.83% | 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% | $36.99 | $43.65 | 17.95% | 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% | $31.75 | $35.71 | 12.43% | Signal | |
| 2003-06-13 | 2003-06-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |