Aggregate Trend Following Report

This is the companion report to the following blog post. Tax rates have a material impact on results; see the post for details.

This report was generated with the following assumptions.

Disclaimer

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Summary Statistics by Method

Excess Return Method

Ticker Method CAGR Buy & Hold CAGR Method Max Drawdown Buy & Hold Drawdown Method Sharpe Ratio Buy & Hold Sharpe Ratio
ACWI 6.2 10.3 -31.2 -56.3 0.43 0.49
AVEM 9.0 9.8 -23.1 -36.0 0.55 0.68
AVUV 8.0 12.1 -27.0 -49.4 0.41 0.64
CGDV 22.7 22.9 -14.3 -21.8 1.08 1.17
CGGR 18.5 18.6 -23.4 -28.9 0.67 0.77
COWZ 5.8 16.4 -25.1 -38.6 0.38 0.72
DFAC 17.2 19.0 -20.0 -23.1 0.91 0.69
DFUS 20.0 20.3 -19.4 -24.6 1.02 0.74
DGRO 11.2 13.3 -31.5 -35.1 0.70 0.80
DGRW 9.3 12.6 -32.0 -32.0 0.60 0.87
DIA 9.3 8.0 -32.4 -51.9 0.67 0.56
DVY 10.6 8.6 -31.1 -62.6 0.73 0.55
DYNF 10.0 14.7 -27.7 -34.7 0.59 0.83
EEM 3.8 7.1 -47.1 -66.4 0.27 0.48
EFA 6.8 7.7 -33.4 -61.0 0.47 0.41
EFV 5.6 4.4 -28.2 -63.9 0.41 0.38
FNDF 6.8 10.0 -25.6 -40.1 0.56 0.60
FNDX 10.9 13.0 -32.9 -37.7 0.66 0.81
FTEC 17.2 21.4 -37.4 -35.0 0.75 0.91
GDX 5.0 6.0 -60.7 -80.6 0.30 0.37
IDEV 8.6 11.2 -29.5 -34.8 0.54 0.63
IEFA 4.6 8.2 -30.3 -34.8 0.37 0.59
IEMG 3.4 6.9 -32.6 -38.7 0.28 0.41
IJH 8.1 9.9 -35.1 -55.1 0.55 0.54
IJR 7.4 9.5 -28.0 -58.2 0.49 0.52
ITOT 10.3 10.5 -31.5 -55.2 0.68 0.62
IUSG 11.0 11.9 -36.8 -63.3 0.70 0.46
IUSV 10.4 10.1 -28.9 -60.2 0.73 0.52
IVE 8.3 8.6 -31.6 -61.3 0.60 0.48
IVV 11.5 10.1 -30.1 -55.2 0.77 0.51
IVW 10.2 11.1 -35.8 -57.3 0.67 0.51
IWB 10.0 10.1 -31.1 -55.4 0.70 0.51
IWD 7.9 8.5 -29.4 -60.1 0.59 0.50
IWF 11.3 11.4 -35.8 -64.2 0.71 0.48
IWM 5.7 8.8 -38.6 -58.6 0.39 0.46
IWP 12.7 10.9 -40.2 -56.9 0.74 0.51
IWR 10.4 10.6 -30.1 -58.8 0.68 0.57
IWV 10.8 10.1 -31.6 -55.6 0.73 0.51
IWY 15.8 18.0 -36.0 -32.7 0.85 0.92
IXUS 5.8 7.9 -31.6 -36.2 0.46 0.56
IYW 13.4 13.5 -42.0 -81.9 0.70 0.43
JEPI 10.2 10.1 -13.3 -13.7 0.77 1.13
JEPQ 17.2 17.9 -20.1 -20.1 0.72 0.93
MDY 8.1 10.9 -33.7 -55.3 0.52 0.60
MGK 13.8 15.9 -38.7 -48.0 0.74 0.69
MTUM 11.5 13.7 -35.4 -34.1 0.61 0.80
OEF 8.8 11.0 -28.0 -54.1 0.61 0.50
QQQ 12.1 11.5 -32.1 -83.0 0.68 0.50
QQQM 28.0 28.4 -22.7 -35.0 1.10 0.75
QUAL 8.3 13.1 -29.7 -34.1 0.53 0.82
RDVY 13.6 15.0 -32.4 -40.6 0.72 0.71
RSP 10.8 10.3 -29.5 -59.9 0.70 0.64
SCHA 3.1 10.9 -53.1 -42.4 0.25 0.63
SCHB 11.8 14.0 -31.6 -35.3 0.74 0.84
SCHD 9.9 12.1 -28.9 -33.4 0.66 0.88
SCHF 5.4 8.2 -31.1 -34.9 0.43 0.51
SCHG 14.5 17.1 -37.8 -34.6 0.78 0.84
SCHX 11.7 14.3 -30.8 -34.3 0.74 0.86
SDY 8.4 9.4 -29.4 -54.8 0.61 0.56
SMH 14.8 14.7 -50.6 -85.9 0.66 0.43
SOXX 12.8 15.5 -50.6 -70.2 0.58 0.52
SPDW 4.7 9.6 -31.5 -60.0 0.36 0.34
SPY 11.3 10.9 -30.4 -55.2 0.75 0.64
SPYG 10.5 12.5 -36.3 -67.6 0.68 0.42
SPYM 11.7 10.9 -26.8 -54.5 0.76 0.66
SPYV 9.3 9.9 -31.6 -58.4 0.66 0.50
TQQQ 24.0 39.4 -74.1 -81.7 0.64 0.87
USMV 9.2 10.9 -32.4 -33.1 0.69 0.91
VB 6.5 9.2 -34.1 -59.6 0.43 0.53
VBK 8.3 9.2 -40.3 -58.7 0.49 0.51
VBR 5.2 8.8 -34.1 -62.0 0.38 0.51
VEA 4.4 8.5 -32.3 -60.7 0.34 0.35
VEU 6.2 10.4 -36.4 -61.5 0.42 0.35
VGK 2.7 5.3 -43.0 -63.6 0.23 0.39
VGT 14.0 15.2 -37.5 -54.6 0.72 0.69
VHT 11.4 10.4 -28.9 -39.1 0.76 0.64
VIG 10.8 10.6 -31.7 -46.8 0.74 0.65
VO 9.0 9.4 -30.9 -58.9 0.58 0.58
VOE 8.1 10.6 -32.3 -61.5 0.56 0.53
VONG 14.1 16.4 -35.9 -32.7 0.76 0.90
VOO 12.6 14.5 -30.2 -34.0 0.78 0.88
VOOG 13.9 16.0 -35.8 -32.7 0.76 0.89
VOT 8.4 10.2 -39.1 -60.2 0.51 0.53
VT 6.9 11.0 -31.4 -50.3 0.48 0.51
VTI 11.1 11.0 -31.5 -55.5 0.74 0.57
VTV 9.1 9.3 -31.1 -59.3 0.64 0.58
VUG 11.8 12.4 -39.0 -50.7 0.68 0.66
VV 9.9 10.9 -30.3 -54.8 0.65 0.64
VWO 1.3 5.2 -59.1 -67.7 0.16 0.39
VXF 9.3 9.9 -39.0 -58.0 0.57 0.53
VXUS 3.7 7.5 -41.4 -36.0 0.32 0.46
VYM 8.0 12.5 -30.0 -57.0 0.59 0.58
XLC 18.0 15.3 -37.8 -46.7 0.83 0.65
XLE 4.9 8.1 -59.2 -71.3 0.32 0.44
XLF 3.7 5.4 -44.3 -82.7 0.29 0.34
XLI 7.9 9.2 -37.0 -62.3 0.52 0.54
XLK 11.9 9.9 -37.7 -82.0 0.65 0.48
XLU 7.3 7.9 -38.8 -52.3 0.52 0.50
XLV 7.8 8.9 -28.4 -39.2 0.60 0.55
XLY 7.3 10.8 -40.7 -59.0 0.48 0.52

Moving Average Method

Ticker Method CAGR Buy & Hold CAGR Method Max Drawdown Buy & Hold Drawdown Method Sharpe Ratio Buy & Hold Sharpe Ratio
ACWI 6.9 10.3 -31.3 -56.3 0.52 0.49
AVEM 7.3 9.8 -19.5 -36.0 0.53 0.68
AVUV 7.0 12.1 -22.5 -49.4 0.39 0.64
CGDV 17.7 22.9 -14.3 -21.8 0.92 1.17
CGGR 11.1 18.6 -23.4 -28.9 0.46 0.77
COWZ 2.9 16.4 -38.0 -38.6 0.23 0.72
DFAC 12.6 19.0 -20.0 -23.1 0.69 0.69
DFUS 14.0 20.3 -19.4 -24.6 0.76 0.74
DGRO 6.3 13.3 -34.9 -35.1 0.47 0.80
DGRW 6.0 12.6 -32.0 -32.0 0.45 0.87
DIA 5.9 8.0 -34.5 -51.9 0.50 0.56
DVY 10.0 8.6 -31.1 -62.6 0.77 0.55
DYNF 12.4 14.7 -18.7 -34.7 0.78 0.83
EEM 6.3 7.1 -42.1 -66.4 0.41 0.48
EFA 6.4 7.7 -33.6 -61.0 0.49 0.41
EFV 5.2 4.4 -46.0 -63.9 0.40 0.38
FNDF 6.6 10.0 -37.2 -40.1 0.50 0.60
FNDX 6.8 13.0 -34.8 -37.7 0.49 0.81
FTEC 14.2 21.4 -31.9 -35.0 0.70 0.91
GDX 0.6 6.0 -82.6 -80.6 0.15 0.37
IDEV 6.9 11.2 -29.5 -34.8 0.50 0.63
IEFA 5.2 8.2 -30.5 -34.8 0.43 0.59
IEMG 5.4 6.9 -36.7 -38.7 0.40 0.41
IJH 6.7 9.9 -33.9 -55.1 0.50 0.54
IJR 4.1 9.5 -48.7 -58.2 0.32 0.52
ITOT 9.3 10.5 -30.1 -55.2 0.69 0.62
IUSG 8.7 11.9 -32.9 -63.3 0.63 0.46
IUSV 9.7 10.1 -33.0 -60.2 0.77 0.52
IVE 9.6 8.6 -32.7 -61.3 0.75 0.48
IVV 9.7 10.1 -29.4 -55.2 0.74 0.51
IVW 9.0 11.1 -29.7 -57.3 0.66 0.51
IWB 9.4 10.1 -30.1 -55.4 0.73 0.51
IWD 8.5 8.5 -29.4 -60.1 0.69 0.50
IWF 9.9 11.4 -29.5 -64.2 0.70 0.48
IWM 4.2 8.8 -43.1 -58.6 0.32 0.46
IWP 7.6 10.9 -27.1 -56.9 0.53 0.51
IWR 8.5 10.6 -30.1 -58.8 0.64 0.57
IWV 9.6 10.1 -31.0 -55.6 0.73 0.51
IWY 13.0 18.0 -27.6 -32.7 0.79 0.92
IXUS 5.1 7.9 -34.6 -36.2 0.42 0.56
IYW 12.1 13.5 -31.4 -81.9 0.72 0.43
JEPI 8.7 10.1 -13.3 -13.7 0.79 1.13
JEPQ 14.0 17.9 -20.1 -20.1 0.62 0.93
MDY 7.0 10.9 -35.3 -55.3 0.49 0.60
MGK 11.4 15.9 -29.7 -48.0 0.70 0.69
MTUM 8.6 13.7 -32.0 -34.1 0.51 0.80
OEF 8.5 11.0 -28.6 -54.1 0.65 0.50
QQQ 12.3 11.5 -28.6 -83.0 0.76 0.50
QQQM 20.9 28.4 -22.7 -35.0 0.90 0.75
QUAL 7.5 13.1 -28.5 -34.1 0.54 0.82
RDVY 11.6 15.0 -32.4 -40.6 0.70 0.71
RSP 9.2 10.3 -29.5 -59.9 0.71 0.64
SCHA 5.1 10.9 -40.9 -42.4 0.38 0.63
SCHB 9.6 14.0 -30.6 -35.3 0.70 0.84
SCHD 5.7 12.1 -28.0 -33.4 0.45 0.88
SCHF 4.3 8.2 -35.4 -34.9 0.38 0.51
SCHG 13.8 17.1 -30.6 -34.6 0.82 0.84
SCHX 9.7 14.3 -29.8 -34.3 0.70 0.86
SDY 7.3 9.4 -30.9 -54.8 0.60 0.56
SMH 15.0 14.7 -34.4 -85.9 0.70 0.43
SOXX 14.3 15.5 -36.4 -70.2 0.68 0.52
SPDW 3.9 9.6 -35.1 -60.0 0.32 0.34
SPY 10.8 10.9 -29.5 -55.2 0.79 0.64
SPYG 8.8 12.5 -29.3 -67.6 0.64 0.42
SPYM 10.0 10.9 -26.8 -54.5 0.77 0.66
SPYV 8.8 9.9 -36.7 -58.4 0.70 0.50
TQQQ 16.5 39.4 -63.2 -81.7 0.53 0.87
USMV 7.5 10.9 -33.6 -33.1 0.63 0.91
VB 6.0 9.2 -34.3 -59.6 0.44 0.53
VBK 5.6 9.2 -31.6 -58.7 0.40 0.51
VBR 6.0 8.8 -41.2 -62.0 0.44 0.51
VEA 4.0 8.5 -33.2 -60.7 0.33 0.35
VEU 5.0 10.4 -36.7 -61.5 0.38 0.35
VGK 5.2 5.3 -30.6 -63.6 0.39 0.39
VGT 11.4 15.2 -31.8 -54.6 0.67 0.69
VHT 6.7 10.4 -30.4 -39.1 0.52 0.64
VIG 9.2 10.6 -31.7 -46.8 0.70 0.65
VO 7.2 9.4 -29.7 -58.9 0.54 0.58
VOE 8.0 10.6 -32.3 -61.5 0.59 0.53
VONG 11.8 16.4 -29.3 -32.7 0.72 0.90
VOO 9.6 14.5 -30.4 -34.0 0.68 0.88
VOOG 11.6 16.0 -31.0 -32.7 0.72 0.89
VOT 6.6 10.2 -34.1 -60.2 0.45 0.53
VT 7.2 11.0 -31.7 -50.3 0.55 0.51
VTI 9.5 11.0 -30.0 -55.5 0.72 0.57
VTV 7.8 9.3 -31.7 -59.3 0.62 0.58
VUG 10.4 12.4 -30.3 -50.7 0.69 0.66
VV 8.8 10.9 -30.6 -54.8 0.66 0.64
VWO 4.4 5.2 -45.5 -67.7 0.33 0.39
VXF 7.0 9.9 -32.7 -58.0 0.50 0.53
VXUS 4.6 7.5 -39.6 -36.0 0.38 0.46
VYM 6.6 12.5 -34.9 -57.0 0.54 0.58
XLC 23.6 15.3 -18.0 -46.7 1.19 0.65
XLE 8.0 8.1 -35.2 -71.3 0.47 0.44
XLF 7.3 5.4 -34.6 -82.7 0.51 0.34
XLI 6.9 9.2 -32.1 -62.3 0.51 0.54
XLK 11.0 9.9 -30.8 -82.0 0.70 0.48
XLU 6.6 7.9 -41.6 -52.3 0.50 0.50
XLV 4.2 8.9 -37.2 -39.2 0.36 0.55
XLY 6.0 10.8 -39.1 -59.0 0.43 0.52

Distribution of Trade Durations

Distribution of Final Simulation CAGR

Distribution of Max Drawdown

Distribution of Sharpe Ratio by Method

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