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
AAPL 22.0 21.2 -71.5 -81.8 0.74 0.67
ABBV 8.3 16.4 -53.4 -45.1 0.42 0.83
ABT 5.2 11.1 -57.1 -45.7 0.34 0.60
ACN 10.0 12.7 -54.4 -59.2 0.52 0.56
ADBE 11.1 13.4 -67.4 -79.9 0.46 0.55
ADI 12.4 19.2 -81.0 -82.9 0.50 0.59
AMAT 17.7 22.7 -82.3 -85.2 0.60 0.65
AMD 0.2 9.6 -93.3 -96.6 0.21 0.48
AMGN 10.3 13.5 -55.0 -60.2 0.48 0.69
AMZN 9.9 16.4 -76.1 -94.4 0.43 0.75
ANET 35.2 41.1 -47.9 -52.2 0.88 0.92
APH 20.1 22.9 -60.6 -63.4 0.73 0.76
APP 120.1 213.6 -55.5 -91.9 1.17 0.88
AVGO 36.1 40.4 -40.4 -48.3 0.98 1.09
AXP 11.9 14.6 -43.2 -83.9 0.56 0.50
BA 7.8 8.8 -74.2 -77.9 0.44 0.42
BAC 8.2 7.7 -49.0 -93.4 0.45 0.37
BKNG 12.3 26.1 -76.8 -99.3 0.49 0.44
BLK 8.8 16.9 -83.3 -60.4 0.44 0.71
BN 16.8 17.3 -44.6 -72.5 0.78 0.63
BSX 16.6 10.0 -55.9 -89.2 0.70 0.42
BX 11.4 20.9 -58.6 -87.6 0.48 0.48
C 6.9 6.2 -74.7 -98.0 0.37 0.36
CAT 10.6 18.3 -56.3 -73.4 0.51 0.63
CB 9.7 15.1 -49.6 -64.2 0.51 0.57
COF 5.2 11.5 -69.0 -90.2 0.31 0.51
COP 10.1 11.4 -43.3 -70.7 0.51 0.48
COST 13.6 15.3 -59.6 -61.7 0.63 0.60
CRM 11.7 18.7 -66.9 -70.5 0.47 0.63
CRWD 4.6 12.3 -49.8 -67.7 0.26 0.77
CSCO 11.9 17.1 -87.3 -89.3 0.51 0.72
CVX 8.6 11.3 -37.8 -55.8 0.49 0.53
DE 9.6 16.3 -66.7 -73.3 0.47 0.58
DHR 15.9 19.7 -57.1 -45.8 0.69 0.75
DIS 5.6 8.5 -60.9 -67.9 0.35 0.40
ETN 9.4 16.0 -42.8 -68.9 0.49 0.64
GE 12.2 10.0 -49.3 -85.5 0.64 0.46
GILD 13.6 21.3 -79.3 -70.8 0.51 0.60
GOOG 12.4 19.6 -57.4 -65.3 0.55 0.89
GS 8.7 11.0 -42.9 -78.8 0.47 0.48
HD 11.7 14.2 -58.2 -70.4 0.58 0.69
HON 12.9 12.4 -46.5 -70.1 0.62 0.55
IBM 8.5 10.0 -48.1 -66.8 0.47 0.46
INTC 9.7 12.6 -67.5 -82.2 0.44 0.50
INTU 5.4 15.2 -85.9 -75.3 0.32 0.57
ISRG 10.4 26.7 -76.7 -82.3 0.44 0.68
JNJ 8.6 11.5 -39.4 -36.5 0.52 0.68
JPM 11.4 14.8 -46.8 -74.0 0.56 0.53
KKR 20.4 18.9 -44.6 -53.1 0.72 0.67
KLAC 9.7 23.5 -93.3 -83.7 0.42 0.64
KO 7.8 8.9 -46.1 -55.0 0.51 0.58
LIN 11.8 15.1 -52.5 -51.8 0.57 0.65
LLY 14.0 15.3 -61.3 -68.3 0.65 0.64
LOW 14.3 19.6 -58.7 -62.3 0.61 0.67
LRCX 13.3 22.8 -87.7 -87.9 0.50 0.66
MA 16.3 18.5 -63.5 -62.7 0.64 0.91
MCD 12.3 13.2 -36.2 -73.6 0.68 0.63
MDT 6.5 10.6 -54.1 -57.6 0.38 0.58
META 15.6 22.6 -51.5 -76.7 0.58 0.72
MRK 5.0 8.3 -61.3 -68.6 0.34 0.50
MS 10.5 12.2 -64.2 -88.1 0.48 0.48
MSFT 15.8 18.1 -61.9 -69.4 0.69 0.77
MU 20.4 18.3 -84.2 -98.2 0.63 0.58
NEE 12.3 13.2 -37.5 -47.8 0.67 0.66
NFLX 13.5 28.0 -85.1 -82.0 0.50 0.79
NOW 18.3 20.4 -56.6 -57.0 0.60 0.76
NVDA 23.1 31.8 -84.3 -89.7 0.67 0.82
ORCL 12.7 20.2 -79.3 -84.2 0.49 0.57
PANW 21.1 23.1 -45.8 -48.0 0.67 0.73
PEP 8.2 9.8 -44.1 -40.4 0.50 0.56
PFE 7.8 8.0 -58.9 -69.3 0.46 0.49
PG 7.9 11.0 -48.3 -54.2 0.47 0.60
PGR 16.8 18.2 -50.6 -71.1 0.79 0.73
PLTR 69.9 132.8 -37.2 -84.6 1.02 1.05
PM 10.4 13.8 -36.0 -42.9 0.56 0.63
QCOM 12.3 16.4 -65.9 -86.8 0.48 0.60
RTX 8.2 14.5 -52.7 -52.7 0.46 0.61
SCCO 12.7 23.2 -67.8 -78.6 0.52 0.68
SCHW 8.3 16.2 -91.0 -86.8 0.39 0.60
SHOP 42.0 33.6 -47.1 -84.8 0.86 0.95
SPGI 11.9 15.2 -58.9 -74.7 0.60 0.63
SPOT 7.0 27.7 -68.7 -80.5 0.32 0.57
SYK 10.5 14.0 -56.5 -58.6 0.49 0.67
T 9.3 8.9 -43.0 -63.9 0.55 0.46
TJX 11.7 19.9 -62.2 -64.6 0.53 0.70
TMO 7.9 12.0 -62.7 -71.2 0.43 0.55
TMUS 14.1 13.2 -63.7 -86.3 0.57 0.42
TSLA 42.2 46.1 -68.3 -73.6 0.89 0.90
TXN 11.7 16.9 -67.5 -85.8 0.49 0.55
UBER -12.7 10.5 -61.7 -68.0 -0.20 0.42
UNH 16.9 16.3 -50.3 -74.4 0.69 0.71
UNP 7.6 13.0 -66.7 -59.4 0.42 0.60
V 14.3 18.8 -37.6 -51.9 0.67 0.78
VRTX 9.2 14.9 -85.2 -91.8 0.40 0.52
VZ 5.8 7.4 -47.3 -56.8 0.40 0.39
WFC 8.4 11.8 -44.8 -79.0 0.47 0.51
WMT 8.7 11.9 -54.8 -42.3 0.48 0.64
XOM 8.5 10.7 -35.1 -62.4 0.50 0.54

Moving Average Method

Ticker Method CAGR Buy & Hold CAGR Method Max Drawdown Buy & Hold Drawdown Method Sharpe Ratio Buy & Hold Sharpe Ratio
AAPL 17.6 21.2 -75.6 -81.8 0.66 0.67
ABBV 9.0 16.4 -33.7 -45.1 0.47 0.83
ABT 6.6 11.1 -38.5 -45.7 0.41 0.60
ACN 8.7 12.7 -35.0 -59.2 0.50 0.56
ADBE 9.0 13.4 -66.2 -79.9 0.42 0.55
ADI 11.2 19.2 -66.2 -82.9 0.48 0.59
AMAT 24.9 22.7 -68.3 -85.2 0.79 0.65
AMD 9.5 9.6 -82.9 -96.6 0.42 0.48
AMGN 5.2 13.5 -69.5 -60.2 0.32 0.69
AMZN 14.5 16.4 -57.0 -94.4 0.55 0.75
ANET 30.2 41.1 -55.7 -52.2 0.80 0.92
APH 16.7 22.9 -64.2 -63.4 0.68 0.76
APP 140.7 213.6 -55.5 -91.9 1.26 0.88
AVGO 24.3 40.4 -45.6 -48.3 0.76 1.09
AXP 11.8 14.6 -44.3 -83.9 0.57 0.50
BA 8.0 8.8 -57.9 -77.9 0.45 0.42
BAC 4.5 7.7 -66.1 -93.4 0.31 0.37
BKNG 11.9 26.1 -76.1 -99.3 0.49 0.44
BLK 10.1 16.9 -52.7 -60.4 0.49 0.71
BN 15.9 17.3 -41.2 -72.5 0.79 0.63
BSX 6.1 10.0 -85.4 -89.2 0.35 0.42
BX 13.0 20.9 -53.6 -87.6 0.56 0.48
C 11.8 6.2 -61.5 -98.0 0.56 0.36
CAT 14.9 18.3 -55.1 -73.4 0.68 0.63
CB 10.5 15.1 -41.4 -64.2 0.58 0.57
COF 3.1 11.5 -87.4 -90.2 0.25 0.51
COP 6.7 11.4 -50.9 -70.7 0.40 0.48
COST 8.5 15.3 -76.2 -61.7 0.46 0.60
CRM 9.1 18.7 -42.2 -70.5 0.42 0.63
CRWD 12.9 12.3 -38.9 -67.7 0.46 0.77
CSCO 15.7 17.1 -61.4 -89.3 0.65 0.72
CVX 7.8 11.3 -40.6 -55.8 0.48 0.53
DE 7.1 16.3 -66.8 -73.3 0.39 0.58
DHR 12.5 19.7 -46.4 -45.8 0.59 0.75
DIS 6.6 8.5 -47.2 -67.9 0.41 0.40
ETN 9.7 16.0 -58.8 -68.9 0.53 0.64
GE 12.4 10.0 -48.3 -85.5 0.65 0.46
GILD 12.6 21.3 -65.9 -70.8 0.50 0.60
GOOG 15.1 19.6 -37.7 -65.3 0.71 0.89
GS 7.3 11.0 -47.3 -78.8 0.44 0.48
HD 8.6 14.2 -59.6 -70.4 0.48 0.69
HON 8.9 12.4 -50.3 -70.1 0.51 0.55
IBM 5.1 10.0 -62.1 -66.8 0.33 0.46
INTC 12.5 12.6 -60.3 -82.2 0.55 0.50
INTU 6.9 15.2 -82.4 -75.3 0.36 0.57
ISRG 16.5 26.7 -50.2 -82.3 0.61 0.68
JNJ 6.3 11.5 -44.9 -36.5 0.44 0.68
JPM 9.3 14.8 -72.8 -74.0 0.51 0.53
KKR 13.6 18.9 -59.3 -53.1 0.59 0.67
KLAC 17.2 23.5 -66.0 -83.7 0.61 0.64
KO 6.3 8.9 -61.2 -55.0 0.45 0.58
LIN 7.9 15.1 -59.6 -51.8 0.45 0.65
LLY 10.8 15.3 -57.9 -68.3 0.55 0.64
LOW 9.6 19.6 -47.8 -62.3 0.47 0.67
LRCX 20.7 22.8 -69.6 -87.9 0.68 0.66
MA 14.6 18.5 -48.7 -62.7 0.65 0.91
MCD 8.3 13.2 -48.0 -73.6 0.52 0.63
MDT 4.7 10.6 -49.3 -57.6 0.31 0.58
META 19.3 22.6 -39.9 -76.7 0.73 0.72
MRK 8.3 8.3 -46.0 -68.6 0.51 0.50
MS 9.6 12.2 -55.4 -88.1 0.47 0.48
MSFT 14.9 18.1 -69.0 -69.4 0.68 0.77
MU 23.3 18.3 -68.6 -98.2 0.73 0.58
NEE 10.9 13.2 -39.9 -47.8 0.68 0.66
NFLX 25.5 28.0 -58.1 -82.0 0.75 0.79
NOW 14.3 20.4 -49.5 -57.0 0.54 0.76
NVDA 32.8 31.8 -56.4 -89.7 0.90 0.82
ORCL 12.3 20.2 -69.9 -84.2 0.51 0.57
PANW 10.1 23.1 -59.1 -48.0 0.44 0.73
PEP 5.8 9.8 -40.6 -40.4 0.40 0.56
PFE 6.0 8.0 -57.0 -69.3 0.39 0.49
PG 5.5 11.0 -64.1 -54.2 0.37 0.60
PGR 14.6 18.2 -46.4 -71.1 0.70 0.73
PLTR 110.5 132.8 -37.2 -84.6 1.25 1.05
PM 5.6 13.8 -55.4 -42.9 0.37 0.63
QCOM 8.3 16.4 -81.5 -86.8 0.39 0.60
RTX 8.6 14.5 -45.9 -52.7 0.52 0.61
SCCO 13.0 23.2 -62.5 -78.6 0.55 0.68
SCHW 4.9 16.2 -91.1 -86.8 0.31 0.60
SHOP 42.2 33.6 -35.4 -84.8 0.89 0.95
SPGI 7.5 15.2 -56.1 -74.7 0.44 0.63
SPOT 36.8 27.7 -33.3 -80.5 0.91 0.57
SYK 7.4 14.0 -59.6 -58.6 0.42 0.67
T 7.0 8.9 -50.2 -63.9 0.45 0.46
TJX 16.1 19.9 -39.2 -64.6 0.70 0.70
TMO 8.8 12.0 -61.5 -71.2 0.49 0.55
TMUS 13.8 13.2 -49.6 -86.3 0.57 0.42
TSLA 31.0 46.1 -70.3 -73.6 0.77 0.90
TXN 11.6 16.9 -57.7 -85.8 0.52 0.55
UBER 9.7 10.5 -54.2 -68.0 0.30 0.42
UNH 10.7 16.3 -64.0 -74.4 0.51 0.71
UNP 12.2 13.0 -35.5 -59.4 0.65 0.60
V 15.1 18.8 -33.4 -51.9 0.73 0.78
VRTX 2.0 14.9 -89.9 -91.8 0.24 0.52
VZ 5.7 7.4 -41.0 -56.8 0.39 0.39
WFC 6.8 11.8 -51.5 -79.0 0.40 0.51
WMT 7.0 11.9 -48.4 -42.3 0.43 0.64
XOM 7.8 10.7 -42.5 -62.4 0.49 0.54

Distribution of Trade Durations

Distribution of Final Simulation CAGR

Distribution of Max Drawdown

Distribution of Sharpe Ratio by Method

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