XLB
The Materials Select Sector SPDR Fund
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for XLB (The Materials Select Sector SPDR Fund) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -49.6% (compared to the benchmark's drawdown of -59.8%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 5.2%, compared to a Buy-and-Hold benchmark return of 8.9%. The strategy executed 28 total trades.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
📊 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 Active
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.
🎯 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
XLB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 0.28% | 14.36% | -0.51% | 6.56% | 7.34% | 9.93% | 5.17% | 8.92% |
| Sharpe Ratio | 0.02 | 0.76 | -0.03 | 0.34 | 0.43 | 0.46 | 0.28 | 0.37 |
| Max Drawdown | -6.43% | -12.38% | -22.92% | -24.72% | -26.65% | -37.27% | -49.60% | -59.82% |
| % Time Invested | 49.2% | 100.0% | 70.0% | 100.0% | 74.7% | 100.0% | 75.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.2 | 0.0 | 1.0 | 0.0 | 1.1 | 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 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. Upgrade to Pro to Unlock | ||||||||
| 2025-10-07 | 2026-04-13 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.90% | Interest Income | |
| 2025-04-30 | 2025-10-07 | Completed | 100% | $40.30 | $44.37 | 10.04% | Signal | |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-11-24 | 2025-04-07 | Completed | 100% | $38.31 | $37.20 | -2.94% | Stop | |
| 2023-05-25 | 2023-11-24 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.73% | Interest Income | |
| 2023-04-04 | 2023-05-25 | Completed | 100% | $38.03 | $35.80 | -5.91% | Stop | |
| 2023-03-13 | 2023-04-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2023-03-03 | 2023-03-13 | Completed | 100% | $39.26 | $36.20 | -7.86% | Stop | |
| 2022-12-07 | 2023-03-03 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.05% | Interest Income | |
| 2022-10-18 | 2022-12-07 | Completed | 100% | $33.25 | $37.75 | 13.47% | Signal | |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-07-12 | 2022-09-26 | Completed | 100% | $33.50 | $31.57 | -5.82% | Stop | |
| 2022-06-16 | 2022-07-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2020-03-24 | 2022-06-16 | Completed | 100% | $18.03 | $34.75 | 92.63% | Stop | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-01-14 | 2020-03-02 | Completed | 100% | $26.49 | $23.38 | -11.77% | Stop | |
| 2019-03-13 | 2020-01-14 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.68% | Interest Income | |
| 2019-01-22 | 2019-03-13 | Completed | 100% | $22.92 | $24.11 | 5.15% | Signal | |
| 2018-12-27 | 2019-01-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-11-05 | 2018-12-27 | Completed | 100% | $23.08 | $21.02 | -8.99% | Stop | |
| 2018-10-12 | 2018-11-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-04-19 | 2018-10-12 | Completed | 100% | $18.91 | $23.28 | 23.05% | Stop | |
| 2015-12-30 | 2016-04-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2015-09-16 | 2015-12-30 | Completed | 100% | $17.09 | $17.89 | 4.63% | Signal | |
| 2015-08-24 | 2015-09-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-12-13 | 2015-08-24 | Completed | 100% | $13.76 | $16.29 | 18.33% | Stop | |
| 2012-06-28 | 2012-12-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2011-10-17 | 2012-06-28 | Completed | 100% | $12.31 | $12.74 | 3.41% | Signal | |
| 2011-09-23 | 2011-10-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-29 | 2011-09-23 | Completed | 100% | $12.61 | $11.13 | -11.82% | Stop | |
| 2011-08-05 | 2011-08-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-05 | Completed | 100% | $10.74 | $12.85 | 19.66% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-03-19 | 2010-05-07 | Completed | 100% | $7.55 | $11.12 | 47.23% | Stop | |
| 2008-11-21 | 2009-03-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2008-11-18 | 2008-11-21 | Completed | 100% | $7.63 | $6.60 | -13.44% | Stop | |
| 2008-10-27 | 2008-11-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2008-10-22 | 2008-10-27 | Completed | 100% | $8.67 | $7.62 | -12.17% | Stop | |
| 2008-09-30 | 2008-10-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2008-07-29 | 2008-09-30 | Completed | 100% | $13.23 | $11.06 | -16.39% | Stop | |
| 2008-07-07 | 2008-07-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2008-02-12 | 2008-07-07 | Completed | 100% | $13.50 | $13.60 | 0.67% | Stop | |
| 2008-01-18 | 2008-02-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2007-09-10 | 2008-01-18 | Completed | 100% | $12.90 | $12.45 | -3.53% | Stop | |
| 2007-08-16 | 2007-09-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2006-07-03 | 2007-08-16 | Completed | 100% | $10.44 | $11.99 | 14.84% | Stop | |
| 2006-06-09 | 2006-07-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2005-06-08 | 2006-06-09 | Completed | 100% | $8.91 | $9.91 | 11.13% | Stop | |
| 2005-05-16 | 2005-06-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2003-11-28 | 2005-05-16 | Completed | 100% | $7.46 | $8.40 | 12.64% | Stop | |
| 2003-01-06 | 2003-11-28 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.93% | Interest Income | |
| 2002-10-23 | 2003-01-06 | Completed | 100% | $5.73 | $6.14 | 6.95% | Signal | |
| 2002-10-01 | 2002-10-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2002-08-07 | 2002-10-01 | Completed | 100% | $5.97 | $5.34 | -10.56% | Stop | |
| 2002-07-16 | 2002-08-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2001-11-30 | 2002-07-16 | Completed | 100% | $6.43 | $6.18 | -3.93% | Stop | |
| 2000-12-12 | 2001-11-30 | Interest (CASH) | 100% | $1.00 | $1.04 | 3.54% | Interest Income | |