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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -26.1% (compared to the benchmark's drawdown of -59.8%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 5.3%, compared to a Buy-and-Hold benchmark return of 8.9%. The strategy executed 31 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
XLB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 14.36% | 14.36% | 3.40% | 6.56% | 6.17% | 9.93% | 5.29% | 8.92% |
| Sharpe Ratio | 0.76 | 0.76 | 0.22 | 0.34 | 0.40 | 0.46 | 0.32 | 0.37 |
| Max Drawdown | -12.38% | -12.38% | -17.64% | -24.72% | -20.94% | -37.27% | -26.13% | -59.82% |
| % Time Invested | 100.0% | 100.0% | 76.7% | 100.0% | 76.5% | 100.0% | 72.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.4 | 0.0 | 0.8 | 0.0 | 1.2 | 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 | ||||||||
| 2025-01-08 | 2025-07-22 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.26% | Interest Income | |
| 2023-11-24 | 2025-01-08 | Completed | 100% | $38.31 | $40.73 | 6.26% | Signal | |
| 2023-10-20 | 2023-11-24 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.52% | Interest Income | |
| 2023-01-03 | 2023-10-20 | Completed | 100% | $36.39 | $36.13 | -0.75% | Signal | |
| 2022-06-16 | 2023-01-03 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.80% | Interest Income | |
| 2020-07-16 | 2022-06-16 | Completed | 100% | $26.93 | $34.75 | 28.95% | Stop | |
| 2020-06-12 | 2020-07-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-06-04 | 2020-06-12 | Completed | 100% | $25.60 | $24.70 | -3.55% | Stop | |
| 2020-03-02 | 2020-06-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2019-04-12 | 2020-03-02 | Completed | 100% | $24.99 | $23.38 | -6.49% | Stop | |
| 2018-10-05 | 2019-04-12 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.22% | Interest Income | |
| 2018-10-03 | 2018-10-05 | Completed | 100% | $25.20 | $24.78 | -1.75% | Signal | |
| 2018-07-25 | 2018-10-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.41% | Interest Income | |
| 2018-07-23 | 2018-07-25 | Completed | 100% | $24.79 | $25.00 | 0.77% | Signal | |
| 2018-06-28 | 2018-07-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2018-06-14 | 2018-06-28 | Completed | 100% | $25.66 | $24.54 | -4.42% | Signal | |
| 2018-05-22 | 2018-06-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2016-04-19 | 2018-05-22 | Completed | 100% | $18.91 | $25.49 | 34.68% | Signal | |
| 2016-01-08 | 2016-04-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2015-10-08 | 2016-01-08 | Completed | 100% | $17.48 | $16.59 | -5.15% | Stop | |
| 2015-07-31 | 2015-10-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2015-02-26 | 2015-07-31 | Completed | 100% | $20.64 | $18.59 | -9.97% | Signal | |
| 2015-02-03 | 2015-02-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-01-05 | 2015-02-03 | Completed | 100% | $19.19 | $19.26 | 0.30% | Signal | |
| 2014-12-10 | 2015-01-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-08-28 | 2014-12-10 | Completed | 100% | $13.36 | $19.32 | 44.57% | Signal | |
| 2012-07-06 | 2012-08-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-02-15 | 2012-07-06 | Completed | 100% | $13.72 | $13.19 | -3.91% | Signal | |
| 2011-08-05 | 2012-02-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-09-27 | 2011-08-05 | Completed | 100% | $12.06 | $12.85 | 6.50% | Stop | |
| 2010-06-22 | 2010-09-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2010-06-01 | 2010-06-22 | Completed | 100% | $10.74 | $11.02 | 2.57% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-03-03 | 2010-05-07 | Completed | 100% | $11.42 | $11.12 | -2.70% | Stop | |
| 2010-02-08 | 2010-03-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-07-31 | 2010-02-08 | Completed | 100% | $10.05 | $10.75 | 6.83% | Stop | |
| 2009-07-09 | 2009-07-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-03-19 | 2009-07-09 | Completed | 100% | $7.55 | $8.56 | 13.42% | Stop | |
| 2008-08-13 | 2009-03-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2008-07-29 | 2008-08-13 | Completed | 100% | $13.23 | $13.17 | -0.51% | Signal | |
| 2008-07-07 | 2008-07-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2008-04-07 | 2008-07-07 | Completed | 100% | $14.57 | $13.60 | -6.67% | Stop | |
| 2008-03-07 | 2008-04-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2008-02-12 | 2008-03-07 | Completed | 100% | $13.50 | $13.60 | 0.67% | Signal | |
| 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 | |
| 2006-10-11 | 2007-08-16 | Completed | 100% | $10.47 | $11.99 | 14.53% | Stop | |
| 2006-09-13 | 2006-10-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.38% | Interest Income | |
| 2006-09-07 | 2006-09-13 | Completed | 100% | $10.28 | $10.12 | -1.62% | Signal | |
| 2006-08-15 | 2006-09-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2006-07-03 | 2006-08-15 | Completed | 100% | $10.44 | $9.99 | -4.33% | Signal | |
| 2006-06-09 | 2006-07-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2005-12-15 | 2006-06-09 | Completed | 100% | $9.65 | $9.91 | 2.56% | Stop | |
| 2005-05-16 | 2005-12-15 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.05% | Interest Income | |
| 2003-05-19 | 2005-05-16 | Completed | 100% | $6.13 | $8.40 | 37.01% | Stop | |
| 2002-07-16 | 2003-05-19 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.14% | Interest Income | |
| 2002-01-02 | 2002-07-16 | Completed | 100% | $6.31 | $6.18 | -2.08% | Stop | |
| 2001-09-17 | 2002-01-02 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.59% | Interest Income | |
| 2001-04-17 | 2001-09-17 | Completed | 100% | $6.17 | $5.61 | -9.12% | Stop | |
| 2001-03-23 | 2001-04-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2001-01-19 | 2001-03-23 | Completed | 100% | $5.70 | $5.68 | -0.51% | Stop | |
| 2000-12-12 | 2001-01-19 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.52% | Interest Income | |