XLC The Communication Services Select Sector SPDR Fund
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for XLC (The Communication Services Select Sector SPDR Fund) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -24.9% (compared to the benchmark's drawdown of -46.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 16.3%, compared to a Buy-and-Hold benchmark return of 14.7%. The strategy executed 16 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
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)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
XLC Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 13.78% | 16.00% | 11.32% | 9.09% | 16.33% | 14.71% |
| Sharpe Ratio | 1.06 | 1.14 | 0.73 | 0.42 | 0.96 | 0.67 |
| Max Drawdown | -10.57% | -10.57% | -24.93% | -46.65% | -24.93% | -46.65% |
| % Time Invested | 100.0% | 100.0% | 89.8% | 100.0% | 91.4% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 2.4 | 0.0 | 2.7 | 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 / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| 2025-04-30 | Open | Open | 33.33% | $93.32 | $115.69 | 23.97% | Mark-to-Market |
| 2025-04-30 | Open | Open | 33.33% | $93.32 | $115.69 | 23.97% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2026-04-08 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2025-07-09 | 2026-04-08 | Completed | 33.33% | $105.79 | $114.26 | 8.01% | Signal |
| 2025-06-03 | 2025-07-09 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.58% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-04-30 | 2025-05-02 | Completed | 33.33% | $93.32 | $95.37 | 2.19% | Signal |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2023-04-05 | 2025-04-07 | Completed | 33.33% | $56.53 | $83.43 | 47.57% | Stop |
| 2023-01-10 | 2025-04-07 | Completed | 33.33% | $48.32 | $83.43 | 72.65% | Stop |
| 2023-01-10 | 2025-04-07 | Completed | 33.33% | $48.32 | $83.43 | 72.65% | Stop |
| 2023-04-04 | 2023-04-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2023-03-14 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.23% | Interest Income |
| 2023-01-10 | 2023-03-14 | Completed | 33.33% | $48.32 | $51.31 | 6.19% | Stop |
| 2022-12-02 | 2023-01-10 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.86% | Interest Income |
| 2022-12-02 | 2023-01-10 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.86% | Interest Income |
| 2022-12-02 | 2023-01-10 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.86% | Interest Income |
| 2022-10-28 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income |
| 2022-10-28 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income |
| 2022-10-28 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income |
| 2022-10-26 | 2022-10-28 | Completed | 33.33% | $48.69 | $46.26 | -5.00% | Stop |
| 2022-10-26 | 2022-10-28 | Completed | 33.33% | $48.69 | $46.26 | -5.00% | Stop |
| 2022-10-26 | 2022-10-28 | Completed | 33.33% | $48.69 | $46.26 | -5.00% | Stop |
| 2022-10-04 | 2022-10-26 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2022-10-04 | 2022-10-26 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2022-10-04 | 2022-10-26 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-08-19 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-05-20 | 2022-08-19 | Completed | 33.33% | $56.14 | $55.82 | -0.56% | Signal |
| 2022-04-28 | 2022-05-20 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2022-02-16 | 2022-04-28 | Completed | 33.33% | $66.30 | $58.29 | -12.09% | Stop |
| 2022-02-18 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-12-27 | 2022-02-18 | Completed | 33.33% | $74.90 | $65.14 | -13.03% | Stop |
| 2022-01-25 | 2022-02-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2020-06-15 | 2022-01-25 | Completed | 33.33% | $50.32 | $68.39 | 35.91% | Stop |
| 2021-12-01 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-12-02 | 2021-12-27 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2020-08-26 | 2021-12-02 | Completed | 33.33% | $58.81 | $70.51 | 19.90% | Stop |
| 2020-06-22 | 2021-12-01 | Completed | 33.33% | $52.36 | $72.93 | 39.29% | Signal |
| 2020-07-31 | 2020-08-26 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2020-06-15 | 2020-07-31 | Completed | 33.33% | $50.32 | $55.19 | 9.69% | Signal |
| 2020-06-11 | 2020-06-22 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2020-06-11 | 2020-06-15 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2020-06-11 | 2020-06-15 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |