XLE
The Energy Select Sector SPDR Fund
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-12
Executive Summary
The quantitative backtest for XLE (The Energy 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 -59.6% (compared to the benchmark's drawdown of -71.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 4.1%, compared to a Buy-and-Hold benchmark return of 8.1%. The strategy executed 34 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
XLE Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 16.30% | 37.22% | 12.60% | 20.25% | 1.65% | 9.91% | 4.09% | 8.05% |
| Sharpe Ratio | 1.00 | 1.54 | 0.51 | 0.71 | 0.09 | 0.32 | 0.21 | 0.27 |
| Max Drawdown | -12.05% | -12.05% | -24.10% | -26.04% | -47.11% | -66.81% | -59.65% | -71.26% |
| % Time Invested | 40.1% | 100.0% | 81.6% | 100.0% | 60.9% | 100.0% | 68.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.0 | 0.0 | 1.3 | 0.0 | 1.3 | 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 |
|---|---|---|---|---|---|---|---|
| 2026-01-30 | Open | Open | 100% | $50.03 | $57.55 | 15.02% | Mark-to-Market |
| 2025-06-25 | 2026-01-30 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.39% | Interest Income |
| 2025-04-30 | 2025-06-25 | Completed | 100% | $39.43 | $41.42 | 5.04% | Signal |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2023-04-05 | 2025-04-07 | Completed | 100% | $38.64 | $36.92 | -4.46% | Stop |
| 2023-03-14 | 2023-04-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2022-10-18 | 2023-03-14 | Completed | 100% | $36.40 | $36.32 | -0.22% | Stop |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2022-07-13 | 2022-09-26 | Completed | 100% | $29.84 | $31.11 | 4.28% | Stop |
| 2022-06-17 | 2022-07-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2021-07-14 | 2022-06-17 | Completed | 100% | $22.05 | $33.55 | 52.12% | Stop |
| 2021-06-21 | 2021-07-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2021-06-07 | 2021-06-21 | Completed | 100% | $23.16 | $21.95 | -5.23% | Stop |
| 2019-08-02 | 2021-06-07 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.10% | Interest Income |
| 2019-07-15 | 2019-08-02 | Completed | 100% | $23.71 | $22.60 | -4.68% | Stop |
| 2019-06-13 | 2019-07-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2019-01-16 | 2019-06-13 | Completed | 100% | $22.40 | $22.35 | -0.21% | Signal |
| 2018-12-21 | 2019-01-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2018-11-16 | 2018-12-21 | Completed | 100% | $23.91 | $20.47 | -14.37% | Stop |
| 2018-10-25 | 2018-11-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2018-05-15 | 2018-10-25 | Completed | 100% | $27.22 | $23.97 | -11.93% | Stop |
| 2018-03-09 | 2018-05-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income |
| 2018-03-07 | 2018-03-09 | Completed | 100% | $23.48 | $23.73 | 1.08% | Signal |
| 2018-02-12 | 2018-03-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2017-09-12 | 2018-02-12 | Completed | 100% | $22.41 | $23.67 | 5.64% | Stop |
| 2017-08-18 | 2017-09-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2017-01-27 | 2017-08-18 | Completed | 100% | $25.30 | $21.26 | -15.96% | Stop |
| 2015-10-28 | 2017-01-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2015-10-09 | 2015-10-28 | Completed | 100% | $22.81 | $21.73 | -4.73% | Stop |
| 2015-06-23 | 2015-10-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2015-01-06 | 2015-06-23 | Completed | 100% | $24.45 | $24.98 | 2.17% | Signal |
| 2014-12-11 | 2015-01-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2014-10-31 | 2014-12-11 | Completed | 100% | $27.41 | $24.06 | -12.22% | Stop |
| 2014-10-09 | 2014-10-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2012-06-12 | 2014-10-09 | Completed | 100% | $19.47 | $27.87 | 43.12% | Stop |
| 2012-05-18 | 2012-06-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2011-10-19 | 2012-05-18 | Completed | 100% | $20.29 | $19.73 | -2.77% | Stop |
| 2011-09-27 | 2011-10-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-30 | 2011-09-27 | Completed | 100% | $20.23 | $18.92 | -6.52% | Stop |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-06-01 | 2011-08-08 | Completed | 100% | $15.37 | $19.64 | 27.79% | Stop |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2009-07-22 | 2010-05-07 | Completed | 100% | $14.24 | $16.47 | 15.69% | Stop |
| 2009-01-16 | 2009-07-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2008-12-08 | 2009-01-16 | Completed | 100% | $13.16 | $13.53 | 2.84% | Stop |
| 2008-11-13 | 2008-12-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2008-10-29 | 2008-11-13 | Completed | 100% | $13.59 | $12.98 | -4.49% | Stop |
| 2008-10-07 | 2008-10-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2008-10-02 | 2008-10-07 | Completed | 100% | $17.55 | $16.19 | -7.77% | Stop |
| 2008-09-10 | 2008-10-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2008-08-08 | 2008-09-10 | Completed | 100% | $20.35 | $18.30 | -10.04% | Stop |
| 2008-07-17 | 2008-08-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2008-02-13 | 2008-07-17 | Completed | 100% | $20.45 | $22.14 | 8.30% | Stop |
| 2008-01-22 | 2008-02-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2007-09-11 | 2008-01-22 | Completed | 100% | $19.82 | $18.11 | -8.64% | Stop |
| 2007-08-17 | 2007-09-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2006-07-07 | 2007-08-17 | Completed | 100% | $16.09 | $18.96 | 17.85% | Stop |
| 2006-06-14 | 2006-07-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2005-11-11 | 2006-06-14 | Completed | 100% | $12.91 | $13.99 | 8.37% | Stop |
| 2005-10-20 | 2005-11-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2005-06-09 | 2005-10-20 | Completed | 100% | $11.70 | $13.09 | 11.93% | Stop |
| 2005-05-17 | 2005-06-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2003-05-16 | 2005-05-17 | Completed | 100% | $6.28 | $10.62 | 69.21% | Stop |
| 2001-11-16 | 2003-05-16 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.28% | Interest Income |
| 2001-10-12 | 2001-11-16 | Completed | 100% | $7.32 | $6.41 | -12.46% | Stop |
| 2001-09-20 | 2001-10-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2001-08-03 | 2001-09-20 | Completed | 100% | $7.64 | $6.51 | -14.74% | Stop |
| 2001-07-12 | 2001-08-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2000-12-14 | 2001-07-12 | Completed | 100% | $7.98 | $7.54 | -5.48% | Stop |
| 2000-12-12 | 2000-12-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |