XLE
The Energy Select Sector SPDR Fund
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-28
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 -60.1% (compared to the benchmark's drawdown of -71.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.6%, compared to a Buy-and-Hold benchmark return of 8.0%. The strategy executed 35 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 | 7.84% | 34.81% | 12.79% | 22.68% | 0.67% | 9.99% | 3.59% | 8.04% |
| Sharpe Ratio | 0.48 | 1.42 | 0.53 | 0.79 | 0.04 | 0.32 | 0.18 | 0.27 |
| Max Drawdown | -15.40% | -14.98% | -24.25% | -26.04% | -47.48% | -66.81% | -60.13% | -71.26% |
| % Time Invested | 42.5% | 100.0% | 81.6% | 100.0% | 61.5% | 100.0% | 68.8% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.0 | 0.0 | 1.4 | 0.0 | 1.4 | 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 | ||||||||
| 2025-06-25 | 2026-01-30 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.39% | Interest Income | |
| 2025-04-30 | 2025-06-25 | Completed | 100% | $39.15 | $41.12 | 4.98% | 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% | $38.37 | $36.66 | -4.51% | 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% | $36.14 | $36.06 | -0.27% | 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% | $29.62 | $30.89 | 4.22% | 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% | $21.90 | $33.31 | 52.04% | 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% | $23.00 | $21.80 | -5.28% | 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% | $23.54 | $22.44 | -4.73% | 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% | $22.24 | $22.19 | -0.26% | 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% | $23.73 | $20.32 | -14.41% | 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% | $27.02 | $23.80 | -11.97% | 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% | $23.31 | $23.56 | 1.02% | 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% | $22.25 | $23.50 | 5.58% | 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% | $25.11 | $21.11 | -16.01% | 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% | $22.64 | $21.57 | -4.78% | 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% | $24.27 | $24.80 | 2.12% | 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% | $27.21 | $23.89 | -12.26% | 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% | $19.33 | $27.67 | 43.05% | 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% | $20.14 | $19.59 | -2.82% | 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% | $20.09 | $18.78 | -6.56% | 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% | $15.26 | $19.50 | 27.73% | 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% | $14.14 | $16.35 | 15.63% | 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% | $13.06 | $13.43 | 2.79% | 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% | $13.50 | $12.89 | -4.53% | 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% | $17.42 | $16.07 | -7.81% | 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% | $20.20 | $18.17 | -10.09% | 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% | $20.30 | $21.98 | 8.25% | 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% | $19.68 | $17.98 | -8.69% | 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% | $15.97 | $18.82 | 17.79% | 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% | $12.82 | $13.89 | 8.31% | 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% | $11.61 | $13.00 | 11.88% | 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% | $6.23 | $10.54 | 69.13% | 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% | $7.27 | $6.37 | -12.51% | 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% | $7.59 | $6.47 | -14.78% | 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% | $7.92 | $7.49 | -5.52% | Stop | |
| 2000-12-12 | 2000-12-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |