XLF
The Financial Select Sector SPDR Fund
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-28
Executive Summary
The quantitative backtest for XLF (The Financial 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 -51.8% (compared to the benchmark's drawdown of -82.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.3%, compared to a Buy-and-Hold benchmark return of 5.7%. The strategy executed 27 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
XLF Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 1.43% | 10.23% | 5.24% | 11.53% | 4.58% | 13.67% | 2.27% | 5.66% |
| Sharpe Ratio | 0.10 | 0.66 | 0.33 | 0.59 | 0.27 | 0.58 | 0.15 | 0.20 |
| Max Drawdown | -16.57% | -14.79% | -24.37% | -25.81% | -34.89% | -42.86% | -51.81% | -82.69% |
| % Time Invested | 93.7% | 100.0% | 72.3% | 100.0% | 69.5% | 100.0% | 66.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 1.1 | 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 | ||||||||
| 2026-03-30 | 2026-04-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2025-04-30 | 2026-03-30 | Completed | 100% | $47.25 | $48.06 | 1.66% | Stop | |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-01-29 | 2025-04-07 | Completed | 100% | $37.09 | $42.04 | 13.29% | Stop | |
| 2022-12-09 | 2024-01-29 | Interest (CASH) | 100% | $1.00 | $1.06 | 5.91% | Interest Income | |
| 2022-10-20 | 2022-12-09 | Completed | 100% | $29.79 | $32.38 | 8.64% | Signal | |
| 2022-09-28 | 2022-10-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2022-05-24 | 2022-09-28 | Completed | 100% | $31.39 | $28.65 | -8.76% | Stop | |
| 2022-05-02 | 2022-05-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2021-02-10 | 2022-05-02 | Completed | 100% | $28.61 | $32.21 | 12.53% | Stop | |
| 2020-09-21 | 2021-02-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-07-22 | 2020-09-21 | Completed | 100% | $21.76 | $21.73 | -0.16% | Signal | |
| 2020-06-29 | 2020-07-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-24 | 2020-06-29 | Completed | 100% | $16.72 | $20.53 | 22.68% | Stop | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-12-30 | 2020-03-02 | Completed | 100% | $27.40 | $23.61 | -13.86% | Stop | |
| 2019-05-31 | 2019-12-30 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.09% | Interest Income | |
| 2019-01-17 | 2019-05-31 | Completed | 100% | $21.99 | $22.76 | 3.44% | Signal | |
| 2018-12-24 | 2019-01-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-11-16 | 2018-12-24 | Completed | 100% | $22.98 | $19.53 | -15.03% | Stop | |
| 2018-10-25 | 2018-11-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2017-01-04 | 2018-10-25 | Completed | 100% | $19.78 | $21.89 | 10.61% | Stop | |
| 2016-06-13 | 2017-01-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.20% | Interest Income | |
| 2016-02-12 | 2016-06-13 | Completed | 100% | $13.46 | $15.46 | 14.86% | Signal | |
| 2016-01-21 | 2016-02-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2016-01-21 | Completed | 100% | $15.56 | $14.05 | -9.76% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-11-01 | 2015-08-25 | Completed | 100% | $10.04 | $15.51 | 54.41% | Stop | |
| 2011-12-21 | 2012-11-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2011-12-19 | 2011-12-21 | Completed | 100% | $7.83 | $7.92 | 1.14% | Signal | |
| 2011-11-25 | 2011-12-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-10-26 | 2011-11-25 | Completed | 100% | $8.19 | $7.27 | -11.23% | Stop | |
| 2011-10-04 | 2011-10-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-10 | 2011-10-04 | Completed | 100% | $7.89 | $6.89 | -12.68% | Stop | |
| 2011-07-19 | 2011-08-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-15 | 2011-07-19 | Completed | 100% | $8.84 | $9.07 | 2.49% | Stop | |
| 2010-05-21 | 2010-06-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-02-19 | 2010-05-21 | Completed | 100% | $8.67 | $8.48 | -2.21% | Stop | |
| 2009-10-29 | 2010-02-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2009-10-13 | 2009-10-29 | Completed | 100% | $9.22 | $8.70 | -5.68% | Stop | |
| 2008-01-09 | 2009-10-13 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.47% | Interest Income | |
| 2007-12-03 | 2008-01-09 | Completed | 100% | $17.40 | $15.15 | -13.01% | Stop | |
| 2007-11-08 | 2007-12-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.20% | Interest Income | |
| 2007-08-28 | 2007-11-08 | Completed | 100% | $18.94 | $17.21 | -9.14% | Stop | |
| 2007-08-06 | 2007-08-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2003-11-25 | 2007-08-06 | Completed | 100% | $13.79 | $18.03 | 30.69% | Stop | |
| 2003-04-01 | 2003-11-25 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.65% | Interest Income | |
| 2003-03-21 | 2003-04-01 | Completed | 100% | $11.16 | $10.65 | -4.61% | Stop | |
| 2002-03-01 | 2003-03-21 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.61% | Interest Income | |
| 2001-10-08 | 2002-03-01 | Completed | 100% | $11.98 | $12.81 | 6.90% | Signal | |
| 2001-09-10 | 2001-10-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2001-04-06 | 2001-09-10 | Completed | 100% | $12.60 | $12.12 | -3.83% | Stop | |
| 2001-03-15 | 2001-04-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2001-01-05 | 2001-03-15 | Completed | 100% | $14.20 | $12.86 | -9.48% | Stop | |
| 2000-12-12 | 2001-01-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income | |