XLI
The Industrial Select Sector SPDR Fund
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for XLI (The Industrial 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 -38.4% (compared to the benchmark's drawdown of -62.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 7.3%, compared to a Buy-and-Hold benchmark return of 9.1%. The strategy executed 21 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.
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XLI Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 20.57% | 20.57% | 7.99% | 13.74% | 11.22% | 14.11% | 7.29% | 9.05% |
| Sharpe Ratio | 1.13 | 1.13 | 0.50 | 0.74 | 0.64 | 0.66 | 0.45 | 0.41 |
| Max Drawdown | -12.21% | -12.21% | -23.88% | -21.64% | -31.73% | -42.33% | -38.36% | -62.26% |
| % Time Invested | 100.0% | 100.0% | 87.9% | 100.0% | 89.0% | 100.0% | 80.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.9 | 0.0 | 0.8 | 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 | ||||||||
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-04-04 | 2025-04-07 | Completed | 100% | $96.74 | $112.85 | 16.59% | Stop | |
| 2022-11-02 | 2023-04-04 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.88% | Interest Income | |
| 2022-10-18 | 2022-11-02 | Completed | 100% | $83.64 | $88.68 | 5.97% | Signal | |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-06-07 | 2022-09-26 | Completed | 100% | $89.10 | $79.88 | -10.38% | Stop | |
| 2022-05-13 | 2022-06-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2021-02-10 | 2022-05-13 | Completed | 100% | $83.29 | $86.89 | 4.28% | Stop | |
| 2020-12-22 | 2021-02-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-24 | 2020-12-22 | Completed | 100% | $47.09 | $81.00 | 71.93% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-11-12 | 2020-03-02 | Completed | 100% | $73.62 | $66.78 | -9.34% | Stop | |
| 2019-10-03 | 2019-11-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2019-09-13 | 2019-10-03 | Completed | 100% | $70.87 | $66.65 | -6.00% | Stop | |
| 2019-08-21 | 2019-09-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2019-01-18 | 2019-08-21 | Completed | 100% | $61.48 | $67.16 | 9.17% | Signal | |
| 2018-12-26 | 2019-01-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-11-21 | 2018-12-26 | Completed | 100% | $61.48 | $53.61 | -12.85% | Stop | |
| 2018-10-30 | 2018-11-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-07-15 | 2018-10-30 | Completed | 100% | $49.58 | $59.70 | 20.35% | Stop | |
| 2016-04-05 | 2016-07-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2015-09-17 | 2016-04-05 | Completed | 100% | $43.20 | $45.83 | 6.04% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-26 | 2015-08-25 | Completed | 100% | $22.82 | $41.69 | 82.62% | Stop | |
| 2011-08-04 | 2011-08-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-18 | 2011-08-04 | Completed | 100% | $22.26 | $25.01 | 12.26% | Stop | |
| 2010-05-26 | 2010-06-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-09-15 | 2010-05-26 | Completed | 100% | $19.45 | $21.72 | 11.63% | Stop | |
| 2009-03-23 | 2009-09-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2009-03-19 | 2009-03-23 | Completed | 100% | $13.26 | $12.90 | -2.74% | Stop | |
| 2008-09-30 | 2009-03-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2008-07-23 | 2008-09-30 | Completed | 100% | $24.71 | $21.29 | -13.86% | Stop | |
| 2008-06-30 | 2008-07-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2008-02-12 | 2008-06-30 | Completed | 100% | $25.75 | $23.75 | -7.82% | Stop | |
| 2008-01-18 | 2008-02-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2003-11-03 | 2008-01-18 | Completed | 100% | $16.26 | $24.40 | 49.99% | Stop | |
| 2001-09-20 | 2003-11-03 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.09% | Interest Income | |
| 2001-09-07 | 2001-09-20 | Completed | 100% | $17.15 | $14.23 | -17.08% | Stop | |
| 2001-08-15 | 2001-09-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.21% | Interest Income | |
| 2001-04-16 | 2001-08-15 | Completed | 100% | $17.58 | $18.42 | 4.75% | Stop | |
| 2001-03-22 | 2001-04-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2000-12-14 | 2001-03-22 | Completed | 100% | $19.67 | $16.57 | -15.81% | Stop | |
| 2000-12-12 | 2000-12-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |