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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -22.8% (compared to the benchmark's drawdown of -62.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 7.0%, compared to a Buy-and-Hold benchmark return of 9.1%. The strategy executed 23 total trades.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
📊 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
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active
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% | 5.76% | 13.74% | 7.83% | 14.11% | 6.95% | 9.05% |
| Sharpe Ratio | 1.13 | 1.13 | 0.40 | 0.74 | 0.54 | 0.66 | 0.50 | 0.41 |
| Max Drawdown | -12.21% | -12.21% | -19.76% | -21.64% | -20.38% | -42.33% | -22.77% | -62.26% |
| % Time Invested | 100.0% | 100.0% | 80.7% | 100.0% | 81.5% | 100.0% | 73.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.7 | 0.0 | 0.9 | 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 | 2025-06-13 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.80% | Interest Income | |
| 2023-12-08 | 2025-04-07 | Completed | 100% | $104.49 | $112.85 | 7.95% | Stop | |
| 2023-11-10 | 2023-12-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.40% | Interest Income | |
| 2022-12-12 | 2023-11-10 | Completed | 100% | $93.89 | $97.75 | 4.06% | Signal | |
| 2022-04-27 | 2022-12-12 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.71% | Interest Income | |
| 2022-03-23 | 2022-04-27 | Completed | 100% | $96.37 | $90.15 | -6.49% | Stop | |
| 2022-02-25 | 2022-03-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-08-12 | 2022-02-25 | Completed | 100% | $71.41 | $90.62 | 26.83% | Signal | |
| 2020-03-02 | 2020-08-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2019-02-07 | 2020-03-02 | Completed | 100% | $64.59 | $66.78 | 3.34% | Stop | |
| 2018-11-26 | 2019-02-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.47% | Interest Income | |
| 2018-11-21 | 2018-11-26 | Completed | 100% | $61.48 | $61.80 | 0.46% | Signal | |
| 2018-10-30 | 2018-11-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-09-05 | 2018-10-30 | Completed | 100% | $67.32 | $59.70 | -11.36% | Stop | |
| 2018-07-05 | 2018-09-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2016-04-07 | 2018-07-05 | Completed | 100% | $45.69 | $62.85 | 37.49% | Signal | |
| 2016-01-11 | 2016-04-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2015-12-28 | 2016-01-11 | Completed | 100% | $44.36 | $41.69 | -6.06% | Signal | |
| 2015-07-28 | 2015-12-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2012-08-16 | 2015-07-28 | Completed | 100% | $28.36 | $43.52 | 53.38% | Signal | |
| 2012-07-23 | 2012-08-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-01-26 | 2012-07-23 | Completed | 100% | $28.22 | $26.81 | -5.06% | Signal | |
| 2011-08-04 | 2012-01-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-09-22 | 2011-08-04 | Completed | 100% | $23.26 | $25.01 | 7.46% | Stop | |
| 2010-08-30 | 2010-09-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-06-18 | 2010-08-30 | Completed | 100% | $22.26 | $21.25 | -4.59% | Signal | |
| 2010-05-26 | 2010-06-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-06-26 | 2010-05-26 | Completed | 100% | $16.08 | $21.72 | 35.04% | Stop | |
| 2009-03-23 | 2009-06-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2009-03-19 | 2009-03-23 | Completed | 100% | $13.26 | $12.90 | -2.74% | Stop | |
| 2008-06-13 | 2009-03-19 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.60% | Interest Income | |
| 2008-06-11 | 2008-06-13 | Completed | 100% | $26.10 | $25.83 | -1.10% | Signal | |
| 2008-01-16 | 2008-06-11 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.69% | Interest Income | |
| 2006-10-20 | 2008-01-16 | Completed | 100% | $23.52 | $25.06 | 6.49% | Signal | |
| 2006-08-23 | 2006-10-20 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.79% | Interest Income | |
| 2005-11-23 | 2006-08-23 | Completed | 100% | $21.23 | $21.95 | 3.33% | Signal | |
| 2005-10-05 | 2005-11-23 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.53% | Interest Income | |
| 2005-09-19 | 2005-10-05 | Completed | 100% | $20.19 | $19.90 | -1.48% | Signal | |
| 2005-08-12 | 2005-09-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2003-05-21 | 2005-08-12 | Completed | 100% | $13.75 | $20.39 | 48.22% | Signal | |
| 2002-06-03 | 2003-05-21 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.35% | Interest Income | |
| 2002-04-15 | 2002-06-03 | Completed | 100% | $17.09 | $16.38 | -4.20% | Signal | |
| 2001-08-01 | 2002-04-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.45% | Interest Income | |
| 2001-06-20 | 2001-08-01 | Completed | 100% | $18.82 | $18.48 | -1.84% | Signal | |
| 2001-03-22 | 2001-06-20 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.93% | 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 | |