XLP
The Consumer Staples Select Sector SPDR Fund
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for XLP (The Consumer Staples Select Sector SPDR Fund) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -23.3% (compared to the benchmark's drawdown of -35.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 6.1%, compared to a Buy-and-Hold benchmark return of 7.0%. The strategy executed 60 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Mathematical Model
Excess Return MMA Active
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)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
XLP Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.65% | 6.28% | 4.74% | 6.07% | 4.39% | 7.10% | 6.06% | 7.03% |
| Sharpe Ratio | 0.38 | 0.44 | 0.45 | 0.44 | 0.41 | 0.46 | 0.58 | 0.47 |
| Max Drawdown | -6.65% | -9.69% | -14.08% | -16.30% | -17.34% | -24.51% | -23.30% | -35.89% |
| % Time Invested | 100.0% | 100.0% | 93.5% | 100.0% | 95.2% | 100.0% | 92.0% | 100.0% |
| Trades / Year | 2.0 | 0.0 | 2.2 | 0.0 | 2.7 | 0.0 | 2.3 | 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 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 | ||||||||
| 2025-09-24 | 2026-03-31 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.92% | Interest Income | |
| 2025-09-15 | 2026-02-06 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.51% | Interest Income | |
| 2025-09-16 | 2025-09-24 | Completed | 33.33% | $77.38 | $76.74 | -0.88% | Signal | |
| 2025-05-02 | 2025-09-16 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.58% | Interest Income | |
| 2025-04-24 | 2025-09-15 | Completed | 33.33% | $78.49 | $78.12 | -0.52% | Signal | |
| 2024-01-03 | 2025-05-02 | Completed | 33.33% | $68.23 | $78.84 | 15.49% | Signal | |
| 2025-01-08 | 2025-04-24 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.22% | Interest Income | |
| 2024-01-03 | 2025-01-08 | Completed | 33.33% | $68.23 | $74.17 | 8.66% | Signal | |
| 2023-09-28 | 2024-01-03 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.42% | Interest Income | |
| 2023-08-10 | 2024-01-03 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.16% | Interest Income | |
| 2023-03-31 | 2024-01-03 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 4.08% | Interest Income | |
| 2023-04-04 | 2023-09-28 | Completed | 33.33% | $68.71 | $63.94 | -6.99% | Signal | |
| 2023-05-30 | 2023-08-10 | Completed | 33.33% | $66.81 | $69.19 | 3.51% | Signal | |
| 2023-04-12 | 2023-05-30 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.67% | Interest Income | |
| 2023-01-04 | 2023-04-12 | Completed | 33.33% | $67.84 | $69.16 | 1.90% | Signal | |
| 2022-10-03 | 2023-04-04 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.22% | Interest Income | |
| 2022-10-25 | 2023-03-31 | Completed | 33.33% | $63.59 | $68.18 | 7.16% | Signal | |
| 2022-07-06 | 2023-01-04 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.73% | Interest Income | |
| 2022-10-03 | 2022-10-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2022-06-14 | 2022-10-03 | Completed | 33.33% | $62.74 | $60.78 | -3.17% | Stop | |
| 2020-04-06 | 2022-10-03 | Completed | 33.33% | $48.06 | $60.78 | 26.42% | Stop | |
| 2022-06-14 | 2022-07-06 | Completed | 33.33% | $62.74 | $65.61 | 4.52% | Signal | |
| 2022-05-20 | 2022-06-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2022-05-20 | 2022-06-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2020-09-16 | 2022-05-20 | Completed | 33.33% | $55.71 | $63.28 | 13.52% | Stop | |
| 2020-06-03 | 2022-05-20 | Completed | 33.33% | $50.88 | $63.28 | 24.31% | Stop | |
| 2020-06-12 | 2020-09-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-03-24 | 2020-06-12 | Completed | 33.33% | $42.99 | $49.90 | 16.02% | Signal | |
| 2020-04-02 | 2020-06-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-24 | 2020-04-02 | Completed | 33.33% | $42.99 | $44.73 | 4.01% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-04-22 | 2020-03-13 | Completed | 33.33% | $46.87 | $46.13 | -1.62% | Stop | |
| 2019-04-05 | 2020-03-02 | Completed | 33.33% | $45.73 | $48.94 | 6.98% | Stop | |
| 2019-01-22 | 2020-03-02 | Completed | 33.33% | $42.88 | $48.94 | 14.08% | Stop | |
| 2018-12-18 | 2019-04-22 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.81% | Interest Income | |
| 2019-01-28 | 2019-04-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.46% | Interest Income | |
| 2019-01-18 | 2019-01-28 | Completed | 33.33% | $42.73 | $42.31 | -1.03% | Signal | |
| 2018-12-27 | 2019-01-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-12-26 | 2019-01-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-11-15 | 2018-12-27 | Completed | 33.33% | $45.34 | $40.81 | -10.05% | Stop | |
| 2018-08-15 | 2018-12-26 | Completed | 33.33% | $43.11 | $40.03 | -7.20% | Stop | |
| 2018-12-04 | 2018-12-18 | Completed | 33.33% | $45.82 | $43.36 | -5.42% | Stop | |
| 2018-10-08 | 2018-12-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2018-04-23 | 2018-11-15 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.19% | Interest Income | |
| 2018-05-25 | 2018-10-08 | Completed | 33.33% | $39.87 | $43.37 | 8.73% | Signal | |
| 2018-04-12 | 2018-08-15 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.66% | Interest Income | |
| 2018-05-03 | 2018-05-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2009-08-27 | 2018-05-03 | Completed | 33.33% | $15.76 | $39.34 | 149.53% | Stop | |
| 2017-02-24 | 2018-04-23 | Completed | 33.33% | $42.65 | $40.44 | -5.22% | Stop | |
| 2017-12-26 | 2018-04-12 | Completed | 33.33% | $45.23 | $42.13 | -6.92% | Signal | |
| 2017-09-18 | 2017-12-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 2017-02-24 | 2017-09-18 | Completed | 33.33% | $42.65 | $43.67 | 2.33% | Signal | |
| 2017-01-27 | 2017-02-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2016-10-31 | 2017-02-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2015-09-17 | 2017-01-27 | Completed | 33.33% | $35.80 | $40.72 | 13.67% | Signal | |
| 2015-12-01 | 2016-10-31 | Completed | 33.33% | $37.17 | $40.55 | 9.04% | Signal | |
| 2015-10-29 | 2015-12-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2015-09-17 | 2015-10-29 | Completed | 33.33% | $35.80 | $37.83 | 5.60% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-07-29 | 2015-08-25 | Completed | 33.33% | $37.48 | $35.58 | -5.12% | Stop | |
| 2009-08-27 | 2015-08-25 | Completed | 33.33% | $15.76 | $35.58 | 125.69% | Stop | |
| 2015-07-07 | 2015-07-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-05-07 | 2015-07-07 | Completed | 33.33% | $31.70 | $35.99 | 13.47% | Signal | |
| 2014-04-14 | 2014-05-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-11-22 | 2014-04-14 | Completed | 33.33% | $20.53 | $31.03 | 51.07% | Signal | |
| 2011-09-16 | 2011-11-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-09-17 | 2011-09-16 | Completed | 33.33% | $18.15 | $20.72 | 14.15% | Signal | |
| 2010-07-13 | 2010-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2009-06-08 | 2010-07-13 | Completed | 33.33% | $14.72 | $17.39 | 18.03% | Signal | |
| 2008-12-19 | 2009-08-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2008-09-24 | 2009-08-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2008-10-10 | 2009-06-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2008-10-31 | 2008-12-19 | Completed | 33.33% | $15.30 | $14.80 | -3.35% | Signal | |
| 2008-10-09 | 2008-10-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2008-10-02 | 2008-10-10 | Completed | 33.33% | $17.21 | $14.05 | -18.39% | Stop | |
| 2008-02-14 | 2008-10-09 | Completed | 33.33% | $16.76 | $15.56 | -7.20% | Stop | |
| 2008-08-08 | 2008-10-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income | |
| 2008-09-16 | 2008-09-24 | Completed | 33.33% | $17.80 | $16.82 | -5.55% | Signal | |
| 2008-06-24 | 2008-09-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2008-06-04 | 2008-08-08 | Completed | 33.33% | $17.27 | $17.08 | -1.18% | Signal | |
| 2008-02-14 | 2008-06-24 | Completed | 33.33% | $16.76 | $16.53 | -1.42% | Signal | |
| 2008-03-07 | 2008-06-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2008-02-14 | 2008-03-07 | Completed | 33.33% | $16.76 | $16.48 | -1.68% | Signal | |
| 2008-01-23 | 2008-02-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2008-01-23 | 2008-02-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2008-01-23 | 2008-02-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2007-10-31 | 2008-01-23 | Completed | 33.33% | $16.99 | $16.04 | -5.62% | Stop | |
| 2006-03-16 | 2008-01-23 | Completed | 33.33% | $14.02 | $16.04 | 14.38% | Stop | |
| 2003-09-04 | 2008-01-23 | Completed | 33.33% | $11.64 | $16.04 | 37.76% | Stop | |
| 2007-09-04 | 2007-10-31 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.64% | Interest Income | |
| 2005-12-21 | 2007-09-04 | Completed | 33.33% | $13.87 | $16.27 | 17.22% | Signal | |
| 2005-10-04 | 2006-03-16 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.83% | Interest Income | |
| 2005-09-13 | 2005-12-21 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.05% | Interest Income | |
| 2005-03-15 | 2005-10-04 | Completed | 33.33% | $13.41 | $13.52 | 0.75% | Signal | |
| 2005-08-03 | 2005-09-13 | Completed | 33.33% | $13.55 | $13.41 | -1.03% | Signal | |
| 2005-05-18 | 2005-08-03 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.65% | Interest Income | |
| 2004-12-27 | 2005-05-18 | Completed | 33.33% | $13.24 | $13.39 | 1.10% | Signal | |
| 2004-11-22 | 2005-03-15 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.73% | Interest Income | |
| 2004-08-10 | 2004-12-27 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income | |
| 2003-09-02 | 2004-11-22 | Completed | 33.33% | $11.42 | $12.87 | 12.66% | Signal | |
| 2003-06-12 | 2004-08-10 | Completed | 33.33% | $11.46 | $12.29 | 7.21% | Signal | |
| 2002-05-07 | 2003-09-04 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.76% | Interest Income | |
| 2002-06-24 | 2003-09-02 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.52% | Interest Income | |
| 2002-06-11 | 2003-06-12 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.37% | Interest Income | |
| 2001-10-03 | 2002-06-24 | Completed | 33.33% | $13.69 | $12.57 | -8.20% | Stop | |
| 2001-11-12 | 2002-06-11 | Completed | 33.33% | $13.70 | $13.12 | -4.26% | Signal | |
| 2001-03-22 | 2002-05-07 | Completed | 33.33% | $12.37 | $13.69 | 10.61% | Signal | |
| 2001-09-10 | 2001-11-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income | |
| 2001-06-19 | 2001-10-03 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.91% | Interest Income | |
| 2001-08-29 | 2001-09-10 | Completed | 33.33% | $13.83 | $13.36 | -3.44% | Signal | |
| 2001-03-14 | 2001-08-29 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.72% | Interest Income | |
| 2001-04-05 | 2001-06-19 | Completed | 33.33% | $13.15 | $13.67 | 3.88% | Signal | |
| 2001-03-14 | 2001-04-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2000-12-12 | 2001-03-22 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.35% | Interest Income | |
| 2000-12-14 | 2001-03-14 | Completed | 33.33% | $14.78 | $13.26 | -10.30% | Stop | |
| 2000-12-14 | 2001-03-14 | Completed | 33.33% | $14.78 | $13.26 | -10.30% | Stop | |
| 2000-12-12 | 2000-12-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2000-12-12 | 2000-12-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |