XLP The Consumer Staples Select Sector SPDR Fund
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
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 -23.1% (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 59 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 | 1.13% | 3.77% | 4.70% | 6.04% | 4.82% | 7.49% | 6.07% | 6.98% |
| Sharpe Ratio | 0.13 | 0.29 | 0.45 | 0.44 | 0.45 | 0.49 | 0.58 | 0.47 |
| Max Drawdown | -6.64% | -9.69% | -14.02% | -16.30% | -17.22% | -24.51% | -23.09% | -35.89% |
| % Time Invested | 100.0% | 100.0% | 93.5% | 100.0% | 95.2% | 100.0% | 91.9% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 2.0 | 0.0 | 2.6 | 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 / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| 2026-03-31 | Open | Open | 33.33% | $82.00 | $82.91 | 1.11% | Mark-to-Market |
| 2026-02-06 | Open | Open | 33.33% | $86.36 | $82.91 | -4.00% | Mark-to-Market |
| 2024-01-03 | Open | Open | 33.33% | $68.70 | $82.91 | 20.68% | Mark-to-Market |
| 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% | $77.92 | $77.27 | -0.83% | 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% | $79.03 | $78.67 | -0.47% | Signal |
| 2024-01-03 | 2025-05-02 | Completed | 33.33% | $68.70 | $79.38 | 15.55% | 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% | $68.70 | $74.69 | 8.71% | 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% | $69.18 | $64.38 | -6.94% | Signal |
| 2023-05-30 | 2023-08-10 | Completed | 33.33% | $67.28 | $69.67 | 3.57% | 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% | $68.31 | $69.64 | 1.95% | 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% | $64.03 | $68.65 | 7.22% | 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% | $63.18 | $61.20 | -3.12% | Stop |
| 2020-04-06 | 2022-10-03 | Completed | 33.33% | $48.39 | $61.20 | 26.49% | Stop |
| 2022-06-14 | 2022-07-06 | Completed | 33.33% | $63.18 | $66.07 | 4.57% | 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% | $56.10 | $63.71 | 13.58% | Stop |
| 2020-06-03 | 2022-05-20 | Completed | 33.33% | $51.23 | $63.71 | 24.37% | 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% | $43.29 | $50.25 | 16.08% | 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% | $43.29 | $45.05 | 4.06% | 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% | $47.19 | $46.45 | -1.57% | Stop |
| 2019-04-05 | 2020-03-02 | Completed | 33.33% | $46.05 | $49.28 | 7.03% | Stop |
| 2019-01-22 | 2020-03-02 | Completed | 33.33% | $43.18 | $49.28 | 14.14% | 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% | $43.03 | $42.61 | -0.98% | 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% | $45.66 | $41.09 | -10.00% | Stop |
| 2018-08-15 | 2018-12-26 | Completed | 33.33% | $43.41 | $40.31 | -7.16% | Stop |
| 2018-12-04 | 2018-12-18 | Completed | 33.33% | $46.14 | $43.66 | -5.37% | 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% | $40.14 | $43.67 | 8.78% | 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% | $15.87 | $39.61 | 149.65% | Stop |
| 2017-02-24 | 2018-04-23 | Completed | 33.33% | $42.95 | $40.73 | -5.17% | Stop |
| 2017-12-26 | 2018-04-12 | Completed | 33.33% | $45.55 | $42.42 | -6.87% | 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% | $42.95 | $43.97 | 2.38% | 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% | $36.05 | $41.00 | 13.73% | Signal |
| 2015-12-01 | 2016-10-31 | Completed | 33.33% | $37.43 | $40.83 | 9.10% | 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% | $36.05 | $38.09 | 5.66% | 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% | $37.74 | $35.83 | -5.07% | Stop |
| 2009-08-27 | 2015-08-25 | Completed | 33.33% | $15.87 | $35.83 | 125.80% | 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% | $31.92 | $36.24 | 13.52% | 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% | $20.67 | $31.24 | 51.14% | 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% | $18.27 | $20.87 | 14.21% | 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% | $14.82 | $17.51 | 18.09% | 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% | $15.41 | $14.90 | -3.30% | 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% | $17.33 | $14.15 | -18.35% | Stop |
| 2008-02-14 | 2008-10-09 | Completed | 33.33% | $16.87 | $15.66 | -7.16% | 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% | $17.92 | $16.93 | -5.50% | 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% | $17.39 | $17.20 | -1.13% | Signal |
| 2008-02-14 | 2008-06-24 | Completed | 33.33% | $16.87 | $16.64 | -1.37% | 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% | $16.87 | $16.60 | -1.63% | 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% | $17.11 | $16.16 | -5.57% | Stop |
| 2006-03-16 | 2008-01-23 | Completed | 33.33% | $14.12 | $16.16 | 14.43% | Stop |
| 2003-09-04 | 2008-01-23 | Completed | 33.33% | $11.72 | $16.16 | 37.83% | 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% | $13.97 | $16.38 | 17.28% | 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% | $13.50 | $13.61 | 0.80% | Signal |
| 2005-08-03 | 2005-09-13 | Completed | 33.33% | $13.64 | $13.51 | -0.98% | 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% | $13.33 | $13.48 | 1.15% | 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% | $11.50 | $12.96 | 12.71% | Signal |
| 2003-06-12 | 2004-08-10 | Completed | 33.33% | $11.53 | $12.37 | 7.27% | 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% | $13.78 | $12.66 | -8.15% | Stop |
| 2001-11-12 | 2002-06-11 | Completed | 33.33% | $13.79 | $13.21 | -4.21% | Signal |
| 2001-03-22 | 2002-05-07 | Completed | 33.33% | $12.46 | $13.79 | 10.66% | 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% | $13.92 | $13.45 | -3.40% | 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% | $13.24 | $13.76 | 3.93% | 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% | $14.88 | $13.35 | -10.25% | Stop |
| 2000-12-14 | 2001-03-14 | Completed | 33.33% | $14.88 | $13.35 | -10.25% | 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 |