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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -26.0% (compared to the benchmark's drawdown of -35.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.0%, compared to a Buy-and-Hold benchmark return of 7.0%. The strategy executed 9 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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XLP Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 6.28% | 6.28% | 6.36% | 6.07% | 6.54% | 7.10% | 7.96% | 7.03% |
| Sharpe Ratio | 0.44 | 0.44 | 0.48 | 0.44 | 0.49 | 0.46 | 0.63 | 0.47 |
| Max Drawdown | -9.69% | -9.69% | -20.33% | -16.30% | -20.33% | -24.51% | -26.02% | -35.89% |
| % Time Invested | 100.0% | 100.0% | 84.8% | 100.0% | 86.9% | 100.0% | 84.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.4 | 0.0 | 0.4 | 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 | ||||||||
| 2023-04-24 | 2024-01-03 | Interest (CASH) | 100% | $1.00 | $1.04 | 3.77% | Interest Income | |
| 2022-07-13 | 2023-04-24 | Completed | 100% | $64.85 | $70.08 | 8.02% | Signal | |
| 2022-06-17 | 2022-07-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2020-04-06 | 2022-06-17 | Completed | 100% | $48.06 | $61.71 | 28.36% | Stop | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-04-22 | 2020-03-13 | Completed | 100% | $46.87 | $46.13 | -1.62% | Stop | |
| 2018-11-13 | 2019-04-22 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.02% | Interest Income | |
| 2018-05-25 | 2018-11-13 | Completed | 100% | $39.87 | $45.94 | 15.16% | Signal | |
| 2018-05-03 | 2018-05-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2009-08-27 | 2018-05-03 | Completed | 100% | $15.76 | $39.34 | 149.53% | Stop | |
| 2008-12-15 | 2009-08-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2008-10-31 | 2008-12-15 | Completed | 100% | $15.30 | $14.41 | -5.90% | Signal | |
| 2008-10-09 | 2008-10-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2008-02-14 | 2008-10-09 | Completed | 100% | $16.76 | $15.56 | -7.20% | Stop | |
| 2008-01-23 | 2008-02-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2003-09-04 | 2008-01-23 | Completed | 100% | $11.64 | $16.04 | 37.76% | Stop | |
| 2002-03-14 | 2003-09-04 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.02% | Interest Income | |
| 2001-03-23 | 2002-03-14 | Completed | 100% | $12.59 | $14.20 | 12.76% | Signal | |
| 2000-12-12 | 2001-03-23 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.36% | Interest Income | |