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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -26.1% (compared to the benchmark's drawdown of -35.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 4.4%, compared to a Buy-and-Hold benchmark return of 7.0%. The strategy executed 20 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.
Switch to MMA to enable
XLP Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | -1.31% | 3.77% | 2.78% | 6.04% | 2.49% | 7.49% | 4.40% | 6.98% |
| Sharpe Ratio | -0.12 | 0.29 | 0.24 | 0.44 | 0.20 | 0.49 | 0.39 | 0.47 |
| Max Drawdown | -9.69% | -9.69% | -16.74% | -16.30% | -23.83% | -24.51% | -26.07% | -35.89% |
| % Time Invested | 72.6% | 100.0% | 78.7% | 100.0% | 78.3% | 100.0% | 78.3% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.4 | 0.0 | 0.7 | 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 / 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 |
|---|---|---|---|---|---|---|---|
| 2026-02-03 | Open | Open | 100% | $83.65 | $82.91 | -0.88% | Mark-to-Market |
| 2025-10-23 | 2026-02-03 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.02% | Interest Income |
| 2024-01-03 | 2025-10-23 | Completed | 100% | $68.70 | $78.75 | 14.63% | Signal |
| 2023-09-22 | 2024-01-03 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.51% | Interest Income |
| 2022-12-21 | 2023-09-22 | Completed | 100% | $68.40 | $65.91 | -3.64% | Signal |
| 2022-06-17 | 2022-12-21 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.67% | Interest Income |
| 2020-06-03 | 2022-06-17 | Completed | 100% | $51.23 | $62.14 | 21.30% | Stop |
| 2020-03-13 | 2020-06-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2019-03-20 | 2020-03-13 | Completed | 100% | $45.41 | $46.45 | 2.30% | Stop |
| 2019-02-26 | 2019-03-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2018-08-31 | 2019-02-26 | Completed | 100% | $43.70 | $44.70 | 2.31% | Signal |
| 2018-04-03 | 2018-08-31 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.81% | Interest Income |
| 2017-12-18 | 2018-04-03 | Completed | 100% | $45.68 | $41.56 | -9.02% | Signal |
| 2017-11-02 | 2017-12-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2017-02-24 | 2017-11-02 | Completed | 100% | $42.95 | $42.32 | -1.45% | Signal |
| 2016-11-14 | 2017-02-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2015-11-12 | 2016-11-14 | Completed | 100% | $36.88 | $39.15 | 6.17% | Signal |
| 2015-09-30 | 2015-11-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-10-28 | 2015-09-30 | Completed | 100% | $21.32 | $35.48 | 66.43% | Signal |
| 2011-10-06 | 2011-10-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-09-10 | 2011-10-06 | Completed | 100% | $17.93 | $20.07 | 11.98% | Signal |
| 2010-07-14 | 2010-09-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-07-06 | 2010-07-14 | Completed | 100% | $14.54 | $17.47 | 20.20% | Signal |
| 2008-10-09 | 2009-07-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2008-09-10 | 2008-10-09 | Completed | 100% | $17.91 | $15.66 | -12.56% | Stop |
| 2008-07-11 | 2008-09-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.28% | Interest Income |
| 2008-04-18 | 2008-07-11 | Completed | 100% | $17.47 | $16.71 | -4.34% | Signal |
| 2008-03-13 | 2008-04-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2008-02-14 | 2008-03-13 | Completed | 100% | $16.87 | $16.67 | -1.20% | Signal |
| 2008-01-23 | 2008-02-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2005-11-11 | 2008-01-23 | Completed | 100% | $13.71 | $16.16 | 17.80% | Stop |
| 2005-10-14 | 2005-11-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2004-12-27 | 2005-10-14 | Completed | 100% | $13.33 | $13.22 | -0.79% | Signal |
| 2004-09-16 | 2004-12-27 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.55% | Interest Income |
| 2003-06-24 | 2004-09-16 | Completed | 100% | $11.35 | $12.68 | 11.78% | Signal |
| 2002-06-06 | 2003-06-24 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.42% | Interest Income |
| 2001-10-03 | 2002-06-06 | Completed | 100% | $13.78 | $13.38 | -2.94% | Signal |
| 2001-04-17 | 2001-10-03 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.55% | Interest Income |
| 2001-04-10 | 2001-04-17 | Completed | 100% | $13.45 | $13.28 | -1.21% | Signal |
| 2001-03-19 | 2001-04-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2000-12-14 | 2001-03-19 | Completed | 100% | $14.88 | $13.11 | -11.88% | Stop |
| 2000-12-12 | 2000-12-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |