XLV
The Health Care Select Sector SPDR Fund
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for XLV (The Health Care 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 -19.3% (compared to the benchmark's drawdown of -39.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 6.0%, compared to a Buy-and-Hold benchmark return of 8.7%. The strategy executed 76 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.
XLV Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 9.08% | 21.86% | 1.13% | 6.19% | 6.56% | 9.88% | 6.03% | 8.69% |
| Sharpe Ratio | 0.74 | 1.27 | 0.11 | 0.40 | 0.52 | 0.57 | 0.53 | 0.48 |
| Max Drawdown | -10.21% | -10.47% | -16.69% | -17.11% | -16.69% | -28.40% | -19.27% | -39.17% |
| % Time Invested | 87.7% | 100.0% | 94.7% | 100.0% | 96.8% | 100.0% | 90.5% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 3.4 | 0.0 | 3.4 | 0.0 | 3.0 | 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 | ||||||||
| 2025-10-03 | 2026-04-22 | Completed | 33.33% | $141.75 | $145.87 | 2.85% | Signal | |
| 2025-08-20 | 2025-11-12 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.93% | Interest Income | |
| 2025-05-15 | 2025-11-12 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.08% | Interest Income | |
| 2025-05-15 | 2025-10-03 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.63% | Interest Income | |
| 2025-05-01 | 2025-08-20 | Completed | 33.33% | $135.78 | $134.66 | -0.88% | Signal | |
| 2025-05-01 | 2025-05-15 | Completed | 33.33% | $135.78 | $125.66 | -7.50% | Stop | |
| 2025-05-01 | 2025-05-15 | Completed | 33.33% | $135.78 | $125.66 | -7.50% | Stop | |
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-02-20 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.83% | Interest Income | |
| 2024-12-09 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.65% | Interest Income | |
| 2024-01-03 | 2025-04-08 | Completed | 33.33% | $133.55 | $136.39 | 2.07% | Stop | |
| 2025-01-16 | 2025-02-20 | Completed | 33.33% | $136.54 | $142.45 | 4.27% | Signal | |
| 2024-12-20 | 2025-01-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-11-08 | 2024-12-20 | Completed | 33.33% | $123.08 | $133.37 | 8.31% | Stop | |
| 2024-07-25 | 2024-12-09 | Completed | 33.33% | $144.40 | $140.09 | -3.03% | Signal | |
| 2024-06-24 | 2024-07-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.46% | Interest Income | |
| 2023-11-08 | 2024-06-24 | Completed | 33.33% | $123.08 | $141.90 | 15.23% | Signal | |
| 2023-10-27 | 2024-01-03 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.96% | Interest Income | |
| 2023-10-02 | 2023-11-08 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.59% | Interest Income | |
| 2023-06-08 | 2023-11-08 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.29% | Interest Income | |
| 2023-04-10 | 2023-10-27 | Completed | 33.33% | $126.11 | $119.27 | -5.47% | Stop | |
| 2023-08-09 | 2023-10-02 | Completed | 33.33% | $128.23 | $122.54 | -4.49% | Signal | |
| 2023-07-18 | 2023-08-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-07-03 | 2023-07-18 | Completed | 33.33% | $125.86 | $124.72 | -0.96% | Signal | |
| 2023-03-29 | 2023-07-03 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.33% | Interest Income | |
| 2023-03-17 | 2023-06-08 | Completed | 33.33% | $120.18 | $122.37 | 1.77% | Signal | |
| 2023-02-27 | 2023-04-10 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.55% | Interest Income | |
| 2022-12-06 | 2023-03-29 | Completed | 33.33% | $129.83 | $120.92 | -6.90% | Signal | |
| 2022-06-14 | 2023-03-17 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.78% | Interest Income | |
| 2022-07-11 | 2023-02-27 | Completed | 33.33% | $121.66 | $121.90 | 0.14% | Signal | |
| 2022-06-22 | 2022-12-06 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.47% | Interest Income | |
| 2022-06-15 | 2022-07-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2022-06-02 | 2022-06-22 | Completed | 33.33% | $121.61 | $114.00 | -6.30% | Signal | |
| 2020-04-06 | 2022-06-15 | Completed | 33.33% | $80.96 | $112.93 | 39.42% | Stop | |
| 2020-03-24 | 2022-06-14 | Completed | 33.33% | $70.66 | $113.27 | 60.21% | Stop | |
| 2022-05-10 | 2022-06-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2022-04-29 | 2022-05-10 | Completed | 33.33% | $123.41 | $119.04 | -3.59% | Signal | |
| 2022-04-06 | 2022-04-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2020-06-22 | 2022-04-06 | Completed | 33.33% | $90.72 | $127.54 | 40.51% | Signal | |
| 2020-04-20 | 2020-06-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-24 | 2020-04-20 | Completed | 33.33% | $70.66 | $90.26 | 27.66% | Signal | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 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 | |
| 2017-02-24 | 2020-03-13 | Completed | 33.33% | $63.37 | $79.83 | 25.92% | Stop | |
| 2019-11-14 | 2020-03-02 | Completed | 33.33% | $84.94 | $83.36 | -1.91% | Stop | |
| 2019-07-22 | 2020-03-02 | Completed | 33.33% | $81.45 | $83.36 | 2.30% | Stop | |
| 2019-10-23 | 2019-11-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2019-07-25 | 2019-10-23 | Completed | 33.33% | $81.52 | $81.93 | 0.45% | Signal | |
| 2019-06-28 | 2019-07-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2019-05-16 | 2019-07-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income | |
| 2019-04-03 | 2019-06-28 | Completed | 33.33% | $81.30 | $81.90 | 0.68% | Signal | |
| 2019-01-17 | 2019-05-16 | Completed | 33.33% | $77.41 | $77.81 | 0.47% | Signal | |
| 2018-12-24 | 2019-04-03 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.65% | Interest Income | |
| 2018-12-24 | 2019-01-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-07-10 | 2018-12-24 | Completed | 33.33% | $75.72 | $72.24 | -4.64% | Stop | |
| 2018-03-07 | 2018-12-24 | Completed | 33.33% | $72.36 | $72.24 | -0.21% | Stop | |
| 2018-05-02 | 2018-07-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income | |
| 2018-03-07 | 2018-05-02 | Completed | 33.33% | $72.36 | $71.08 | -1.82% | Signal | |
| 2018-02-12 | 2018-03-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2018-02-12 | 2018-03-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2017-04-26 | 2018-02-12 | Completed | 33.33% | $64.20 | $71.56 | 11.41% | Stop | |
| 2017-02-27 | 2018-02-12 | Completed | 33.33% | $63.82 | $71.56 | 12.06% | Stop | |
| 2017-02-14 | 2017-04-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2016-11-09 | 2017-02-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-10-11 | 2017-02-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2016-07-25 | 2017-02-14 | Completed | 33.33% | $63.45 | $61.59 | -2.97% | Signal | |
| 2016-05-16 | 2016-11-09 | Completed | 33.33% | $58.26 | $58.06 | -0.40% | Signal | |
| 2016-10-07 | 2016-10-11 | Completed | 33.33% | $61.01 | $61.01 | -0.05% | Signal | |
| 2016-09-15 | 2016-10-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2016-09-15 | Completed | 33.33% | $59.59 | $60.45 | 1.39% | Signal | |
| 2016-06-28 | 2016-07-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2016-06-03 | 2016-06-28 | Completed | 33.33% | $60.92 | $58.25 | -4.44% | Stop | |
| 2015-12-16 | 2016-06-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2016-02-10 | 2016-05-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2016-01-25 | 2016-02-10 | Completed | 33.33% | $56.79 | $54.07 | -4.84% | Signal | |
| 2015-09-29 | 2016-01-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2015-09-17 | 2015-12-16 | Completed | 33.33% | $59.59 | $60.42 | 1.34% | Signal | |
| 2015-09-17 | 2015-09-29 | Completed | 33.33% | $59.59 | $53.88 | -9.63% | 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 | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-02-15 | 2015-08-25 | Completed | 33.33% | $28.49 | $58.97 | 106.92% | Stop | |
| 2011-12-22 | 2015-08-25 | Completed | 33.33% | $27.08 | $58.97 | 117.66% | Stop | |
| 2011-08-31 | 2015-08-25 | Completed | 33.33% | $25.91 | $58.97 | 127.52% | Stop | |
| 2011-12-15 | 2012-02-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-09-13 | 2011-12-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-30 | 2011-12-15 | Completed | 33.33% | $25.65 | $26.21 | 2.13% | Signal | |
| 2011-08-30 | 2011-09-13 | Completed | 33.33% | $25.65 | $24.99 | -2.62% | Signal | |
| 2011-08-09 | 2011-08-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2009-11-11 | 2011-08-09 | Completed | 33.33% | $22.51 | $23.75 | 5.44% | Stop | |
| 2011-01-03 | 2011-08-08 | Completed | 33.33% | $24.38 | $24.23 | -0.66% | Stop | |
| 2010-10-12 | 2011-08-08 | Completed | 33.33% | $23.53 | $24.23 | 2.91% | Stop | |
| 2010-08-30 | 2011-01-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2010-09-01 | 2010-10-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2010-08-10 | 2010-09-01 | Completed | 33.33% | $22.53 | $21.61 | -4.14% | Stop | |
| 2010-06-01 | 2010-08-30 | Completed | 33.33% | $21.80 | $21.77 | -0.21% | Signal | |
| 2010-05-07 | 2010-08-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-08-28 | 2010-05-07 | Completed | 33.33% | $21.67 | $22.85 | 5.37% | Stop | |
| 2009-06-22 | 2010-05-07 | Completed | 33.33% | $19.37 | $22.85 | 17.86% | Stop | |
| 2008-07-01 | 2009-11-11 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income | |
| 2007-11-29 | 2009-08-28 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.78% | Interest Income | |
| 2008-10-07 | 2009-06-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2008-08-26 | 2008-10-07 | Completed | 33.33% | $23.98 | $21.11 | -11.98% | Stop | |
| 2008-01-23 | 2008-08-26 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.02% | Interest Income | |
| 2008-02-14 | 2008-07-01 | Completed | 33.33% | $24.29 | $22.10 | -9.10% | Signal | |
| 2008-01-23 | 2008-02-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2007-11-26 | 2008-01-23 | Completed | 33.33% | $25.65 | $23.77 | -7.40% | Stop | |
| 2007-03-23 | 2008-01-23 | Completed | 33.33% | $24.35 | $23.77 | -2.45% | Stop | |
| 2006-11-29 | 2007-11-29 | Completed | 33.33% | $23.41 | $25.85 | 10.33% | Signal | |
| 2007-08-29 | 2007-11-26 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.92% | Interest Income | |
| 2006-09-11 | 2007-08-29 | Completed | 33.33% | $23.19 | $24.48 | 5.54% | Signal | |
| 2007-01-19 | 2007-03-23 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.88% | Interest Income | |
| 2005-10-17 | 2007-01-19 | Completed | 33.33% | $21.57 | $24.72 | 14.57% | Signal | |
| 2006-06-12 | 2006-11-29 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.35% | Interest Income | |
| 2006-05-11 | 2006-09-11 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income | |
| 2006-04-21 | 2006-06-12 | Completed | 33.33% | $22.18 | $21.49 | -3.14% | Signal | |
| 2005-12-19 | 2006-05-11 | Completed | 33.33% | $22.49 | $21.57 | -4.15% | Signal | |
| 2006-03-07 | 2006-04-21 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.58% | Interest Income | |
| 2005-04-20 | 2006-03-07 | Completed | 33.33% | $21.37 | $22.59 | 5.66% | Signal | |
| 2005-10-26 | 2005-12-19 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.57% | Interest Income | |
| 2005-01-18 | 2005-10-26 | Completed | 33.33% | $20.64 | $21.19 | 2.63% | Signal | |
| 2005-04-22 | 2005-10-17 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.58% | Interest Income | |
| 2003-07-22 | 2005-04-22 | Completed | 33.33% | $19.83 | $21.42 | 7.99% | Signal | |
| 2004-10-11 | 2005-04-20 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.24% | Interest Income | |
| 2004-07-14 | 2005-01-18 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.95% | Interest Income | |
| 2003-04-30 | 2004-10-11 | Completed | 33.33% | $18.72 | $19.41 | 3.61% | Signal | |
| 2004-07-02 | 2004-07-14 | Completed | 33.33% | $20.89 | $20.51 | -1.87% | Signal | |
| 2004-06-09 | 2004-07-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2003-12-31 | 2004-06-09 | Completed | 33.33% | $20.68 | $21.65 | 4.66% | Signal | |
| 2003-10-14 | 2003-12-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income | |
| 2003-05-16 | 2003-10-14 | Completed | 33.33% | $19.55 | $19.31 | -1.25% | Signal | |
| 2003-03-07 | 2003-07-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2003-02-27 | 2003-05-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2002-10-11 | 2003-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.67% | Interest Income | |
| 2003-01-29 | 2003-03-07 | Completed | 33.33% | $17.72 | $17.24 | -2.73% | Signal | |
| 2002-10-21 | 2003-02-27 | Completed | 33.33% | $18.73 | $17.34 | -7.46% | Signal | |
| 2002-12-30 | 2003-01-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2002-10-21 | 2002-12-30 | Completed | 33.33% | $18.73 | $17.78 | -5.11% | Stop | |
| 2002-07-03 | 2002-10-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.50% | Interest Income | |
| 2000-12-12 | 2002-10-21 | Interest (CASH) | 33.33% | $1.00 | $1.05 | 5.11% | Interest Income | |
| 2002-07-26 | 2002-10-11 | Completed | 33.33% | $16.37 | $17.79 | 8.60% | Signal | |
| 2002-07-03 | 2002-07-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2002-04-17 | 2002-07-03 | Completed | 33.33% | $20.09 | $17.33 | -13.78% | Stop | |
| 2002-01-14 | 2002-07-03 | Completed | 33.33% | $18.46 | $17.33 | -6.19% | Stop | |
| 2000-12-12 | 2002-04-17 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 4.21% | Interest Income | |
| 2001-09-10 | 2002-01-14 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.65% | Interest Income | |
| 2001-06-22 | 2001-09-10 | Completed | 33.33% | $19.70 | $17.28 | -12.33% | Stop | |
| 2001-04-16 | 2001-06-22 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.70% | Interest Income | |
| 2001-04-04 | 2001-04-16 | Completed | 33.33% | $17.44 | $18.40 | 5.46% | Signal | |
| 2000-12-12 | 2001-04-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.50% | Interest Income | |