XLY
The Consumer Discretionary Select Sector SPDR Fund
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for XLY (The Consumer Discretionary 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 -27.9% (compared to the benchmark's drawdown of -59.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 7.9%, compared to a Buy-and-Hold benchmark return of 10.2%. The strategy executed 22 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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XLY Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | -11.61% | -1.02% | 5.02% | 4.32% | 12.11% | 11.51% | 7.88% | 10.19% |
| Sharpe Ratio | -0.68 | -0.05 | 0.23 | 0.18 | 0.60 | 0.49 | 0.47 | 0.44 |
| Max Drawdown | -21.68% | -14.98% | -27.58% | -39.67% | -27.58% | -39.67% | -27.92% | -59.05% |
| % Time Invested | 93.7% | 100.0% | 87.8% | 100.0% | 92.6% | 100.0% | 77.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.2 | 0.0 | 0.8 | 0.0 | 0.9 | 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 | ||||||||
| 2026-03-30 | 2026-04-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2025-04-01 | 2026-03-30 | Completed | 100% | $97.64 | $106.40 | 8.92% | Stop | |
| 2025-03-10 | 2025-04-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-01-18 | 2025-03-10 | Completed | 100% | $68.56 | $100.20 | 46.08% | Stop | |
| 2022-10-25 | 2023-01-18 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.97% | Interest Income | |
| 2022-10-18 | 2022-10-25 | Completed | 100% | $70.27 | $69.26 | -1.49% | Signal | |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-07-13 | 2022-09-26 | Completed | 100% | $67.01 | $70.60 | 5.30% | Stop | |
| 2022-06-17 | 2022-07-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2022-05-24 | 2022-06-17 | Completed | 100% | $67.07 | $64.90 | -3.28% | Stop | |
| 2022-05-02 | 2022-05-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2022-02-16 | 2022-05-02 | Completed | 100% | $88.77 | $78.27 | -11.87% | Stop | |
| 2022-01-25 | 2022-02-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-31 | 2022-01-25 | Completed | 100% | $47.17 | $86.38 | 83.03% | Stop | |
| 2020-03-09 | 2020-03-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-01-11 | 2020-03-09 | Completed | 100% | $48.61 | $50.18 | 3.19% | Stop | |
| 2018-12-18 | 2019-01-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-02-12 | 2018-12-18 | Completed | 100% | $30.98 | $46.64 | 50.48% | Stop | |
| 2016-01-21 | 2016-02-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2016-01-21 | Completed | 100% | $34.07 | $31.91 | -6.39% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-30 | 2015-08-25 | Completed | 100% | $15.51 | $32.47 | 109.28% | Stop | |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-16 | 2011-08-08 | Completed | 100% | $13.55 | $14.81 | 9.29% | Stop | |
| 2010-05-24 | 2010-06-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-11-11 | 2010-05-24 | Completed | 100% | $11.81 | $13.01 | 10.06% | Stop | |
| 2008-03-17 | 2009-11-11 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.07% | Interest Income | |
| 2008-01-28 | 2008-03-17 | Completed | 100% | $12.14 | $11.60 | -4.54% | Signal | |
| 2008-01-03 | 2008-01-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2007-09-11 | 2008-01-03 | Completed | 100% | $14.06 | $12.70 | -9.71% | Stop | |
| 2007-08-17 | 2007-09-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2007-01-03 | 2007-08-17 | Completed | 100% | $15.07 | $14.16 | -6.06% | Stop | |
| 2006-05-17 | 2007-01-03 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.11% | Interest Income | |
| 2006-05-11 | 2006-05-17 | Completed | 100% | $13.45 | $13.11 | -2.53% | Signal | |
| 2006-03-10 | 2006-05-11 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.79% | Interest Income | |
| 2003-12-18 | 2006-03-10 | Completed | 100% | $11.60 | $12.83 | 10.55% | Signal | |
| 2002-12-20 | 2003-12-18 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.03% | Interest Income | |
| 2002-10-29 | 2002-12-20 | Completed | 100% | $9.29 | $8.86 | -4.71% | Signal | |
| 2002-10-07 | 2002-10-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2002-07-26 | 2002-10-07 | Completed | 100% | $8.58 | $8.48 | -1.20% | Stop | |
| 2002-07-03 | 2002-07-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2002-01-16 | 2002-07-03 | Completed | 100% | $10.55 | $9.82 | -6.89% | Stop | |
| 2001-08-20 | 2002-01-16 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.85% | Interest Income | |
| 2001-07-20 | 2001-08-20 | Completed | 100% | $10.88 | $10.31 | -5.24% | Stop | |
| 2000-12-12 | 2001-07-20 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.59% | Interest Income | |