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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -28.0% (compared to the benchmark's drawdown of -59.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 5.6%, compared to a Buy-and-Hold benchmark return of 10.2%. The strategy executed 23 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.
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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 | -5.29% | -1.02% | 1.24% | 4.32% | 6.60% | 11.51% | 5.60% | 10.19% |
| Sharpe Ratio | -0.34 | -0.05 | 0.07 | 0.18 | 0.40 | 0.49 | 0.37 | 0.44 |
| Max Drawdown | -16.72% | -14.98% | -24.84% | -39.67% | -24.84% | -39.67% | -27.97% | -59.05% |
| % Time Invested | 77.0% | 100.0% | 68.0% | 100.0% | 78.3% | 100.0% | 73.6% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.4 | 0.0 | 0.9 | 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 | ||||||||
| 2025-07-08 | 2026-03-30 | Completed | 100% | $108.61 | $106.40 | -2.08% | Stop | |
| 2025-04-22 | 2025-07-08 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.89% | Interest Income | |
| 2025-04-01 | 2025-04-22 | Completed | 100% | $97.64 | $90.36 | -7.50% | Signal | |
| 2025-03-10 | 2025-04-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-11-15 | 2025-03-10 | Completed | 100% | $82.30 | $100.20 | 21.69% | Stop | |
| 2023-10-24 | 2023-11-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-05-22 | 2023-10-24 | Completed | 100% | $73.83 | $74.80 | 1.26% | Stop | |
| 2023-04-12 | 2023-05-22 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.57% | Interest Income | |
| 2023-01-18 | 2023-04-12 | Completed | 100% | $68.56 | $71.59 | 4.37% | Signal | |
| 2022-03-10 | 2023-01-18 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.22% | Interest Income | |
| 2022-02-16 | 2022-03-10 | Completed | 100% | $88.77 | $81.21 | -8.56% | Signal | |
| 2022-01-25 | 2022-02-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-06-19 | 2022-01-25 | Completed | 100% | $61.79 | $86.38 | 39.72% | Stop | |
| 2020-03-09 | 2020-06-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2019-03-26 | 2020-03-09 | Completed | 100% | $52.91 | $50.18 | -5.21% | Stop | |
| 2018-12-10 | 2019-03-26 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.69% | Interest Income | |
| 2016-04-25 | 2018-12-10 | Completed | 100% | $35.61 | $48.01 | 34.74% | Signal | |
| 2016-01-21 | 2016-04-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | 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 | |
| 2011-12-14 | 2015-08-25 | Completed | 100% | $16.11 | $32.47 | 101.50% | Stop | |
| 2011-09-02 | 2011-12-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-30 | 2011-09-02 | Completed | 100% | $15.51 | $15.21 | -1.99% | Signal | |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-09-20 | 2011-08-08 | Completed | 100% | $13.56 | $14.81 | 9.15% | Stop | |
| 2010-08-25 | 2010-09-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-06-16 | 2010-08-25 | Completed | 100% | $13.55 | $12.29 | -9.29% | Signal | |
| 2010-05-24 | 2010-06-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-06-03 | 2010-05-24 | Completed | 100% | $9.80 | $13.01 | 32.61% | Stop | |
| 2007-08-17 | 2009-06-03 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.84% | Interest Income | |
| 2006-10-05 | 2007-08-17 | Completed | 100% | $13.92 | $14.16 | 1.65% | Stop | |
| 2006-07-24 | 2006-10-05 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.02% | Interest Income | |
| 2005-11-08 | 2006-07-24 | Completed | 100% | $12.65 | $12.23 | -3.30% | Signal | |
| 2005-10-12 | 2005-11-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2005-07-26 | 2005-10-12 | Completed | 100% | $13.28 | $12.07 | -9.13% | Signal | |
| 2005-05-13 | 2005-07-26 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.60% | Interest Income | |
| 2004-10-29 | 2005-05-13 | Completed | 100% | $12.44 | $12.07 | -2.99% | Signal | |
| 2004-08-11 | 2004-10-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2003-05-12 | 2004-08-11 | Completed | 100% | $9.69 | $11.18 | 15.31% | Signal | |
| 2002-07-03 | 2003-05-12 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.17% | Interest Income | |
| 2001-12-28 | 2002-07-03 | Completed | 100% | $10.88 | $9.82 | -9.79% | Stop | |
| 2001-09-10 | 2001-12-28 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.58% | Interest Income | |
| 2001-02-08 | 2001-09-10 | Completed | 100% | $10.31 | $9.06 | -12.15% | Stop | |
| 2000-12-12 | 2001-02-08 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.80% | Interest Income | |