DeployQuant3-Month Momentum Switch on XLY
Consumer Discretionary Select Sector SPDR Fund: consumer discretionary stocks, a cyclical read on the US consumer. Backtest 2021-01-04 to 2026-10-02, $10,000 starting capital, computed by the same engine that runs live DeployQuant strategies.
Year by year
| Year | 3-month momentum | buy & hold |
|---|---|---|
| 2021 | 5.3% | 28.5% |
| 2022 | −20.6% | −35.7% |
| 2023 | 0.9% | 38.7% |
| 2024 | 3.3% | 26.0% |
| 2025 | 0.2% | 7.3% |
| 2026 | −9.1% | −7.2% |
Month by month
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | 0.0% | 0.0% | 0.0% | 2.8% | −5.8% | 3.4% | −1.9% | 1.0% | −2.1% | 6.6% | 1.6% | 0.2% |
| 2022 | −6.7% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | −7.0% | −10.8% | 2.6% | 0.0% | 0.0% |
| 2023 | 0.0% | −6.2% | 2.4% | −1.1% | −1.3% | 12.0% | 2.3% | −1.7% | −4.0% | 0.0% | 0.0% | −0.3% |
| 2024 | −4.3% | 7.7% | −0.1% | −5.3% | 0.0% | 0.0% | −0.8% | −10.8% | 7.1% | −1.7% | 12.6% | 1.1% |
| 2025 | 3.4% | −8.3% | 0.0% | 0.0% | 0.0% | 1.6% | 1.8% | 4.6% | 3.5% | 0.1% | −5.6% | 0.0% |
| 2026 | −1.8% | −2.7% | −3.1% | 0.0% | 0.0% | −1.0% | −0.9% | 0.0% | 0.0% | 0.0% | – | – |
Every trade
3-month momentum on XLY made 17 closed round trips, an average hold of 61 days, an average winner of 5.01%, an average loser of −4.61%, a profit factor of 0.53, a longest losing streak of 4. It held a position at the close on 49.3% of trading days.
| Entry | Entry price | Exit | Exit price | Return | Days held |
|---|---|---|---|---|---|
| 2021-04-07 | $83.14 | 2021-05-13 | $80.52 | −3.1% | 36 |
| 2021-05-27 | $82.77 | 2021-07-19 | $83.83 | 1.3% | 53 |
| 2021-08-11 | $87.05 | 2021-10-05 | $86.20 | −1.0% | 55 |
| 2021-10-18 | $90.45 | 2022-01-20 | $91.47 | 1.1% | 94 |
| 2022-08-10 | $80.74 | 2022-09-02 | $76.33 | −5.5% | 23 |
| 2022-09-09 | $78.31 | 2022-09-26 | $70.61 | −9.8% | 17 |
| 2022-09-28 | $71.05 | 2022-10-04 | $70.67 | −0.5% | 6 |
| 2023-02-02 | $75.29 | 2023-03-07 | $70.30 | −6.6% | 33 |
| 2023-03-22 | $70.73 | 2023-05-03 | $71.15 | 0.6% | 42 |
| 2023-05-31 | $73.98 | 2023-09-22 | $79.71 | 7.8% | 114 |
| 2023-12-18 | $87.65 | 2024-04-17 | $85.13 | −2.9% | 121 |
| 2024-07-08 | $92.78 | 2024-08-05 | $82.10 | −11.5% | 28 |
| 2024-08-22 | $92.22 | 2025-02-28 | $104.59 | 13.4% | 190 |
| 2025-06-10 | $105.89 | 2025-11-18 | $112.14 | 5.9% | 161 |
| 2026-01-12 | $122.68 | 2026-02-05 | $117.64 | −4.1% | 24 |
| 2026-02-25 | $116.70 | 2026-03-03 | $112.38 | −3.7% | 6 |
| 2026-06-15 | $118.18 | 2026-07-17 | $115.95 | −1.9% | 32 |
Prices are adjusted for splits and dividends, so they sit below the quotes printed at the time. An open position is marked at the last close.
Largest drawdowns
| Peak | Low point | Depth | Days to low | Recovered | Days to recover |
|---|---|---|---|---|---|
| 2021-11-19 | 2024-09-06 | −34.6% | 1022 | not yet | – |
| 2021-04-16 | 2021-06-03 | −8.0% | 48 | 2021-10-29 | 148 |
| 2021-11-05 | 2021-11-11 | −3.8% | 6 | 2021-11-19 | 8 |
Buy-and-hold's deepest drawdown ran from 2021-11-19 to 2022-12-28 and reached −39.1%.
With trading costs
The headline run fills at the bar price. These runs charge slippage on every fill.
| Slippage per fill | CAGR | Max drawdown | Final value | Sharpe |
|---|---|---|---|---|
| None (headline) | −3.9% | −34.6% | $7,941 | -0.24 |
| 5 basis points | −4.2% | −35.3% | $7,802 | -0.26 |
| 10 basis points | −4.5% | −35.9% | $7,667 | -0.28 |
Changing the parameters
| Version | CAGR | Max drawdown | Round trips | Win rate | Final value |
|---|---|---|---|---|---|
| Published rules | −3.9% | −34.6% | 17 | 35% | $7,941 |
| Enter above 0% | −0.6% | −28.1% | 46 | 35% | $9,666 |
| Enter above 10% | −5.4% | −36.1% | 12 | 33% | $7,259 |
| Enter above 15% | −2.7% | −24.7% | 8 | 38% | $8,558 |
How XLY behaved
| Measure | XLY |
|---|---|
| Data in this test | 2021-01-04 to 2026-10-02 (1444 sessions) |
| Total return, buy and hold | 44.7% |
| Annualized volatility | 23.3% |
| Deepest drawdown | −39.7% (2021-11-19 to 2022-12-28) |
| Up days | 53.0% |
| Average daily range | 1.68% |
| Average overnight gap | 0.63% |
| Correlation to SPY | 0.87 |
| Correlation to QQQ | 0.86 |
| Correlation to TLT | 0.11 |
| Sessions above the 200-day average | 65.1% |
| Crossings of the 200-day average | 59 |
| Falls of 10% or more from a 20-day high | 24 |
The rules
Hold while the trailing 3-month return is positive (above +5% to enter, below 0% to exit).
- WHEN the market opens · IF not invested AND the 63-day return > +5% · THEN buy with 98% of the sleeve
- WHEN the market opens · IF invested AND the 63-day return < 0% · THEN sell the whole position
Time-series momentum on a quarterly lookback, the horizon much of the academic momentum literature uses. The template enters after a +5% three-month run and exits when the same measure turns negative. The gap between entry (+5%) and exit (0%) is a buffer against flip-flopping around a single threshold.
Good for: assets with long, persistent cycles, such as index, sector and managed-futures ETFs.
Watch out: a three-month lookback is slow; V-shaped crashes and recoveries can see it exit near the bottom and re-enter well off the low.
Build it from blocks (or type it in English), backtest it on 5.7 years of minute data in seconds, tweak any parameter, then paper trade it on live data. No card, no broker needed to start.
Frequently asked questions
Did 3-month momentum beat buy-and-hold on XLY?
Over 2021-01-04 to 2026-10-02, 3-month momentum on XLY returned −3.9% annualized vs 6.3% for buy-and-hold: it trailed buy-and-hold by 10.2% per year, with a maximum drawdown 4.5 points shallower than holding (34.6% vs 39.1%).
How many trades did it make?
17 completed round trips over 5.7 years (34 fills), with 35% of round trips closing profitably.
Why 63 days?
63 trading days is about one quarter, a common momentum lookback. You can sweep it in DeployQuant to see how the horizon changes results.
Related
Backtests are hypothetical, computed by DeployQuant's engine on minute-resolution consolidated US market data (2021-01-04 to 2026-10-02, $10,000 starting capital, no margin, no fees or slippage in the headline run; buy-and-hold puts 98% of the account in at the first open, as the templates do) and do not guarantee future results. Nothing on this page is investment advice. Live trading involves risk of loss.