DeployQuantSMA 10/50 Trend on XLF
Financial Select Sector SPDR Fund: S&P 500 banks, insurers and asset managers. 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 | SMA 10/50 trend | buy & hold |
|---|---|---|
| 2021 | 6.0% | 35.8% |
| 2022 | −18.2% | −10.4% |
| 2023 | 8.9% | 11.9% |
| 2024 | 24.7% | 29.9% |
| 2025 | 2.9% | 14.7% |
| 2026 | 3.5% | −1.1% |
Month by month
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | 0.0% | 0.0% | −0.7% | 6.4% | 4.7% | −4.6% | 0.0% | 1.1% | −1.8% | 7.1% | −5.7% | 0.1% |
| 2022 | −6.0% | −5.7% | −4.0% | −1.7% | 0.0% | 0.0% | 0.0% | −1.1% | −2.0% | −0.1% | 6.8% | −5.6% |
| 2023 | 2.7% | −2.3% | −1.7% | 0.0% | −3.2% | 2.5% | 4.7% | −3.7% | 0.0% | 0.0% | 4.6% | 5.4% |
| 2024 | 2.9% | 4.0% | 4.7% | −3.6% | −0.8% | −2.1% | 5.9% | 4.4% | −0.5% | 2.6% | 10.2% | −4.4% |
| 2025 | 1.1% | 1.4% | −7.6% | 0.0% | 3.1% | 3.1% | 0.0% | 3.1% | 0.1% | −3.5% | 0.0% | 2.6% |
| 2026 | −3.1% | 0.0% | 0.0% | −0.2% | −1.1% | 4.2% | 6.1% | 1.3% | −3.3% | 0.0% | – | – |
Every trade
SMA 10/50 trend on XLF made 19 closed round trips, an average hold of 69 days, an average winner of 6.92%, an average loser of −3.44%, a profit factor of 1.75, a longest losing streak of 4. It held a position at the close on 62.5% of trading days.
| Entry | Entry price | Exit | Exit price | Return | Days held |
|---|---|---|---|---|---|
| 2021-03-17 | $31.20 | 2021-06-23 | $32.97 | 5.7% | 98 |
| 2021-08-10 | $34.69 | 2021-12-02 | $34.84 | 0.4% | 114 |
| 2022-01-06 | $37.42 | 2022-01-28 | $35.12 | −6.2% | 22 |
| 2022-02-08 | $37.37 | 2022-02-25 | $35.21 | −5.8% | 17 |
| 2022-03-29 | $36.97 | 2022-04-08 | $34.87 | −5.7% | 10 |
| 2022-08-01 | $31.10 | 2022-09-22 | $30.12 | −3.1% | 52 |
| 2022-10-31 | $31.78 | 2022-12-27 | $32.02 | 0.8% | 57 |
| 2023-01-11 | $33.47 | 2023-03-08 | $33.03 | −1.3% | 56 |
| 2023-05-19 | $31.05 | 2023-06-01 | $30.16 | −2.9% | 13 |
| 2023-06-09 | $31.35 | 2023-08-25 | $32.32 | 3.1% | 77 |
| 2023-11-14 | $32.69 | 2024-04-22 | $39.07 | 19.5% | 160 |
| 2024-05-13 | $40.43 | 2024-06-18 | $39.46 | −2.4% | 36 |
| 2024-06-21 | $39.80 | 2024-06-24 | $39.98 | 0.5% | 3 |
| 2024-06-25 | $40.09 | 2024-06-26 | $39.68 | −1.0% | 1 |
| 2024-07-01 | $39.88 | 2024-12-27 | $47.57 | 19.3% | 179 |
| 2025-01-27 | $49.57 | 2025-03-12 | $46.91 | −5.4% | 44 |
| 2025-05-07 | $48.25 | 2025-10-17 | $51.15 | 6.0% | 163 |
| 2025-12-08 | $52.72 | 2026-01-28 | $52.36 | −0.7% | 51 |
| 2026-04-16 | $51.89 | 2026-09-18 | $55.55 | 7.0% | 155 |
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 |
|---|---|---|---|---|---|
| 2021-10-22 | 2023-06-26 | −27.2% | 612 | 2024-10-16 | 478 |
| 2024-11-29 | 2025-03-11 | −10.5% | 102 | 2025-12-24 | 288 |
| 2021-06-04 | 2021-09-21 | −8.8% | 109 | 2021-10-20 | 29 |
Buy-and-hold's deepest drawdown ran from 2022-01-12 to 2022-10-12 and reached −25.5%.
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) | 4.0% | −27.2% | $12,541 | 0.39 |
| 5 basis points | 3.7% | −27.8% | $12,317 | 0.37 |
| 10 basis points | 3.4% | −28.4% | $12,081 | 0.34 |
Changing the parameters
| Version | CAGR | Max drawdown | Round trips | Win rate | Final value |
|---|---|---|---|---|---|
| Published rules | 4.0% | −27.2% | 19 | 47% | $12,541 |
| SMA 5/50 | 3.4% | −27.2% | 26 | 50% | $12,135 |
| SMA 20/50 | 3.4% | −24.1% | 16 | 50% | $12,088 |
| SMA 10/100 | 0.6% | −31.0% | 14 | 36% | $10,370 |
How XLF behaved
| Measure | XLF |
|---|---|
| Data in this test | 2021-01-04 to 2026-10-02 (1444 sessions) |
| Total return, buy and hold | 102.9% |
| Annualized volatility | 18.4% |
| Deepest drawdown | −25.9% (2022-01-12 to 2022-10-12) |
| Up days | 52.9% |
| Average daily range | 1.40% |
| Average overnight gap | 0.49% |
| Correlation to SPY | 0.77 |
| Correlation to QQQ | 0.59 |
| Correlation to TLT | -0.05 |
| Sessions above the 200-day average | 71.2% |
| Crossings of the 200-day average | 38 |
| Falls of 10% or more from a 20-day high | 10 |
The rules
A faster moving-average crossover: hold while the 10-day average is above the 50-day.
- WHEN the market opens · IF not invested AND SMA(10) > SMA(50) · THEN buy with 98% of the sleeve
- WHEN the market opens · IF invested AND SMA(10) < SMA(50) · THEN sell the whole position
A faster version of the golden cross. The 10- and 50-day averages catch intermediate trends measured in weeks rather than years. It enters recoveries earlier and exits breakdowns earlier, with more whipsaw trades in sideways markets. Useful for seeing how signal speed changes a strategy's results.
Good for: trending assets with multi-week swings, such as leveraged index ETFs.
Watch out: several false signals a year is normal; each whipsaw costs a small loss and they add up in flat markets.
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 SMA 10/50 trend beat buy-and-hold on XLF?
Over 2021-01-04 to 2026-10-02, SMA 10/50 trend on XLF returned 4.0% annualized vs 12.6% for buy-and-hold: it trailed buy-and-hold by 8.6% per year, with a maximum drawdown of 27.2% (buy-and-hold: 25.5%).
How many trades did it make?
19 completed round trips over 5.7 years (38 fills), with 47% of round trips closing profitably.
Why 10 and 50 days?
A common intermediate-trend pairing. It reacts within weeks and ignores single bad days. Both windows are editable parameters in DeployQuant.
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.