I believe that you have an error somewhere.

For example, on the web site, you can see that XLE had 60 trades (you show 65 trades for XLE) and when you simply add all the returns of all these trades, that makes a total of 42.6% between 2010 and now.
I just added them right now manually, so I may be wrong but by a small percentage.

You might also consider for example all the Buy Oversold or Short Overbought trades and see the difference in returns. Often, it is better to wait for the right trade and not take all the trades of a method.
I attach the calculation for XLE.




Pascal


Name: XLE_Returns.gif Views: 529 Size: 2.8 KB