Trend following · daily rule · Indexes & ETFs
Aroon on S&P 500 ETF
What the play says
Latest reading: Aroon up 80.00 · Aroon down 24.00
SPY with the play, last two years
Shading shows the play's call from the close that triggered it.
Aroon (25)
Dashed line at 50.
Growth of $10,000 since 2005
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding SPY over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.6% | +11.0% | +9.8% | +13.9% |
| Total return | +387% | +861% | +59% | +91% |
| Worst drawdown | −15.8% | −55.2% | −15.0% | −24.5% |
| Volatility | 10.7% | 18.9% | 10.5% | 17.1% |
| Sharpe ratio | 0.57 | 0.55 | 0.58 | 0.62 |
| Time invested | 65% | 100% | ||
| Switches per year | 8.2 | 0 |
Every call, graded
Right on 74 of 178 closed calls (42%). In calls averaged +1.9%; out calls saw SPY move +0.9% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Sep 22, 2026 | IN | $773.38 | now | +0.6% | open |
| Sep 9, 2026 | OUT | $760.51 | Sep 22, 2026 | +1.7% | ✕ wrong |
| Jul 14, 2026 | IN | $749.97 | Sep 9, 2026 | +1.4% | ✓ right |
| Jun 11, 2026 | OUT | $734.04 | Jul 14, 2026 | +2.2% | ✕ wrong |
| Apr 13, 2026 | IN | $682.64 | Jun 11, 2026 | +7.5% | ✓ right |
| Feb 5, 2026 | OUT | $672.37 | Apr 13, 2026 | +1.5% | ✕ wrong |
| Dec 5, 2025 | IN | $678.37 | Feb 5, 2026 | −0.9% | ✕ wrong |
| Nov 19, 2025 | OUT | $655.56 | Dec 5, 2025 | +3.5% | ✕ wrong |
| May 5, 2025 | IN | $554.32 | Nov 19, 2025 | +18.3% | ✓ right |
| Feb 25, 2025 | OUT | $582.79 | May 5, 2025 | −4.9% | ✓ right |
| Jan 22, 2025 | IN | $594.76 | Feb 25, 2025 | −2.0% | ✕ wrong |
| Dec 20, 2024 | OUT | $579.76 | Jan 22, 2025 | +2.6% | ✕ wrong |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 12 of 179 calls shown.
How the play works
- In when Aroon Up is above Aroon Down.
- Out when Aroon Down is above Aroon Up.
A stricter reading also wants Aroon Up above 70.
The case against
Valeriy Zakamulin tested moving-average timing on up to 155 years of U.S. stock data and found no statistically significant edge in the second half of that record. The rules earned their keep in a few severe bear markets and lagged buy and hold for long stretches in between.