Breakouts & channels · daily rule · Indexes & ETFs
Bollinger Squeeze on S&P 500 ETF
What the play says
Latest reading: BandWidth 3.7% · 125-day low 2.0%
SPY with the play, last two years
Shading shows the play's call from the close that triggered it.
BandWidth (20, 2)
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 | +0.9% | +11.0% | +5.7% | +13.9% |
| Total return | +20% | +861% | +32% | +91% |
| Worst drawdown | −17.8% | −55.2% | −3.8% | −24.5% |
| Volatility | 3.2% | 18.9% | 3.7% | 17.1% |
| Sharpe ratio | −0.27 | 0.55 | 0.50 | 0.62 |
| Time invested | 7% | 100% | ||
| Switches per year | 2.6 | 0 |
Every call, graded
Right on 9 of 58 closed calls (16%). In calls averaged −0.5%; out calls saw SPY move +8.8% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Oct 10, 2025 | OUT | $646.05 | now | +20.4% | open |
| Sep 11, 2025 | IN | $648.81 | Oct 10, 2025 | −0.4% | ✕ wrong |
| Apr 4, 2024 | OUT | $498.36 | Sep 11, 2025 | +30.2% | ✕ wrong |
| Jan 19, 2024 | IN | $467.14 | Apr 4, 2024 | +6.7% | ✓ right |
| Aug 22, 2022 | OUT | $390.85 | Jan 19, 2024 | +19.5% | ✕ wrong |
| Jul 20, 2022 | IN | $373.28 | Aug 22, 2022 | +4.7% | ✓ right |
| Jul 19, 2021 | OUT | $396.21 | Jul 20, 2022 | −5.8% | ✓ right |
| Jun 25, 2021 | IN | $397.74 | Jul 19, 2021 | −0.4% | ✕ wrong |
| May 11, 2021 | OUT | $384.92 | Jun 25, 2021 | +3.3% | ✕ wrong |
| May 7, 2021 | IN | $392.27 | May 11, 2021 | −1.9% | ✕ wrong |
| Jan 27, 2021 | OUT | $346.79 | May 7, 2021 | +13.1% | ✕ wrong |
| Dec 31, 2020 | IN | $346.30 | Jan 27, 2021 | +0.1% | ✓ right |
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 59 calls shown.
How the play works
- A squeeze is BandWidth (the gap between the bands divided by the middle band) at its lowest of the last 125 days.
- In on a close above the upper band (20-day average + 2 standard deviations) when a squeeze happened in the last 5 days.
- Out on a close below the 20-day average.
Bollinger's Method I gives the entry, not the exit. Selling below the middle band matches the site's Bollinger Breakout, so the two can be compared.
Bollinger also reads volume indicators to guess which way the breakout will go. They are not used here.
This is the squeeze-filtered form of the Bollinger Breakout play. John Carter's TTM Squeeze is a cousin that compares the bands with a Keltner Channel instead.
Where the rules come from
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.