Trend following · weekly rule · Indexes & ETFs
Bull Market Support Band on S&P 500 ETF
What the play says
SPY with the play, last two years
Shading shows the play's call from the close that triggered it.
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 | +8.0% | +11.0% | +11.4% | +13.9% |
| Total return | +431% | +861% | +71% | +91% |
| Worst drawdown | −21.7% | −55.2% | −20.2% | −24.5% |
| Volatility | 11.3% | 18.9% | 11.3% | 17.1% |
| Sharpe ratio | 0.58 | 0.55 | 0.68 | 0.62 |
| Time invested | 77% | 100% | ||
| Switches per year | 4.0 | 0 |
Every call, graded
Right on 27 of 88 closed calls (31%). In calls averaged +4.0%; out calls saw SPY move +1.7% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Apr 10, 2026 | IN | $676.03 | now | +15.1% | open |
| Mar 6, 2026 | OUT | $667.17 | Apr 10, 2026 | +1.3% | ✕ wrong |
| May 16, 2025 | IN | $584.50 | Mar 6, 2026 | +14.1% | ✓ right |
| Mar 7, 2025 | OUT | $564.82 | May 16, 2025 | +3.5% | ✕ wrong |
| Nov 10, 2023 | IN | $424.93 | Mar 7, 2025 | +32.9% | ✓ right |
| Sep 22, 2023 | OUT | $415.10 | Nov 10, 2023 | +2.4% | ✕ wrong |
| Mar 24, 2023 | IN | $378.91 | Sep 22, 2023 | +9.5% | ✓ right |
| Mar 10, 2023 | OUT | $368.09 | Mar 24, 2023 | +2.9% | ✕ wrong |
| Jan 13, 2023 | IN | $380.10 | Mar 10, 2023 | −3.2% | ✕ wrong |
| Dec 16, 2022 | OUT | $365.57 | Jan 13, 2023 | +4.0% | ✕ wrong |
| Nov 11, 2022 | IN | $378.37 | Dec 16, 2022 | −3.4% | ✕ wrong |
| Sep 2, 2022 | OUT | $370.89 | Nov 11, 2022 | +2.0% | ✕ 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 89 calls shown.
How the play works
- In when a weekly close is above both averages.
- Out when a weekly close is below both averages.
- Inside the band, the rule keeps its last call.
Weeks end on Friday for stocks and ETFs, and on Sunday for crypto.
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.