Momentum · daily rule · Indexes & ETFs
CCI +100 on S&P 500 ETF
What the play says
Latest reading: CCI 93.36
SPY with the play, last two years
Shading shows the play's call from the close that triggered it.
Commodity Channel Index (20)
Dashed lines at 100, −100.
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% | +6.7% | +13.9% |
| Total return | −17% | +861% | +38% | +91% |
| Worst drawdown | −46.5% | −55.2% | −9.7% | −24.5% |
| Volatility | 6.5% | 18.9% | 6.1% | 17.1% |
| Sharpe ratio | −0.37 | 0.55 | 0.48 | 0.62 |
| Time invested | 32% | 100% | ||
| Switches per year | 35.6 | 0 |
Every call, graded
Right on 216 of 782 closed calls (28%). In calls averaged 0.0%; out calls saw SPY move +0.6% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Oct 13, 2026 | OUT | $778.01 | now | 0.0% | open |
| Oct 9, 2026 | IN | $778.57 | Oct 13, 2026 | −0.1% | ✕ wrong |
| Oct 8, 2026 | OUT | $773.93 | Oct 9, 2026 | +0.6% | ✕ wrong |
| Oct 5, 2026 | IN | $774.83 | Oct 8, 2026 | −0.1% | ✕ wrong |
| Sep 23, 2026 | OUT | $767.81 | Oct 5, 2026 | +0.9% | ✕ wrong |
| Sep 21, 2026 | IN | $773.50 | Sep 23, 2026 | −0.7% | ✕ wrong |
| Aug 14, 2026 | OUT | $774.42 | Sep 21, 2026 | −0.1% | ✓ right |
| Aug 3, 2026 | IN | $755.79 | Aug 14, 2026 | +2.5% | ✓ right |
| Jul 16, 2026 | OUT | $748.86 | Aug 3, 2026 | +0.9% | ✕ wrong |
| Jul 15, 2026 | IN | $752.94 | Jul 16, 2026 | −0.5% | ✕ wrong |
| Jul 13, 2026 | OUT | $747.31 | Jul 15, 2026 | +0.8% | ✕ wrong |
| Jul 10, 2026 | IN | $753.08 | Jul 13, 2026 | −0.8% | ✕ 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 783 calls shown.
How the play works
- In when the CCI (20) crosses above +100.
- Out when it crosses back below +100.
The original also sells short below −100.
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.