Breakouts & channels · daily rule · Indexes & ETFs
Chandelier Exit 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 | +5.6% | +11.0% | +7.9% | +13.9% |
| Total return | +224% | +861% | +46% | +91% |
| Worst drawdown | −26.7% | −55.2% | −10.4% | −24.5% |
| Volatility | 9.8% | 18.9% | 10.2% | 17.1% |
| Sharpe ratio | 0.42 | 0.55 | 0.42 | 0.62 |
| Time invested | 61% | 100% | ||
| Switches per year | 8.2 | 0 |
Every call, graded
Right on 64 of 178 closed calls (36%). In calls averaged +1.4%; out calls saw SPY move +1.4% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Sep 21, 2026 | IN | $773.50 | now | +0.6% | open |
| Sep 10, 2026 | OUT | $755.95 | Sep 21, 2026 | +2.3% | ✕ wrong |
| Aug 3, 2026 | IN | $755.79 | Sep 10, 2026 | +0.0% | ✓ right |
| Jul 29, 2026 | OUT | $727.65 | Aug 3, 2026 | +3.9% | ✕ wrong |
| Jul 10, 2026 | IN | $753.08 | Jul 29, 2026 | −3.4% | ✕ wrong |
| Jun 5, 2026 | OUT | $733.83 | Jul 10, 2026 | +2.6% | ✕ wrong |
| Apr 9, 2026 | IN | $676.48 | Jun 5, 2026 | +8.5% | ✓ right |
| Mar 12, 2026 | OUT | $660.90 | Apr 9, 2026 | +2.4% | ✕ wrong |
| Jan 27, 2026 | IN | $690.10 | Mar 12, 2026 | −4.2% | ✕ wrong |
| Jan 20, 2026 | OUT | $672.33 | Jan 27, 2026 | +2.6% | ✕ wrong |
| Dec 3, 2025 | IN | $676.59 | Jan 20, 2026 | −0.6% | ✕ wrong |
| Nov 17, 2025 | OUT | $658.57 | Dec 3, 2025 | +2.7% | ✕ 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 on a close above the prior 22-day closing high.
- Out on a close below the chandelier stop (22-day high − 3 × 22-day ATR).
The Chandelier Exit is only an exit. The breakout entry is Be The Puck's pairing.
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.