Breakouts & channels · daily rule · Indexes & ETFs
Clenow Trend 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 | +4.3% | +11.0% | +7.3% | +13.9% |
| Total return | +150% | +861% | +42% | +91% |
| Worst drawdown | −15.5% | −55.2% | −8.0% | −24.5% |
| Volatility | 7.7% | 18.9% | 8.1% | 17.1% |
| Sharpe ratio | 0.36 | 0.55 | 0.44 | 0.62 |
| Time invested | 49% | 100% | ||
| Switches per year | 5.6 | 0 |
Every call, graded
Right on 39 of 122 closed calls (32%). In calls averaged +1.5%; out calls saw SPY move +2.6% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Oct 6, 2026 | IN | $779.09 | now | −0.1% | open |
| Sep 10, 2026 | OUT | $755.95 | Oct 6, 2026 | +3.1% | ✕ wrong |
| Aug 3, 2026 | IN | $755.79 | Sep 10, 2026 | +0.0% | ✓ right |
| Jun 10, 2026 | OUT | $721.77 | Aug 3, 2026 | +4.7% | ✕ wrong |
| Apr 14, 2026 | IN | $690.96 | Jun 10, 2026 | +4.5% | ✓ right |
| Mar 12, 2026 | OUT | $660.90 | Apr 14, 2026 | +4.5% | ✕ wrong |
| Dec 10, 2025 | IN | $680.23 | Mar 12, 2026 | −2.8% | ✕ wrong |
| Nov 18, 2025 | OUT | $653.03 | Dec 10, 2025 | +4.2% | ✕ wrong |
| Oct 24, 2025 | IN | $670.02 | Nov 18, 2025 | −2.5% | ✕ wrong |
| Oct 10, 2025 | OUT | $646.05 | Oct 24, 2025 | +3.7% | ✕ wrong |
| Jun 3, 2025 | IN | $586.36 | Oct 10, 2025 | +10.2% | ✓ right |
| Feb 27, 2025 | OUT | $573.78 | Jun 3, 2025 | +2.2% | ✕ 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 123 calls shown.
How the play works
- In on a new 50-day closing high while the 50-day EMA is above the 100-day EMA.
- Out when the close falls three average true ranges (20-day) below the highest close since entry.
Clenow trades about 50 futures markets long and short with volatility sizing. A single stock, long-only, is a big simplification.
The ATR look-back is not in the book's summary; 20 days is Be The Puck's choice.
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.