Trend following · daily rule · Indexes & ETFs
DP Trend Model 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 | +8.8% | +11.0% | +8.0% | +13.9% |
| Total return | +528% | +861% | +47% | +91% |
| Worst drawdown | −25.0% | −55.2% | −25.0% | −24.5% |
| Volatility | 11.4% | 18.9% | 11.5% | 17.1% |
| Sharpe ratio | 0.64 | 0.55 | 0.40 | 0.62 |
| Time invested | 76% | 100% | ||
| Switches per year | 3.4 | 0 |
Every call, graded
Right on 29 of 74 closed calls (39%). In calls averaged +5.3%; out calls saw SPY move +1.6% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Apr 16, 2026 | IN | $698.12 | now | +11.4% | open |
| Mar 9, 2026 | OUT | $673.01 | Apr 16, 2026 | +3.7% | ✕ wrong |
| May 14, 2025 | IN | $578.00 | Mar 9, 2026 | +16.4% | ✓ right |
| Mar 4, 2025 | OUT | $565.75 | May 14, 2025 | +2.2% | ✕ wrong |
| Aug 14, 2024 | IN | $529.86 | Mar 4, 2025 | +6.8% | ✓ right |
| Aug 9, 2024 | OUT | $519.37 | Aug 14, 2024 | +2.0% | ✕ wrong |
| Nov 14, 2023 | IN | $432.76 | Aug 9, 2024 | +20.0% | ✓ right |
| Sep 25, 2023 | OUT | $416.84 | Nov 14, 2023 | +3.8% | ✕ wrong |
| Mar 30, 2023 | IN | $386.52 | Sep 25, 2023 | +7.8% | ✓ right |
| Mar 13, 2023 | OUT | $367.56 | Mar 30, 2023 | +5.2% | ✕ wrong |
| Jan 12, 2023 | IN | $378.63 | Mar 13, 2023 | −2.9% | ✕ wrong |
| Dec 28, 2022 | OUT | $359.26 | Jan 12, 2023 | +5.4% | ✕ 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 75 calls shown.
How the play works
- In when the 20-day EMA is above the 50-day EMA (a DecisionPoint BUY).
- Out when the 20-day EMA is below the 50-day EMA, whether DecisionPoint calls it Neutral (50-day above the 200-day) or Sell (50-day below the 200-day).
DecisionPoint's Neutral means out of the market or hedged, so it is treated as cash.
Standard exponential averages of daily closes. DecisionPoint's extra notes on price against the averages are left out.
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.