Mean reversion · daily rule · Indexes & ETFs
Double 7s 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 | +6.6% | +11.0% | +8.4% | +13.9% |
| Total return | +304% | +861% | +49% | +91% |
| Worst drawdown | −15.6% | −55.2% | −12.8% | −24.5% |
| Volatility | 9.6% | 18.9% | 9.1% | 17.1% |
| Sharpe ratio | 0.53 | 0.55 | 0.51 | 0.62 |
| Time invested | 30% | 100% | ||
| Switches per year | 20.6 | 0 |
Every call, graded
Right on 281 of 449 closed calls (63%). In calls averaged +0.6%; out calls saw SPY move +0.5% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Oct 5, 2026 | OUT | $774.83 | now | +0.4% | open |
| Sep 29, 2026 | IN | $764.20 | Oct 5, 2026 | +1.4% | ✓ right |
| Sep 21, 2026 | OUT | $773.50 | Sep 29, 2026 | −1.2% | ✓ right |
| Sep 10, 2026 | IN | $755.95 | Sep 21, 2026 | +2.3% | ✓ right |
| Sep 3, 2026 | OUT | $771.25 | Sep 10, 2026 | −2.0% | ✓ right |
| Sep 1, 2026 | IN | $759.89 | Sep 3, 2026 | +1.5% | ✓ right |
| Aug 27, 2026 | OUT | $769.19 | Sep 1, 2026 | −1.2% | ✓ right |
| Aug 18, 2026 | IN | $765.55 | Aug 27, 2026 | +0.5% | ✓ right |
| Jul 31, 2026 | OUT | $745.18 | Aug 18, 2026 | +2.7% | ✕ wrong |
| Jul 17, 2026 | IN | $741.45 | Jul 31, 2026 | +0.5% | ✓ right |
| Jun 30, 2026 | OUT | $744.92 | Jul 17, 2026 | −0.5% | ✓ right |
| Jun 23, 2026 | IN | $731.76 | Jun 30, 2026 | +1.8% | ✓ right |
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 450 calls shown.
How the play works
- In when the stock is above its 200-day average and closes at its lowest close of the last 7 days.
- Out when it closes at its highest close of the last 7 days.
Tested by the authors on ETFs. Single stocks are an extension.
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.