Trend following · daily rule · Indexes & ETFs
Granville 200-Day 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 | +8.2% | +11.0% | +11.7% | +13.9% |
| Total return | +456% | +861% | +74% | +91% |
| Worst drawdown | −20.9% | −55.2% | −13.3% | −24.5% |
| Volatility | 11.2% | 18.9% | 10.9% | 17.1% |
| Sharpe ratio | 0.60 | 0.55 | 0.73 | 0.62 |
| Time invested | 77% | 100% | ||
| Switches per year | 5.0 | 0 |
Every call, graded
Right on 18 of 108 closed calls (17%). In calls averaged +3.5%; out calls saw SPY move +1.2% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Apr 8, 2026 | IN | $672.60 | now | +15.7% | open |
| Mar 20, 2026 | OUT | $645.30 | Apr 8, 2026 | +4.2% | ✕ wrong |
| May 12, 2025 | IN | $573.48 | Mar 20, 2026 | +12.5% | ✓ right |
| Mar 26, 2025 | OUT | $559.31 | May 12, 2025 | +2.5% | ✕ wrong |
| Mar 24, 2025 | IN | $564.71 | Mar 26, 2025 | −1.0% | ✕ wrong |
| Mar 10, 2025 | OUT | $549.78 | Mar 24, 2025 | +2.7% | ✕ wrong |
| Nov 1, 2023 | IN | $407.61 | Mar 10, 2025 | +34.9% | ✓ right |
| Oct 25, 2023 | OUT | $402.69 | Nov 1, 2023 | +1.2% | ✕ wrong |
| Mar 31, 2023 | IN | $391.97 | Oct 25, 2023 | +2.7% | ✓ right |
| Mar 15, 2023 | OUT | $371.30 | Mar 31, 2023 | +5.6% | ✕ wrong |
| Mar 14, 2023 | IN | $373.64 | Mar 15, 2023 | −0.6% | ✕ wrong |
| Mar 10, 2023 | OUT | $368.09 | Mar 14, 2023 | +1.5% | ✕ 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 109 calls shown.
How the play works
- In when a daily close is above the 200-day average and that average is flat or higher than 20 days ago.
- Out when a daily close is below the 200-day average.
Granville described 'flattening' in words. The 20-day look-back is Be The Puck's choice.
His other six rules, several of them contrarian, are not tested here.
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.