Breakouts & channels · daily rule · Indexes & ETFs
Acceleration Bands 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 | +2.0% | +11.0% | +5.7% | +13.9% |
| Total return | +54% | +861% | +32% | +91% |
| Worst drawdown | −10.1% | −55.2% | −2.8% | −24.5% |
| Volatility | 3.4% | 18.9% | 3.8% | 17.1% |
| Sharpe ratio | 0.08 | 0.55 | 0.48 | 0.62 |
| Time invested | 12% | 100% | ||
| Switches per year | 12.0 | 0 |
Every call, graded
Right on 72 of 260 closed calls (28%). In calls averaged +0.2%; out calls saw SPY move +1.7% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Aug 17, 2026 | OUT | $770.76 | now | +0.9% | open |
| Aug 5, 2026 | IN | $767.88 | Aug 17, 2026 | +0.4% | ✓ right |
| Jun 3, 2026 | OUT | $750.44 | Aug 5, 2026 | +2.3% | ✕ wrong |
| May 26, 2026 | IN | $746.81 | Jun 3, 2026 | +0.5% | ✓ right |
| May 18, 2026 | OUT | $734.93 | May 26, 2026 | +1.6% | ✕ wrong |
| Apr 10, 2026 | IN | $676.03 | May 18, 2026 | +8.7% | ✓ right |
| Oct 30, 2025 | OUT | $672.57 | Apr 10, 2026 | +0.5% | ✕ wrong |
| Oct 29, 2025 | IN | $680.05 | Oct 30, 2025 | −1.1% | ✕ wrong |
| Sep 24, 2025 | OUT | $654.04 | Oct 29, 2025 | +4.0% | ✕ wrong |
| Sep 19, 2025 | IN | $656.62 | Sep 24, 2025 | −0.4% | ✕ wrong |
| Sep 17, 2025 | OUT | $650.34 | Sep 19, 2025 | +1.0% | ✕ wrong |
| Sep 12, 2025 | IN | $648.60 | Sep 17, 2025 | +0.3% | ✓ 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 261 calls shown.
How the play works
- In after two closes in a row above the upper band (the 20-day average of high × (1 + 4 × (high − low) ÷ (high + low))).
- Out on the first close back below the upper band.
The band formula (factor 4, 20 days) comes from TC2000's and LuxAlgo's documentation. Headley's own article gives the 20-day setting and the trading rules but not the formula.
Headley uses the bands on daily, weekly and monthly charts. Be The Puck tests daily bars.
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.