Trend following · weekly rule · Indexes & ETFs
Hull Moving Average 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 | +6.2% | +11.0% | +7.3% | +13.9% |
| Total return | +273% | +861% | +42% | +91% |
| Worst drawdown | −24.4% | −55.2% | −14.8% | −24.5% |
| Volatility | 11.3% | 18.9% | 11.0% | 17.1% |
| Sharpe ratio | 0.44 | 0.55 | 0.35 | 0.62 |
| Time invested | 67% | 100% | ||
| Switches per year | 6.1 | 0 |
Every call, graded
Right on 52 of 132 closed calls (39%). In calls averaged +2.2%; out calls saw SPY move +1.7% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Oct 9, 2026 | IN | $778.57 | now | −0.1% | open |
| Oct 2, 2026 | OUT | $769.64 | Oct 9, 2026 | +1.2% | ✕ wrong |
| Aug 7, 2026 | IN | $771.35 | Oct 2, 2026 | −0.2% | ✕ wrong |
| Jun 26, 2026 | OUT | $727.18 | Aug 7, 2026 | +6.1% | ✕ wrong |
| Apr 17, 2026 | IN | $706.56 | Jun 26, 2026 | +2.9% | ✓ right |
| Feb 13, 2026 | OUT | $676.47 | Apr 17, 2026 | +4.4% | ✕ wrong |
| Nov 28, 2025 | IN | $676.10 | Feb 13, 2026 | +0.1% | ✓ right |
| Nov 21, 2025 | OUT | $652.00 | Nov 28, 2025 | +3.7% | ✕ wrong |
| May 2, 2025 | IN | $557.51 | Nov 21, 2025 | +16.9% | ✓ right |
| Mar 7, 2025 | OUT | $564.82 | May 2, 2025 | −1.3% | ✓ right |
| Jan 31, 2025 | IN | $590.23 | Mar 7, 2025 | −4.3% | ✕ wrong |
| Jan 3, 2025 | OUT | $580.54 | Jan 31, 2025 | +1.7% | ✕ 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 133 calls shown.
How the play works
- In when the 16-week Hull average turns up.
- Out when it turns down.
Hull gave no set period. 16 weeks is the length he used to illustrate it.
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.