Mean reversion · daily rule · Indexes & ETFs
IBS Reversion on S&P 500 ETF
What the play says
Latest reading: IBS 0.74
SPY with the play, last two years
Shading shows the play's call from the close that triggered it.
Internal bar strength (0 = closed at the low)
Dashed line at 0.2.
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 | +5.4% | +11.0% | +5.5% | +13.9% |
| Total return | +214% | +861% | +31% | +91% |
| Worst drawdown | −18.8% | −55.2% | −12.8% | −24.5% |
| Volatility | 9.9% | 18.9% | 8.2% | 17.1% |
| Sharpe ratio | 0.40 | 0.55 | 0.23 | 0.62 |
| Time invested | 19% | 100% | ||
| Switches per year | 74.6 | 0 |
Every call, graded
Right on 934 of 1630 closed calls (57%). In calls averaged +0.2%; out calls saw SPY move +0.1% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Oct 1, 2026 | OUT | $763.99 | now | +1.8% | open |
| Sep 30, 2026 | IN | $762.63 | Oct 1, 2026 | +0.2% | ✓ right |
| Sep 24, 2026 | OUT | $767.18 | Sep 30, 2026 | −0.6% | ✓ right |
| Sep 23, 2026 | IN | $767.81 | Sep 24, 2026 | −0.1% | ✕ wrong |
| Sep 9, 2026 | OUT | $760.51 | Sep 23, 2026 | +1.0% | ✕ wrong |
| Sep 8, 2026 | IN | $764.06 | Sep 9, 2026 | −0.5% | ✕ wrong |
| Aug 31, 2026 | OUT | $765.15 | Sep 8, 2026 | −0.1% | ✓ right |
| Aug 28, 2026 | IN | $767.44 | Aug 31, 2026 | −0.3% | ✕ wrong |
| Aug 21, 2026 | OUT | $763.82 | Aug 28, 2026 | +0.5% | ✕ wrong |
| Aug 20, 2026 | IN | $760.71 | Aug 21, 2026 | +0.4% | ✓ right |
| Aug 18, 2026 | OUT | $765.55 | Aug 20, 2026 | −0.6% | ✓ right |
| Aug 17, 2026 | IN | $770.76 | Aug 18, 2026 | −0.7% | ✕ 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 1631 calls shown.
How the play works
- IBS = (close − low) ÷ (high − low). 0 means it closed at the low, 1 at the high.
- In at the close when IBS is below 0.2.
- Out at the next close unless IBS is below 0.2 again.
The documented effect is about the next day's return, so the hold is one day. A common variant holds until IBS closes above 0.8.
Pagonidis studied equity ETFs. Single stocks are an extension.
Days where the high equals the low give no signal.
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.