Trend following · daily rule · Indexes & ETFs
Ichimoku Cloud 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 | +8.0% | +11.0% | +8.1% | +13.9% |
| Total return | +436% | +861% | +48% | +91% |
| Worst drawdown | −20.5% | −55.2% | −20.5% | −24.5% |
| Volatility | 11.2% | 18.9% | 11.3% | 17.1% |
| Sharpe ratio | 0.59 | 0.55 | 0.42 | 0.62 |
| Time invested | 74% | 100% | ||
| Switches per year | 4.6 | 0 |
Every call, graded
Right on 35 of 100 closed calls (35%). In calls averaged +3.4%; out calls saw SPY move +1.5% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Apr 13, 2026 | IN | $682.64 | now | +14.0% | open |
| Mar 6, 2026 | OUT | $667.17 | Apr 13, 2026 | +2.3% | ✕ wrong |
| May 12, 2025 | IN | $573.48 | Mar 6, 2026 | +16.3% | ✓ right |
| Feb 27, 2025 | OUT | $573.78 | May 12, 2025 | −0.1% | ✓ right |
| Jan 27, 2025 | IN | $587.82 | Feb 27, 2025 | −2.4% | ✕ wrong |
| Jan 10, 2025 | OUT | $569.31 | Jan 27, 2025 | +3.3% | ✕ wrong |
| Sep 10, 2024 | IN | $534.77 | Jan 10, 2025 | +6.5% | ✓ right |
| Sep 6, 2024 | OUT | $526.56 | Sep 10, 2024 | +1.6% | ✕ wrong |
| Aug 19, 2024 | IN | $545.31 | Sep 6, 2024 | −3.4% | ✕ wrong |
| Aug 5, 2024 | OUT | $504.16 | Aug 19, 2024 | +8.2% | ✕ wrong |
| Nov 10, 2023 | IN | $424.93 | Aug 5, 2024 | +18.6% | ✓ right |
| Sep 21, 2023 | OUT | $416.03 | Nov 10, 2023 | +2.1% | ✕ 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 101 calls shown.
How the play works
- In when a daily close is above the cloud and the 9-day line is above the 26-day line.
- Out when a daily close falls below the cloud.
- Inside the cloud, the rule keeps its last call.
Full Ichimoku also checks the lagging span and is used for shorts. Those parts are left out.
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.