Mean reversion · daily rule · Indexes & ETFs
Laguerre RSI on S&P 500 ETF
What the play says
Latest reading: Laguerre RSI 1.00
SPY with the play, last two years
Shading shows the play's call from the close that triggered it.
Laguerre RSI (gamma 0.5)
Dashed lines at 0.2, 0.8.
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 | +4.4% | +11.0% | +6.5% | +13.9% |
| Total return | +154% | +861% | +37% | +91% |
| Worst drawdown | −56.0% | −55.2% | −22.5% | −24.5% |
| Volatility | 14.4% | 18.9% | 12.9% | 17.1% |
| Sharpe ratio | 0.25 | 0.55 | 0.26 | 0.62 |
| Time invested | 48% | 100% | ||
| Switches per year | 13.1 | 0 |
Every call, graded
Right on 138 of 285 closed calls (48%). In calls averaged +0.7%; out calls saw SPY move +1.1% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Sep 29, 2026 | OUT | $764.20 | now | +1.8% | open |
| Aug 27, 2026 | IN | $769.19 | Sep 29, 2026 | −0.6% | ✕ wrong |
| Aug 18, 2026 | OUT | $765.55 | Aug 27, 2026 | +0.5% | ✕ wrong |
| Jul 31, 2026 | IN | $745.18 | Aug 18, 2026 | +2.7% | ✓ right |
| Jul 17, 2026 | OUT | $741.45 | Jul 31, 2026 | +0.5% | ✕ wrong |
| Jun 29, 2026 | IN | $739.16 | Jul 17, 2026 | +0.3% | ✓ right |
| Jun 23, 2026 | OUT | $731.76 | Jun 29, 2026 | +1.0% | ✕ wrong |
| Jun 15, 2026 | IN | $751.02 | Jun 23, 2026 | −2.6% | ✕ wrong |
| May 19, 2026 | OUT | $730.03 | Jun 15, 2026 | +2.9% | ✕ wrong |
| Feb 20, 2026 | IN | $684.09 | May 19, 2026 | +6.7% | ✓ right |
| Feb 3, 2026 | OUT | $684.19 | Feb 20, 2026 | 0.0% | ✓ right |
| Jan 26, 2026 | IN | $687.36 | Feb 3, 2026 | −0.5% | ✕ 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 286 calls shown.
How the play works
- The Laguerre RSI runs from 0 to 1, with a damping factor (gamma) of 0.5.
- In when it crosses up through 0.2.
- Out when it crosses down through 0.8.
Gamma 0.5 is the value in Ehlers' published code. He says traders can adjust it.
The filter starts from the first close.
There is no stop: the rule can hold through a long decline.
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.