Momentum · weekly rule · Indexes & ETFs
Levy Relative Strength on S&P 500 ETF
What the play says
Latest reading: This stock 1.04 · SPY 1.04
SPY with the play, last two years
Shading shows the play's call from the close that triggered it.
Price ÷ its 27-week average
Dashed line at 1.
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 | +8.3% | +11.0% | +12.3% | +13.9% |
| Total return | +462% | +861% | +78% | +91% |
| Worst drawdown | −20.3% | −55.2% | −18.6% | −24.5% |
| Volatility | 11.3% | 18.9% | 11.2% | 17.1% |
| Sharpe ratio | 0.60 | 0.55 | 0.75 | 0.62 |
| Time invested | 77% | 100% | ||
| Switches per year | 4.0 | 0 |
Every call, graded
Right on 26 of 88 closed calls (30%). In calls averaged +4.2%; out calls saw SPY move +1.5% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Apr 10, 2026 | IN | $676.03 | now | +15.1% | open |
| Mar 6, 2026 | OUT | $667.17 | Apr 10, 2026 | +1.3% | ✕ wrong |
| May 16, 2025 | IN | $584.50 | Mar 6, 2026 | +14.1% | ✓ right |
| Mar 7, 2025 | OUT | $564.82 | May 16, 2025 | +3.5% | ✕ wrong |
| Nov 3, 2023 | IN | $419.22 | Mar 7, 2025 | +34.7% | ✓ right |
| Sep 29, 2023 | OUT | $412.26 | Nov 3, 2023 | +1.7% | ✕ wrong |
| Mar 17, 2023 | IN | $373.40 | Sep 29, 2023 | +10.4% | ✓ right |
| Mar 10, 2023 | OUT | $368.09 | Mar 17, 2023 | +1.4% | ✕ wrong |
| Jan 13, 2023 | IN | $380.10 | Mar 10, 2023 | −3.2% | ✕ wrong |
| Dec 16, 2022 | OUT | $365.57 | Jan 13, 2023 | +4.0% | ✕ wrong |
| Nov 11, 2022 | IN | $378.37 | Dec 16, 2022 | −3.4% | ✕ wrong |
| Aug 26, 2022 | OUT | $383.25 | Nov 11, 2022 | −1.3% | ✓ 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 89 calls shown.
How the play works
- In when the weekly close is above its 27-week average and that ratio beats SPY's.
- Out when either fails.
Levy ranked a universe of stocks. Comparing with SPY stands in for the ranking.
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.