Momentum · daily rule · Indexes & ETFs
MACD Signal Cross on S&P 500 ETF
SPY with the play, last two years
Shading shows the play's call from the close that triggered it.
MACD (12, 26, 9)
Dashed line at 0.
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% | +7.7% | +13.9% |
| Total return | +212% | +861% | +45% | +91% |
| Worst drawdown | −23.1% | −55.2% | −15.5% | −24.5% |
| Volatility | 10.8% | 18.9% | 10.4% | 17.1% |
| Sharpe ratio | 0.37 | 0.55 | 0.40 | 0.62 |
| Time invested | 51% | 100% | ||
| Switches per year | 21.3 | 0 |
Every call, graded
Right on 164 of 468 closed calls (35%). In calls averaged +0.5%; out calls saw SPY move +0.5% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Oct 2, 2026 | IN | $769.64 | now | +1.1% | open |
| Sep 30, 2026 | OUT | $762.63 | Oct 2, 2026 | +0.9% | ✕ wrong |
| Sep 21, 2026 | IN | $773.50 | Sep 30, 2026 | −1.4% | ✕ wrong |
| Aug 20, 2026 | OUT | $760.71 | Sep 21, 2026 | +1.7% | ✕ wrong |
| Aug 3, 2026 | IN | $755.79 | Aug 20, 2026 | +0.7% | ✓ right |
| Jul 17, 2026 | OUT | $741.45 | Aug 3, 2026 | +1.9% | ✕ wrong |
| Jul 6, 2026 | IN | $749.42 | Jul 17, 2026 | −1.1% | ✕ wrong |
| May 18, 2026 | OUT | $734.93 | Jul 6, 2026 | +2.0% | ✕ wrong |
| Apr 2, 2026 | IN | $652.52 | May 18, 2026 | +12.6% | ✓ right |
| Mar 2, 2026 | OUT | $681.06 | Apr 2, 2026 | −4.2% | ✓ right |
| Feb 25, 2026 | IN | $687.78 | Mar 2, 2026 | −1.0% | ✕ wrong |
| Feb 3, 2026 | OUT | $684.19 | Feb 25, 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 469 calls shown.
How the play works
- In when MACD (12, 26) is above its 9-day signal line.
- Out when it is below.
Appel also reads divergences and the zero line, which this rule ignores.
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.