Trend following · daily rule · Indexes & ETFs
MACD Zero Line 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 | +6.5% | +11.0% | +10.3% | +13.9% |
| Total return | +289% | +861% | +63% | +91% |
| Worst drawdown | −26.4% | −55.2% | −12.6% | −24.5% |
| Volatility | 10.9% | 18.9% | 10.9% | 17.1% |
| Sharpe ratio | 0.47 | 0.55 | 0.61 | 0.62 |
| Time invested | 71% | 100% | ||
| Switches per year | 8.4 | 0 |
Every call, graded
Right on 55 of 182 closed calls (30%). In calls averaged +1.7%; out calls saw SPY move +1.1% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Sep 21, 2026 | IN | $773.50 | now | +0.6% | open |
| Sep 16, 2026 | OUT | $752.18 | Sep 21, 2026 | +2.8% | ✕ wrong |
| Aug 3, 2026 | IN | $755.79 | Sep 16, 2026 | −0.5% | ✕ wrong |
| Jul 28, 2026 | OUT | $739.02 | Aug 3, 2026 | +2.3% | ✕ wrong |
| Apr 13, 2026 | IN | $682.64 | Jul 28, 2026 | +8.3% | ✓ right |
| Feb 27, 2026 | OUT | $680.67 | Apr 13, 2026 | +0.3% | ✕ wrong |
| Feb 26, 2026 | IN | $683.96 | Feb 27, 2026 | −0.5% | ✕ wrong |
| Feb 13, 2026 | OUT | $676.47 | Feb 26, 2026 | +1.1% | ✕ wrong |
| Nov 28, 2025 | IN | $676.10 | Feb 13, 2026 | +0.1% | ✓ right |
| Nov 19, 2025 | OUT | $655.56 | Nov 28, 2025 | +3.1% | ✕ wrong |
| May 2, 2025 | IN | $557.51 | Nov 19, 2025 | +17.6% | ✓ right |
| Feb 27, 2025 | OUT | $573.78 | May 2, 2025 | −2.8% | ✓ 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 183 calls shown.
How the play works
- In when MACD (12, 26) is above zero.
- Out when it is below zero.
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.