Trend following · daily rule · Indexes & ETFs
Parabolic SAR 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 | +2.0% | +11.0% | +4.7% | +13.9% |
| Total return | +53% | +861% | +26% | +91% |
| Worst drawdown | −48.3% | −55.2% | −22.0% | −24.5% |
| Volatility | 11.9% | 18.9% | 10.8% | 17.1% |
| Sharpe ratio | 0.08 | 0.55 | 0.13 | 0.62 |
| Time invested | 62% | 100% | ||
| Switches per year | 25.1 | 0 |
Every call, graded
Right on 200 of 549 closed calls (36%). In calls averaged +0.3%; out calls saw SPY move +0.7% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Sep 21, 2026 | IN | $773.50 | now | +0.6% | open |
| Aug 31, 2026 | OUT | $765.15 | Sep 21, 2026 | +1.1% | ✕ wrong |
| Aug 3, 2026 | IN | $755.79 | Aug 31, 2026 | +1.2% | ✓ right |
| Jul 29, 2026 | OUT | $727.65 | Aug 3, 2026 | +3.9% | ✕ wrong |
| Jul 6, 2026 | IN | $749.42 | Jul 29, 2026 | −2.9% | ✕ wrong |
| Jun 26, 2026 | OUT | $727.18 | Jul 6, 2026 | +3.1% | ✕ wrong |
| Jun 15, 2026 | IN | $751.02 | Jun 26, 2026 | −3.2% | ✕ wrong |
| Jun 5, 2026 | OUT | $733.83 | Jun 15, 2026 | +2.3% | ✕ wrong |
| May 22, 2026 | IN | $741.88 | Jun 5, 2026 | −1.1% | ✕ wrong |
| May 18, 2026 | OUT | $734.93 | May 22, 2026 | +0.9% | ✕ wrong |
| Apr 1, 2026 | IN | $651.94 | May 18, 2026 | +12.7% | ✓ right |
| Mar 3, 2026 | OUT | $675.06 | Apr 1, 2026 | −3.4% | ✓ 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 550 calls shown.
How the play works
- In when the SAR flips below price.
- Out when price touches the SAR from above.
Wilder's version is always in the market, flipping long to short. Be The Puck holds T-bills instead of shorting.
Real SAR stops fill during the day. Be The Puck acts on closes.
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.