Calendar · daily rule · Indexes & ETFs
Pre-Holiday 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 | +2.1% | +11.0% | +4.5% | +13.9% |
| Total return | +57% | +861% | +25% | +91% |
| Worst drawdown | −7.5% | −55.2% | −2.1% | −24.5% |
| Volatility | 2.6% | 18.9% | 2.1% | 17.1% |
| Sharpe ratio | 0.13 | 0.55 | 0.32 | 0.62 |
| Time invested | 4% | 100% | ||
| Switches per year | 18.2 | 0 |
Every call, graded
Right on 187 of 400 closed calls (47%). In calls averaged +0.1%; out calls saw SPY move +1.1% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Sep 4, 2026 | OUT | $768.28 | now | +1.3% | open |
| Sep 3, 2026 | IN | $771.25 | Sep 4, 2026 | −0.4% | ✕ wrong |
| Jul 2, 2026 | OUT | $742.93 | Sep 3, 2026 | +3.8% | ✕ wrong |
| Jul 1, 2026 | IN | $743.91 | Jul 2, 2026 | −0.1% | ✕ wrong |
| Jun 18, 2026 | OUT | $744.89 | Jul 1, 2026 | −0.1% | ✓ right |
| Jun 17, 2026 | IN | $737.23 | Jun 18, 2026 | +1.0% | ✓ right |
| May 22, 2026 | OUT | $741.88 | Jun 17, 2026 | −0.6% | ✓ right |
| May 21, 2026 | IN | $738.98 | May 22, 2026 | +0.4% | ✓ right |
| Apr 2, 2026 | OUT | $652.52 | May 21, 2026 | +13.2% | ✕ wrong |
| Apr 1, 2026 | IN | $651.94 | Apr 2, 2026 | +0.1% | ✓ right |
| Feb 13, 2026 | OUT | $676.47 | Apr 1, 2026 | −3.6% | ✓ right |
| Feb 12, 2026 | IN | $675.99 | Feb 13, 2026 | +0.1% | ✓ 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 401 calls shown.
How the play works
- In at the close 2 sessions before a regular NYSE holiday, so the stock is held for the last session before the holiday.
- Out at the close of that last session.
- Out on every other day.
Holidays are the regular NYSE closures: New Year's Day, Martin Luther King Jr. Day (from 1998), Presidents' Day, Good Friday, Memorial Day, Juneteenth (from 2022), Independence Day, Labor Day, Thanksgiving and Christmas. Ariel's 1963-82 sample had 8 holidays a year.
Unscheduled closures, such as after 9/11, Hurricane Sandy or national days of mourning, are ignored.
Canadian stocks are held on the same U.S. pre-holiday dates. Canadian-only holidays are not used.
Crypto trades every day, so it has no pre-holiday session of its own. Coins are held on the same dates as stocks: the last U.S. trading day before each NYSE holiday.
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.