Mean reversion · daily rule · Indexes & ETFs
RSI(2) Pullback on S&P 500 ETF
SPY with the play, last two years
Shading shows the play's call from the close that triggered it.
RSI (2)
Dashed line at 10.
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 | +4.8% | +11.0% | +8.5% | +13.9% |
| Total return | +179% | +861% | +50% | +91% |
| Worst drawdown | −14.9% | −55.2% | −6.6% | −24.5% |
| Volatility | 6.3% | 18.9% | 5.2% | 17.1% |
| Sharpe ratio | 0.50 | 0.55 | 0.87 | 0.62 |
| Time invested | 11% | 100% | ||
| Switches per year | 16.4 | 0 |
Every call, graded
Right on 212 of 358 closed calls (59%). In calls averaged +0.5%; out calls saw SPY move +0.9% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Sep 11, 2026 | OUT | $762.40 | now | +2.0% | open |
| Sep 10, 2026 | IN | $755.95 | Sep 11, 2026 | +0.9% | ✓ right |
| Sep 3, 2026 | OUT | $771.25 | Sep 10, 2026 | −2.0% | ✓ right |
| Sep 1, 2026 | IN | $759.89 | Sep 3, 2026 | +1.5% | ✓ right |
| Jul 30, 2026 | OUT | $739.85 | Sep 1, 2026 | +2.7% | ✕ wrong |
| Jul 29, 2026 | IN | $727.65 | Jul 30, 2026 | +1.7% | ✓ right |
| Jul 21, 2026 | OUT | $746.43 | Jul 29, 2026 | −2.5% | ✓ right |
| Jul 20, 2026 | IN | $740.25 | Jul 21, 2026 | +0.8% | ✓ right |
| Jun 11, 2026 | OUT | $734.04 | Jul 20, 2026 | +0.8% | ✕ wrong |
| Jun 5, 2026 | IN | $733.83 | Jun 11, 2026 | +0.0% | ✓ right |
| Mar 17, 2026 | OUT | $665.59 | Jun 5, 2026 | +10.3% | ✕ wrong |
| Mar 3, 2026 | IN | $675.06 | Mar 17, 2026 | −1.4% | ✕ 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 359 calls shown.
How the play works
- In when the stock is above its 200-day average and the 2-day RSI is below 10.
- Out on a close above the 5-day average.
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.