Mean reversion · daily rule · Indexes & ETFs
RSI 30/70 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 (14)
Dashed lines at 30, 70.
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 | +5.5% | +11.0% | +11.2% | +13.9% |
| Total return | +222% | +861% | +70% | +91% |
| Worst drawdown | −55.2% | −55.2% | −20.6% | −24.5% |
| Volatility | 15.5% | 18.9% | 13.5% | 17.1% |
| Sharpe ratio | 0.31 | 0.55 | 0.57 | 0.62 |
| Time invested | 33% | 100% | ||
| Switches per year | 1.8 | 0 |
Every call, graded
Right on 24 of 40 closed calls (60%). In calls averaged +5.4%; out calls saw SPY move +7.2% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Apr 21, 2026 | OUT | $700.53 | now | +11.1% | open |
| Mar 31, 2026 | IN | $647.06 | Apr 21, 2026 | +8.3% | ✓ right |
| Jul 7, 2025 | OUT | $612.36 | Mar 31, 2026 | +5.7% | ✕ wrong |
| Mar 12, 2025 | IN | $548.10 | Jul 7, 2025 | +11.7% | ✓ right |
| Nov 29, 2023 | OUT | $438.43 | Mar 12, 2025 | +25.0% | ✕ wrong |
| Oct 4, 2023 | IN | $409.54 | Nov 29, 2023 | +7.1% | ✓ right |
| Jun 20, 2023 | OUT | $420.13 | Oct 4, 2023 | −2.5% | ✓ right |
| Sep 28, 2022 | IN | $351.80 | Jun 20, 2023 | +19.4% | ✓ right |
| Aug 17, 2022 | OUT | $403.43 | Sep 28, 2022 | −12.8% | ✓ right |
| Jan 28, 2022 | IN | $414.81 | Aug 17, 2022 | −2.7% | ✕ wrong |
| Jun 10, 2020 | OUT | $291.76 | Jan 28, 2022 | +42.2% | ✕ wrong |
| Mar 2, 2020 | IN | $281.04 | Jun 10, 2020 | +3.8% | ✓ 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 41 calls shown.
How the play works
- In when the 14-day RSI crosses up through 30.
- Out when it crosses down through 70.
Wilder treated failure swings and divergences as stronger signals. The 30/70 cross is a popular simplification.
There is no stop: the rule can hold through a long decline.
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.