Calendar · daily rule · Indexes & ETFs
Seasonal Timing on S&P 500 ETF
SPY with the play, last two years
Shading shows the play's call from the close that triggered it.
MACD (12, 26, 9)
Dashed line at 0.
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 | +7.1% | +11.0% | +6.6% | +13.9% |
| Total return | +342% | +861% | +38% | +91% |
| Worst drawdown | −33.7% | −55.2% | −19.5% | −24.5% |
| Volatility | 13.8% | 18.9% | 12.8% | 17.1% |
| Sharpe ratio | 0.44 | 0.55 | 0.27 | 0.62 |
| Time invested | 51% | 100% | ||
| Switches per year | 2.0 | 0 |
Every call, graded
Right on 23 of 43 closed calls (53%). In calls averaged +6.6%; out calls saw SPY move +5.3% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| May 18, 2026 | OUT | $734.93 | now | +5.9% | open |
| Oct 24, 2025 | IN | $670.02 | May 18, 2026 | +9.7% | ✓ right |
| Apr 21, 2025 | OUT | $505.50 | Oct 24, 2025 | +32.5% | ✕ wrong |
| Oct 16, 2024 | IN | $569.16 | Apr 21, 2025 | −11.2% | ✕ wrong |
| Apr 22, 2024 | OUT | $485.39 | Oct 16, 2024 | +17.3% | ✕ wrong |
| Oct 16, 2023 | IN | $420.52 | Apr 22, 2024 | +15.4% | ✓ right |
| Apr 25, 2023 | OUT | $388.80 | Oct 16, 2023 | +8.2% | ✕ wrong |
| Oct 17, 2022 | IN | $348.28 | Apr 25, 2023 | +11.6% | ✓ right |
| Apr 20, 2022 | OUT | $418.70 | Oct 17, 2022 | −16.8% | ✓ right |
| Oct 18, 2021 | IN | $418.26 | Apr 20, 2022 | +0.1% | ✓ right |
| Apr 22, 2021 | OUT | $383.11 | Oct 18, 2021 | +9.2% | ✕ wrong |
| Oct 16, 2020 | IN | $320.31 | Apr 22, 2021 | +19.6% | ✓ 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 44 calls shown.
How the play works
- From October 16, in on the first day MACD is above its signal line.
- From April 20, out on the first day MACD is below it.
Harding applied it to the Dow. His MACD settings were never published; 12, 26, 9 is assumed.
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.