Trend following · daily rule · Indexes & ETFs
Seykota 15/150 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 | +8.6% | +11.1% | +10.2% | +13.9% |
| Total return | +486% | +862% | +62% | +91% |
| Worst drawdown | −30.0% | −55.2% | −21.3% | −24.5% |
| Volatility | 14.1% | 18.9% | 14.3% | 17.1% |
| Sharpe ratio | 0.53 | 0.56 | 0.49 | 0.62 |
| Time invested | 85% | 100% | ||
| Switches per year | 0.8 | 0 |
Every call, graded
Right on 7 of 18 closed calls (39%). In calls averaged +18.6%; out calls saw SPY move +6.7% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Apr 30, 2025 | IN | $545.49 | now | +42.6% | open |
| Apr 21, 2025 | OUT | $505.50 | Apr 30, 2025 | +7.9% | ✕ wrong |
| Mar 31, 2023 | IN | $391.97 | Apr 21, 2025 | +29.0% | ✓ right |
| Mar 14, 2023 | OUT | $373.64 | Mar 31, 2023 | +4.9% | ✕ wrong |
| Feb 3, 2023 | IN | $393.31 | Mar 14, 2023 | −5.0% | ✕ wrong |
| May 11, 2022 | OUT | $369.78 | Feb 3, 2023 | +6.4% | ✕ wrong |
| May 29, 2020 | IN | $278.33 | May 11, 2022 | +32.9% | ✓ right |
| Mar 18, 2020 | OUT | $218.22 | May 29, 2020 | +27.5% | ✕ wrong |
| Feb 8, 2019 | IN | $241.36 | Mar 18, 2020 | −9.6% | ✕ wrong |
| Dec 19, 2018 | OUT | $222.91 | Feb 8, 2019 | +8.3% | ✕ wrong |
| Mar 21, 2016 | IN | $173.01 | Dec 19, 2018 | +28.8% | ✓ right |
| Jan 15, 2016 | OUT | $157.94 | Mar 21, 2016 | +9.5% | ✕ 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 19 calls shown.
How the play works
- In when the 15-day exponential average is above the 150-day.
- Out when it is below.
Seykota smooths with 1/lag, not the usual 2/(lag+1), which makes both averages slower than standard EMAs.
He tested it on S&P futures with volatility-based sizing. Be The Puck holds the stock fully.
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.