Trend following · weekly rule · Indexes & ETFs
Stage Analysis 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 | +8.9% | +11.0% | +13.5% | +13.9% |
| Total return | +535% | +861% | +88% | +91% |
| Worst drawdown | −17.6% | −55.2% | −10.2% | −24.5% |
| Volatility | 10.8% | 18.9% | 10.5% | 17.1% |
| Sharpe ratio | 0.68 | 0.55 | 0.90 | 0.62 |
| Time invested | 74% | 100% | ||
| Switches per year | 2.9 | 0 |
Every call, graded
Right on 18 of 62 closed calls (29%). In calls averaged +6.2%; out calls saw SPY move +1.8% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Apr 10, 2026 | IN | $676.03 | now | +15.1% | open |
| Mar 13, 2026 | OUT | $657.16 | Apr 10, 2026 | +2.9% | ✕ wrong |
| May 23, 2025 | IN | $569.66 | Mar 13, 2026 | +15.4% | ✓ right |
| Mar 7, 2025 | OUT | $564.82 | May 23, 2025 | +0.9% | ✕ wrong |
| Nov 3, 2023 | IN | $419.22 | Mar 7, 2025 | +34.7% | ✓ right |
| Oct 20, 2023 | OUT | $406.20 | Nov 3, 2023 | +3.2% | ✕ wrong |
| Apr 14, 2023 | IN | $394.91 | Oct 20, 2023 | +2.9% | ✓ right |
| Mar 10, 2023 | OUT | $368.09 | Apr 14, 2023 | +7.3% | ✕ wrong |
| Jan 20, 2023 | IN | $377.60 | Mar 10, 2023 | −2.5% | ✕ wrong |
| Jan 21, 2022 | OUT | $411.08 | Jan 20, 2023 | −8.1% | ✓ right |
| Jun 5, 2020 | IN | $292.07 | Jan 21, 2022 | +40.7% | ✓ right |
| Feb 28, 2020 | OUT | $269.38 | Jun 5, 2020 | +8.4% | ✕ 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 63 calls shown.
How the play works
- In when a weekly close is above a rising 30-week average.
- Out when a weekly close is below the 30-week average.
Rising means higher than it was four weeks earlier.
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.