Momentum · daily rule · Indexes & ETFs
Stocks on the Move on S&P 500 ETF
What the play says
Latest reading: Score 11.4%
SPY with the play, last two years
Shading shows the play's call from the close that triggered it.
Momentum score (90-day trend × fit)
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 | +6.7% | +11.0% | +11.2% | +13.9% |
| Total return | +307% | +861% | +70% | +91% |
| Worst drawdown | −23.0% | −55.2% | −10.2% | −24.5% |
| Volatility | 10.1% | 18.9% | 10.2% | 17.1% |
| Sharpe ratio | 0.52 | 0.55 | 0.72 | 0.62 |
| Time invested | 67% | 100% | ||
| Switches per year | 6.9 | 0 |
Every call, graded
Right on 34 of 150 closed calls (23%). In calls averaged +1.9%; out calls saw SPY move +1.3% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| May 4, 2026 | IN | $714.39 | now | +8.9% | open |
| Mar 6, 2026 | OUT | $667.17 | May 4, 2026 | +7.1% | ✕ wrong |
| Mar 4, 2026 | IN | $679.82 | Mar 6, 2026 | −1.9% | ✕ wrong |
| Mar 3, 2026 | OUT | $675.06 | Mar 4, 2026 | +0.7% | ✕ wrong |
| Jun 16, 2025 | IN | $592.85 | Mar 3, 2026 | +13.9% | ✓ right |
| Mar 3, 2025 | OUT | $572.52 | Jun 16, 2025 | +3.5% | ✕ wrong |
| Feb 28, 2025 | IN | $582.73 | Mar 3, 2025 | −1.8% | ✕ wrong |
| Feb 27, 2025 | OUT | $573.78 | Feb 28, 2025 | +1.6% | ✕ wrong |
| Aug 8, 2024 | IN | $517.09 | Feb 27, 2025 | +11.0% | ✓ right |
| Aug 5, 2024 | OUT | $504.16 | Aug 8, 2024 | +2.6% | ✕ wrong |
| Dec 6, 2023 | IN | $438.57 | Aug 5, 2024 | +15.0% | ✓ right |
| Sep 21, 2023 | OUT | $416.03 | Dec 6, 2023 | +5.4% | ✕ 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 151 calls shown.
How the play works
- In when the momentum score is positive, the stock is above its 100-day average, it hasn't moved 15% in a day in the last 90 days, and SPY is above its 200-day.
- Out when the score turns negative, the stock drops below its 100-day, or a 15% gap appears.
The real strategy ranks the S&P 500, buys the top fifth and rebalances weekly. 'Score above zero' is a much looser stand-in.
Checked daily here rather than every Wednesday.
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.