Trend following · daily rule · Indexes & ETFs
Supertrend 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 | +5.5% | +11.0% | +7.8% | +13.9% |
| Total return | +218% | +861% | +45% | +91% |
| Worst drawdown | −23.7% | −55.2% | −18.5% | −24.5% |
| Volatility | 10.4% | 18.9% | 10.3% | 17.1% |
| Sharpe ratio | 0.39 | 0.55 | 0.41 | 0.62 |
| Time invested | 64% | 100% | ||
| Switches per year | 8.2 | 0 |
Every call, graded
Right on 65 of 178 closed calls (37%). In calls averaged +1.4%; out calls saw SPY move +1.4% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Sep 21, 2026 | IN | $773.50 | now | +0.6% | open |
| Sep 16, 2026 | OUT | $752.18 | Sep 21, 2026 | +2.8% | ✕ wrong |
| Aug 4, 2026 | IN | $769.42 | Sep 16, 2026 | −2.2% | ✕ wrong |
| Jun 5, 2026 | OUT | $733.83 | Aug 4, 2026 | +4.8% | ✕ wrong |
| Apr 8, 2026 | IN | $672.60 | Jun 5, 2026 | +9.1% | ✓ right |
| Jan 20, 2026 | OUT | $672.33 | Apr 8, 2026 | +0.0% | ✕ wrong |
| Dec 10, 2025 | IN | $680.23 | Jan 20, 2026 | −1.2% | ✕ wrong |
| Nov 18, 2025 | OUT | $653.03 | Dec 10, 2025 | +4.2% | ✕ wrong |
| Oct 27, 2025 | IN | $677.93 | Nov 18, 2025 | −3.7% | ✕ wrong |
| Oct 10, 2025 | OUT | $646.05 | Oct 27, 2025 | +4.9% | ✕ wrong |
| Aug 12, 2025 | IN | $634.07 | Oct 10, 2025 | +1.9% | ✓ right |
| Aug 1, 2025 | OUT | $613.38 | Aug 12, 2025 | +3.4% | ✕ 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 179 calls shown.
How the play works
- In when the Supertrend flips up (a close above the upper line).
- Out when it flips down (a close below the lower line).
Platforms credit Olivier Seban, but no original publication could be found.
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.