Trend following · daily rule · Indexes & ETFs
TEMA Crossover 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 | +4.3% | +11.0% | +5.1% | +13.9% |
| Total return | +150% | +861% | +28% | +91% |
| Worst drawdown | −34.6% | −55.2% | −22.7% | −24.5% |
| Volatility | 11.1% | 18.9% | 9.9% | 17.1% |
| Sharpe ratio | 0.28 | 0.55 | 0.17 | 0.62 |
| Time invested | 49% | 100% | ||
| Switches per year | 12.8 | 0 |
Every call, graded
Right on 96 of 280 closed calls (34%). In calls averaged +0.7%; out calls saw SPY move +1.1% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Oct 5, 2026 | IN | $774.83 | now | +0.4% | open |
| Aug 25, 2026 | OUT | $764.01 | Oct 5, 2026 | +1.4% | ✕ wrong |
| Aug 5, 2026 | IN | $767.88 | Aug 25, 2026 | −0.5% | ✕ wrong |
| Jun 3, 2026 | OUT | $750.44 | Aug 5, 2026 | +2.3% | ✕ wrong |
| Apr 8, 2026 | IN | $672.60 | Jun 3, 2026 | +11.6% | ✓ right |
| Feb 3, 2026 | OUT | $684.19 | Apr 8, 2026 | −1.7% | ✓ right |
| Jan 28, 2026 | IN | $690.03 | Feb 3, 2026 | −0.8% | ✕ wrong |
| Jan 20, 2026 | OUT | $672.33 | Jan 28, 2026 | +2.6% | ✕ wrong |
| Dec 22, 2025 | IN | $679.52 | Jan 20, 2026 | −1.1% | ✕ wrong |
| Dec 17, 2025 | OUT | $664.23 | Dec 22, 2025 | +2.3% | ✕ wrong |
| Dec 3, 2025 | IN | $676.59 | Dec 17, 2025 | −1.8% | ✕ wrong |
| Nov 5, 2025 | OUT | $670.35 | Dec 3, 2025 | +0.9% | ✕ 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 281 calls shown.
How the play works
- In when the 20-day TEMA is above the 50-day TEMA.
- Out when it is below.
Mulloy published the average, not a trading rule. The 20/50 crossover is Be The Puck's convention.
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.