Trend following · month-end rule · Indexes & ETFs
10-Month SMA 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 | +8.7% | +11.0% | +7.1% | +13.9% |
| Total return | +513% | +861% | +40% | +91% |
| Worst drawdown | −24.3% | −55.2% | −24.3% | −24.5% |
| Volatility | 12.5% | 18.9% | 12.1% | 17.1% |
| Sharpe ratio | 0.59 | 0.55 | 0.31 | 0.62 |
| Time invested | 81% | 100% | ||
| Switches per year | 1.5 | 0 |
Every call, graded
Right on 12 of 32 closed calls (38%). In calls averaged +13.1%; out calls saw SPY move +3.8% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Apr 30, 2026 | IN | $715.04 | now | +8.8% | open |
| Mar 31, 2026 | OUT | $647.06 | Apr 30, 2026 | +10.5% | ✕ wrong |
| May 30, 2025 | IN | $579.77 | Mar 31, 2026 | +11.6% | ✓ right |
| Mar 31, 2025 | OUT | $550.26 | May 30, 2025 | +5.4% | ✕ wrong |
| Nov 30, 2023 | IN | $440.15 | Mar 31, 2025 | +25.0% | ✓ right |
| Oct 31, 2023 | OUT | $403.31 | Nov 30, 2023 | +9.1% | ✕ wrong |
| Jan 31, 2023 | IN | $387.71 | Oct 31, 2023 | +4.0% | ✓ right |
| Dec 30, 2022 | OUT | $364.77 | Jan 31, 2023 | +6.3% | ✕ wrong |
| Nov 30, 2022 | IN | $387.07 | Dec 30, 2022 | −5.8% | ✕ wrong |
| Apr 29, 2022 | OUT | $387.90 | Nov 30, 2022 | −0.2% | ✓ right |
| Mar 31, 2022 | IN | $425.22 | Apr 29, 2022 | −8.8% | ✕ wrong |
| Feb 28, 2022 | OUT | $409.82 | Mar 31, 2022 | +3.8% | ✕ 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 33 calls shown.
How the play works
- In when the month-end close is above the 10-month average.
- Out, in T-bills, when it closes below.
Signals are acted on the first trading day of the next month.
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.