Momentum · daily rule · Indexes & ETFs
TSI Zero Line on S&P 500 ETF
What the play says
Latest reading: TSI 14.92
SPY with the play, last two years
Shading shows the play's call from the close that triggered it.
True Strength Index (25, 13)
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 | +6.8% | +11.0% | +10.7% | +13.9% |
| Total return | +317% | +861% | +66% | +91% |
| Worst drawdown | −25.5% | −55.2% | −11.9% | −24.5% |
| Volatility | 10.9% | 18.9% | 10.9% | 17.1% |
| Sharpe ratio | 0.50 | 0.55 | 0.64 | 0.62 |
| Time invested | 70% | 100% | ||
| Switches per year | 8.0 | 0 |
Every call, graded
Right on 54 of 174 closed calls (31%). In calls averaged +1.8%; out calls saw SPY move +1.1% 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 3, 2026 | IN | $755.79 | Sep 16, 2026 | −0.5% | ✕ wrong |
| Jul 28, 2026 | OUT | $739.02 | Aug 3, 2026 | +2.3% | ✕ wrong |
| Apr 13, 2026 | IN | $682.64 | Jul 28, 2026 | +8.3% | ✓ right |
| Feb 13, 2026 | OUT | $676.47 | Apr 13, 2026 | +0.9% | ✕ wrong |
| Nov 28, 2025 | IN | $676.10 | Feb 13, 2026 | +0.1% | ✓ right |
| Nov 19, 2025 | OUT | $655.56 | Nov 28, 2025 | +3.1% | ✕ wrong |
| May 2, 2025 | IN | $557.51 | Nov 19, 2025 | +17.6% | ✓ right |
| Feb 27, 2025 | OUT | $573.78 | May 2, 2025 | −2.8% | ✓ right |
| Jan 22, 2025 | IN | $594.76 | Feb 27, 2025 | −3.5% | ✕ wrong |
| Dec 31, 2024 | OUT | $574.79 | Jan 22, 2025 | +3.5% | ✕ 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 175 calls shown.
How the play works
- TSI = 100 × the 13-day EMA of the 25-day EMA of daily price changes, divided by the same double average of their size. It runs from −100 to +100.
- In when TSI crosses above zero.
- Out when it crosses below zero.
Blau also used signal-line crosses and divergences. StockCharts calls the zero-line cross the purest signal, and it is the one tested here.
25 and 13 days are Blau's default smoothing lengths.
Where the rules come from
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.