Breakouts & channels · daily rule · Indexes & ETFs
Turtle System 1 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 | +3.8% | +11.0% | +3.8% | +13.9% |
| Total return | +127% | +861% | +21% | +91% |
| Worst drawdown | −17.5% | −55.2% | −17.5% | −24.5% |
| Volatility | 7.8% | 18.9% | 7.8% | 17.1% |
| Sharpe ratio | 0.30 | 0.55 | 0.04 | 0.62 |
| Time invested | 47% | 100% | ||
| Switches per year | 8.2 | 0 |
Every call, graded
Right on 54 of 178 closed calls (30%). In calls averaged +0.9%; out calls saw SPY move +1.9% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Sep 21, 2026 | IN | $773.50 | now | +0.6% | open |
| Aug 20, 2026 | OUT | $760.71 | Sep 21, 2026 | +1.7% | ✕ wrong |
| Aug 3, 2026 | IN | $755.79 | Aug 20, 2026 | +0.7% | ✓ right |
| Jul 23, 2026 | OUT | $736.35 | Aug 3, 2026 | +2.6% | ✕ wrong |
| Apr 15, 2026 | IN | $696.41 | Jul 23, 2026 | +5.7% | ✓ right |
| Jan 20, 2026 | OUT | $672.33 | Apr 15, 2026 | +3.6% | ✕ wrong |
| Dec 23, 2025 | IN | $682.63 | Jan 20, 2026 | −1.5% | ✕ wrong |
| Dec 16, 2025 | OUT | $671.62 | Dec 23, 2025 | +1.6% | ✕ wrong |
| Dec 5, 2025 | IN | $678.37 | Dec 16, 2025 | −1.0% | ✕ wrong |
| Nov 18, 2025 | OUT | $653.03 | Dec 5, 2025 | +3.9% | ✕ wrong |
| Oct 24, 2025 | IN | $670.02 | Nov 18, 2025 | −2.5% | ✕ wrong |
| Oct 10, 2025 | OUT | $646.05 | Oct 24, 2025 | +3.7% | ✕ 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 on a close above the prior 20-day high, unless the previous breakout would have won. Then wait for a 55-day breakout instead.
- Out on a close below the prior 10-day low, or 2 N (two average true ranges) below the entry.
The Turtles also shorted, added up to four units and sized by volatility. Be The Puck tests one long unit.
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.