Breakouts & channels · daily rule · Indexes & ETFs
Turtle System 2 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 | +3.6% | +11.0% | +4.1% | +13.9% |
| Total return | +118% | +861% | +22% | +91% |
| Worst drawdown | −18.2% | −55.2% | −17.7% | −24.5% |
| Volatility | 8.4% | 18.9% | 8.5% | 17.1% |
| Sharpe ratio | 0.26 | 0.55 | 0.07 | 0.62 |
| Time invested | 49% | 100% | ||
| Switches per year | 5.6 | 0 |
Every call, graded
Right on 39 of 122 closed calls (32%). In calls averaged +1.2%; out calls saw SPY move +2.9% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Oct 6, 2026 | IN | $779.09 | now | −0.1% | open |
| Sep 10, 2026 | OUT | $755.95 | Oct 6, 2026 | +3.1% | ✕ wrong |
| Aug 4, 2026 | IN | $769.42 | Sep 10, 2026 | −1.8% | ✕ wrong |
| Jul 29, 2026 | OUT | $727.65 | Aug 4, 2026 | +5.7% | ✕ wrong |
| Apr 15, 2026 | IN | $696.41 | Jul 29, 2026 | +4.5% | ✓ right |
| Mar 6, 2026 | OUT | $667.17 | Apr 15, 2026 | +4.4% | ✕ wrong |
| Dec 23, 2025 | IN | $682.63 | Mar 6, 2026 | −2.3% | ✕ wrong |
| Nov 18, 2025 | OUT | $653.03 | Dec 23, 2025 | +4.5% | ✕ wrong |
| Jun 3, 2025 | IN | $586.36 | Nov 18, 2025 | +11.4% | ✓ right |
| Feb 25, 2025 | OUT | $582.79 | Jun 3, 2025 | +0.6% | ✕ wrong |
| Jan 23, 2025 | IN | $598.00 | Feb 25, 2025 | −2.5% | ✕ wrong |
| Jan 10, 2025 | OUT | $569.31 | Jan 23, 2025 | +5.0% | ✕ 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 123 calls shown.
How the play works
- In on a close above the prior 55-day high.
- Out on a close below the prior 20-day low, or 2 N below the entry.
No shorts, no adding units, signals on closes.
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.