Trend following · daily rule · Indexes & ETFs
Vortex Indicator on S&P 500 ETF
What the play says
Latest reading: VI+ 1.00 · VI− 0.89
SPY with the play, last two years
Shading shows the play's call from the close that triggered it.
Vortex (14)
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 | +2.8% | +11.0% | +4.3% | +13.9% |
| Total return | +84% | +861% | +23% | +91% |
| Worst drawdown | −34.3% | −55.2% | −18.9% | −24.5% |
| Volatility | 10.9% | 18.9% | 11.0% | 17.1% |
| Sharpe ratio | 0.15 | 0.55 | 0.09 | 0.62 |
| Time invested | 65% | 100% | ||
| Switches per year | 23.5 | 0 |
Every call, graded
Right on 167 of 512 closed calls (33%). In calls averaged +0.3%; out calls saw SPY move +0.6% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Oct 2, 2026 | IN | $769.64 | now | +1.1% | open |
| Oct 1, 2026 | OUT | $763.99 | Oct 2, 2026 | +0.7% | ✕ wrong |
| Sep 30, 2026 | IN | $762.63 | Oct 1, 2026 | +0.2% | ✓ right |
| Sep 24, 2026 | OUT | $767.18 | Sep 30, 2026 | −0.6% | ✓ right |
| Sep 22, 2026 | IN | $773.38 | Sep 24, 2026 | −0.8% | ✕ wrong |
| Aug 31, 2026 | OUT | $765.15 | Sep 22, 2026 | +1.1% | ✕ wrong |
| Aug 27, 2026 | IN | $769.19 | Aug 31, 2026 | −0.5% | ✕ wrong |
| Aug 24, 2026 | OUT | $761.58 | Aug 27, 2026 | +1.0% | ✕ wrong |
| Aug 3, 2026 | IN | $755.79 | Aug 24, 2026 | +0.8% | ✓ right |
| Jul 29, 2026 | OUT | $727.65 | Aug 3, 2026 | +3.9% | ✕ wrong |
| Jul 28, 2026 | IN | $739.02 | Jul 29, 2026 | −1.5% | ✕ wrong |
| Jul 23, 2026 | OUT | $736.35 | Jul 28, 2026 | +0.4% | ✕ 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 513 calls shown.
How the play works
- In when VI+ is above VI− (14 days).
- Out when VI− is above VI+.
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.