Calendar · daily rule · Indexes & ETFs
Weekend Effect 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 | +4.5% | +11.0% | +3.9% | +13.9% |
| Total return | +162% | +861% | +21% | +91% |
| Worst drawdown | −46.8% | −55.2% | −20.2% | −24.5% |
| Volatility | 16.3% | 18.9% | 15.7% | 17.1% |
| Sharpe ratio | 0.24 | 0.55 | 0.08 | 0.62 |
| Time invested | 79% | 100% | ||
| Switches per year | 104.5 | 0 |
Every call, graded
Right on 1184 of 2284 closed calls (52%). In calls averaged +0.2%; out calls saw SPY move +0.0% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Oct 12, 2026 | IN | $778.10 | now | 0.0% | open |
| Oct 9, 2026 | OUT | $778.57 | Oct 12, 2026 | −0.1% | ✓ right |
| Oct 5, 2026 | IN | $774.83 | Oct 9, 2026 | +0.5% | ✓ right |
| Oct 2, 2026 | OUT | $769.64 | Oct 5, 2026 | +0.7% | ✕ wrong |
| Sep 28, 2026 | IN | $765.61 | Oct 2, 2026 | +0.5% | ✓ right |
| Sep 25, 2026 | OUT | $771.35 | Sep 28, 2026 | −0.7% | ✓ right |
| Sep 21, 2026 | IN | $773.50 | Sep 25, 2026 | −0.3% | ✕ wrong |
| Sep 18, 2026 | OUT | $761.69 | Sep 21, 2026 | +1.6% | ✕ wrong |
| Sep 14, 2026 | IN | $759.00 | Sep 18, 2026 | +0.4% | ✓ right |
| Sep 11, 2026 | OUT | $762.40 | Sep 14, 2026 | −0.4% | ✓ right |
| Sep 8, 2026 | IN | $764.06 | Sep 11, 2026 | −0.2% | ✕ wrong |
| Sep 4, 2026 | OUT | $768.28 | Sep 8, 2026 | −0.5% | ✓ right |
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 2285 calls shown.
How the play works
- Out at the close of the last session of each week, normally Friday.
- In at the close of the first session of the next week, normally Monday.
- So the stock is held from Monday's close to Friday's close and skips the weekend and Monday.
When Monday is a holiday, the week's first session (Tuesday) plays Monday's role. A week with a single session stays out.
Robins and Smith find the effect vanished after 1975, before it was even published. The rule is kept to show what a famous anomaly does after discovery.
Crypto trades on weekends too. Coins skip the same stretch as stocks, from Friday's close to Monday's close.
About 100 switches a year means trading costs matter a lot here.
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.