Breakouts & channels · daily rule · Indexes & ETFs
Wilder Volatility System 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 | +5.9% | +11.0% | +9.0% | +13.9% |
| Total return | +248% | +861% | +54% | +91% |
| Worst drawdown | −17.8% | −55.2% | −8.9% | −24.5% |
| Volatility | 10.9% | 18.9% | 10.2% | 17.1% |
| Sharpe ratio | 0.42 | 0.55 | 0.53 | 0.62 |
| Time invested | 67% | 100% | ||
| Switches per year | 8.4 | 0 |
Every call, graded
Right on 69 of 182 closed calls (38%). In calls averaged +1.5%; out calls saw SPY move +1.3% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Sep 21, 2026 | IN | $773.50 | now | +0.6% | open |
| Sep 10, 2026 | OUT | $755.95 | Sep 21, 2026 | +2.3% | ✕ 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 |
| Jul 10, 2026 | IN | $753.08 | Jul 29, 2026 | −3.4% | ✕ wrong |
| Jun 5, 2026 | OUT | $733.83 | Jul 10, 2026 | +2.6% | ✕ wrong |
| Apr 8, 2026 | IN | $672.60 | Jun 5, 2026 | +9.1% | ✓ right |
| Jan 20, 2026 | OUT | $672.33 | Apr 8, 2026 | +0.0% | ✕ wrong |
| Dec 2, 2025 | IN | $674.26 | Jan 20, 2026 | −0.3% | ✕ wrong |
| Nov 18, 2025 | OUT | $653.03 | Dec 2, 2025 | +3.2% | ✕ 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 183 calls shown.
How the play works
- Out when a close falls more than 3 × the 7-day average true range (a typical day's range) below the highest close since going in.
- In when a close rises more than 3 × the 7-day average true range above the lowest close since going out.
Wilder's system is always in the market, long or short. Be The Puck holds T-bills instead of shorting.
Wilder's multiplier runs from 2.8 to 3.1; 3.0 is the standard value.
The 7-day ATR uses Wilder's smoothing and the previous day's value, as in eSignal's version of the book.
The test starts out of the market, measuring from the first close.
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.