Mean reversion · daily rule · Indexes & ETFs
Williams %R on S&P 500 ETF
SPY with the play, last two years
Shading shows the play's call from the close that triggered it.
Williams %R (14)
Dashed lines at −20, −80.
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 | +6.3% | +11.0% | +11.1% | +13.9% |
| Total return | +278% | +861% | +69% | +91% |
| Worst drawdown | −48.6% | −55.2% | −22.5% | −24.5% |
| Volatility | 15.2% | 18.9% | 13.3% | 17.1% |
| Sharpe ratio | 0.36 | 0.55 | 0.57 | 0.62 |
| Time invested | 43% | 100% | ||
| Switches per year | 12.7 | 0 |
Every call, graded
Right on 173 of 276 closed calls (63%). In calls averaged +1.0%; out calls saw SPY move +0.8% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Sep 23, 2026 | OUT | $767.81 | now | +1.3% | open |
| Aug 25, 2026 | IN | $764.01 | Sep 23, 2026 | +0.5% | ✓ right |
| Aug 18, 2026 | OUT | $765.55 | Aug 25, 2026 | −0.2% | ✓ right |
| Jul 21, 2026 | IN | $746.43 | Aug 18, 2026 | +2.6% | ✓ right |
| Jun 16, 2026 | OUT | $746.55 | Jul 21, 2026 | 0.0% | ✓ right |
| Jun 11, 2026 | IN | $734.04 | Jun 16, 2026 | +1.7% | ✓ right |
| May 4, 2026 | OUT | $714.39 | Jun 11, 2026 | +2.8% | ✕ wrong |
| Mar 9, 2026 | IN | $673.01 | May 4, 2026 | +6.1% | ✓ right |
| Feb 10, 2026 | OUT | $686.76 | Mar 9, 2026 | −2.0% | ✓ right |
| Feb 6, 2026 | IN | $685.27 | Feb 10, 2026 | +0.2% | ✓ right |
| Jan 30, 2026 | OUT | $686.61 | Feb 6, 2026 | −0.2% | ✓ right |
| Jan 21, 2026 | IN | $680.09 | Jan 30, 2026 | +1.0% | ✓ 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 277 calls shown.
How the play works
- In when %R crosses up through −80.
- Out when it crosses down through −20.
Williams read %R differently in bull, bear and sideways markets. This is the modern charting convention.
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.