10-month SMA timing (Meb Faber style) on SPY — Published Backtest & Verdict

We tested it in public: 10-month SMA timing (Meb Faber style) on SPY (2019-10-31 to 2026-10-16) returned +92.5% vs +178.1% buy-and-hold across 8 trades. Exact rules, full stats, and our honest verdict.

• Total return: +92.5% (trailed buy-and-hold at +178.1%)
• CAGR: +9.9% vs +15.9% buy-and-hold
• Max drawdown: -25.5% vs -33.7% buy-and-hold
• Win rate: 62.5% over 8 trades
• Period: 2019-10-31 to 2026-10-16 (SPY), published 2026-10-17

The claim on trial

Meb Faber's 10-month SMA timing rule — hold only above the 10-month average — beats buy-and-hold with smaller drawdowns.

The exact rules

• At each month-end, 10-month SMA = mean of the last 10 month-end adjusted closes (including current). Warmup 10 month-ends; first signal 2019-10-31. The partial final month (Oct 2026, data ends Oct 16) generates no signal.
• Signal observed at month-end close; trade prints at that close.
• Entry starts earning the next bar (no look-ahead); exit retains the exit bar's return.
• Close > SMA → long next month. Close ≤ SMA → cash. Long only, cash 0%. No transaction costs, no taxes modeled.

Our honest verdict

Timing softened the ride but did not beat holding: +92.5% vs +178.1% buy-and-hold, with max drawdown cut ~8 points (-25.5% vs -33.7%) at 80.6% time in market. Best moment: the Feb 28, 2020 exit right before the March COVID crash. Worst: 2022 whipsaws, including a one-month false re-entry at -8.78%.

Full trade log on Substack · Original X thread · StratIQ track record · All published backtests

Charted on TradingView (affiliate link — we may earn a commission at no extra cost to you): tradingview.com

Not financial advice — research and education only; do your own due diligence.