Paul Tudor Jones 200-Day Moving Average: does it still work? Replicated through 2026
We re-ran it on S&P 500 from 2010-10-18 to 2026-11-10 (16.1 years, before costs): +10.5% a year, Sharpe 0.91, worst drawdown -19.8%. The benchmark, S&P 500 buy-and-hold, did +14.2% a year (Sharpe 0.87, worst drawdown -33.7%).
Verdict: About the same risk-adjusted return as its benchmark. Historical, hypothetical results before costs, taxes and fees. Not investment advice.
The originator never published a numeric rule. The parameters here are ours, an illustration of the idea. Do not read these results as the originator's results.
What is lost
- Jones trades discretionarily across markets; a single mechanical rule on SPY is not his strategy.
- The quote's exact wording and source are unverified.
Where it comes from
A legendary macro trader's own simple line in the sand, repeated constantly in trading circles.
Rules, weights and thresholds are given as commonly cited. We have not re-checked them against the primary text.
The original rules
Jones has said that he uses the 200-day moving average of closing prices as a basic risk gauge: if price is below it, stay out or reduce.
How we replicate it
What we changed
Our interpretation of a widely quoted remark, not a rule he published: hold SPY while its close is above its 200-day average, otherwise cash. The exact wording and source of the quote are not verified.
The exact rule we run
Every day at the close: if the SPY close is above the average of its last 200 closes, hold 100% SPY, otherwise 100% cash.
Conventions: Position decided at a close earns the next day's return; no look-ahead; before costs; cash earns 0%; starts 2010-10-18, the first day a signal exists; every market has an equal slot of equity; indicators use each market's own trading days.
Growth of 1 vs the benchmark
Benchmark: S&P 500 buy-and-hold, same period. Bought on the first day and held.
Drawdown from the previous peak
Key numbers
Sample: 2010-10-18 to 2026-11-10, 16.1 years, 4041 daily observations. Annualised from the number of observations per year of the strategy's own calendar. Before costs.
Recent and full-period returns
| Period | Replica | Benchmark |
|---|---|---|
| Last month | -3.7% | -3.7% |
| Last year | +6.7% | +11.2% |
| Last 5 years | +49.9% | +72.9% |
| Whole period (cumulative) | +400.3% | +739.7% |
Calendar-year returns
| Year | Replica | Benchmark | Replica minus benchmark |
|---|---|---|---|
| 2026* | +6.3% | +10.8% | -4.5% |
| 2025 | +11.8% | +17.7% | -5.9% |
| 2024 | +24.9% | +24.9% | -0.0% |
| 2023 | +15.4% | +26.2% | -10.8% |
| 2022 | -14.9% | -18.2% | +3.3% |
| 2021 | +28.7% | +28.7% | +0.0% |
| 2020 | +9.9% | +18.3% | -8.4% |
| 2019 | +16.6% | +31.2% | -14.6% |
| 2018 | -0.7% | -4.6% | +3.9% |
| 2017 | +21.7% | +21.7% | -0.0% |
| 2016 | +10.6% | +12.0% | -1.4% |
| 2015 | -4.4% | +1.2% | -5.6% |
| 2014 | +11.7% | +13.5% | -1.7% |
| 2013 | +32.3% | +32.3% | -0.0% |
| 2012 | +13.3% | +16.0% | -2.7% |
| 2011 | -9.1% | +1.9% | -11.0% |
| 2010* | +6.9% | +6.9% | 0.0% |
* Partial year. The first year starts on the first day of the replica; the current year is year to date.
Position as of 2026-11-10
| Holding | Weight |
|---|---|
| S&P 500 SPY | 100.0% |
| Cash (0%) | 0.0% |
Last change of position: 2026-04-08. Drawdown from its peak today: -3.7%.
What it did in 2020 and 2022
| Episode | Dates | Replica | Benchmark |
|---|---|---|---|
| COVID crash | 2020-02-19 → 2020-03-23 | -17.4% | -33.7% |
| 2022 bear market | 2022-01-03 → 2022-10-12 | -13.1% | -24.5% |
Close to close between the two dates. Two episodes only: not enough to judge a strategy.
How much to trust it
- 78 position changes over 16.1 years.
- This is one backtest on one path of history, before costs and with hindsight on the choice of strategy. It does not show the strategy will work in future.
Honest caveat
The quote's exact source is unverified, and Jones himself trades discretionarily rather than by this single rule.
Related
Other famous strategies
Markets used: S&P 500
Historical, hypothetical results before costs, taxes and fees. Not investment advice.