The 200-day moving average gate is insurance with a price

What the gate does and what it cost

The rule: sell premium only when the underlying closes above its 200-day moving average. We tested it on a 25-delta put credit spread on QQQ and SPY, 30 to 45 days to expiry, real quotes from 2022 and calibrated daily-bar prices before that, walked forward year by year so each year's rule was set only from the years before it.

From 2018 to 2026, growth per year at 10% of equity at risk per trade was 4.7% for always holding the spread and 4.7% with the trend gate. On the shorter 2023 to 2026 test, always holding grew 8.3% a year and the trend stand-down 5.0%. A stand-down that combines trend and VIX cost about 2.7% a year in years without a bear.

The evidence for it is mostly one year

Below the 200-day line, the spread read +16.9% per trade in 2023, +8.7% in 2025 and +16.6% in 2026. It read -5.7% in 2022, when 98% of entry days were below the line. So the statement that selling below the 200-day loses is, in our data, mostly a statement about 2022.

Over the longer sample, the losing years for the spread were 2018 (-3.4%) and 2022 (-5.4%). Those are the years a gate exists for, and in our walk-forward test it helped in 2022 only in one variant. The data cannot say whether the insurance pays, because the test years after 2022 contain no second bear.

Why keep it anyway

Insurance is not supposed to beat no insurance in calm years. The case for the gate is that a 2022-type year, sold through at full size, is the scenario that ends small accounts, and the cost of standing aside is a few percent of growth. That is a reasonable price if you name it in advance and accept that it will look wasted most of the time.

What the gate is not is a timing edge. Our lesson on regime timing shows that every classifier we tried, including trend, VIX level, term structure and the volatility premium, failed to beat holding the spread out of sample.

What it changes in practice

If you use a 200-day rule, treat it as a cost, not a source of returns, and do not tune it after a loss. Know that it will keep you out of some good months below the line. And size the positions you do take as if the gate were not there, because a fast drop can cross the line inside a trade you already hold.