Volume & money flow · daily rule · Energy & power
Money Flow Index on Advantage Energy
AAV with the play, last two years
Shading shows the play's call from the close that triggered it.
Money Flow Index (14)
Dashed lines at 20, 80.
Growth of C$10,000 since 2009
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding AAV over exactly the same dates, after costs.
| Play, since 2009 | Hold, since 2009 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +2.7% | +3.3% | +7.9% | +11.0% |
| Total return | +55% | +73% | +46% | +68% |
| Worst drawdown | −78.0% | −89.9% | −39.0% | −42.1% |
| Volatility | 31.3% | 45.4% | 24.2% | 39.7% |
| Sharpe ratio | 0.19 | 0.27 | 0.28 | 0.37 |
| Time invested | 46% | 100% | ||
| Switches per year | 2.6 | 0 |
Every call, graded
Right on 25 of 44 closed calls (57%). In calls averaged +4.5%; out calls saw AAV move +4.7% on average.
| Called | Call | Price | Until | AAV moved | Result |
|---|---|---|---|---|---|
| Jan 14, 2025 | OUT | C$10.12 | now | +4.3% | open |
| Jun 18, 2024 | IN | C$10.41 | Jan 14, 2025 | −2.8% | ✕ wrong |
| Mar 7, 2024 | OUT | C$10.13 | Jun 18, 2024 | +2.8% | ✕ wrong |
| Dec 19, 2023 | IN | C$8.46 | Mar 7, 2024 | +19.7% | ✓ right |
| Aug 10, 2023 | OUT | C$9.31 | Dec 19, 2023 | −9.1% | ✓ right |
| Dec 14, 2022 | IN | C$11.08 | Aug 10, 2023 | −16.0% | ✕ wrong |
| Aug 2, 2022 | OUT | C$10.65 | Dec 14, 2022 | +4.0% | ✕ wrong |
| Jun 29, 2022 | IN | C$8.51 | Aug 2, 2022 | +25.1% | ✓ right |
| Jan 13, 2022 | OUT | C$7.20 | Jun 29, 2022 | +18.2% | ✕ wrong |
| Dec 9, 2021 | IN | C$6.77 | Jan 13, 2022 | +6.4% | ✓ right |
| Feb 18, 2021 | OUT | C$2.56 | Dec 9, 2021 | +164.5% | ✕ wrong |
| Dec 16, 2020 | IN | C$1.77 | Feb 18, 2021 | +44.6% | ✓ 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 45 calls shown.
How the play works
- In when the 14-day MFI crosses up through 20.
- Out when it crosses down through 80.
The creators also stress divergences, which this rule ignores.
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.