Volume & money flow · daily rule · Semiconductors
Money Flow Index on Analog Devices
ADI 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 $10,000 since 2005
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding ADI over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +5.3% | +14.4% | +8.5% | +22.5% |
| Total return | +207% | +1,764% | +50% | +174% |
| Worst drawdown | −44.4% | −58.9% | −23.6% | −32.2% |
| Volatility | 22.1% | 31.4% | 18.9% | 34.1% |
| Sharpe ratio | 0.26 | 0.53 | 0.33 | 0.65 |
| Time invested | 40% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 14 of 31 closed calls (45%). In calls averaged +6.0%; out calls saw ADI move +10.3% on average.
| Called | Call | Price | Until | ADI moved | Result |
|---|---|---|---|---|---|
| Dec 18, 2023 | OUT | $188.49 | now | +120.0% | open |
| Aug 21, 2023 | IN | $168.32 | Dec 18, 2023 | +12.0% | ✓ right |
| Jun 16, 2023 | OUT | $178.90 | Aug 21, 2023 | −5.9% | ✓ right |
| Jan 31, 2022 | IN | $151.41 | Jun 16, 2023 | +18.2% | ✓ right |
| Apr 20, 2020 | OUT | $90.29 | Jan 31, 2022 | +67.7% | ✕ wrong |
| Oct 3, 2019 | IN | $98.20 | Apr 20, 2020 | −8.1% | ✕ wrong |
| May 23, 2018 | OUT | $81.09 | Oct 3, 2019 | +21.1% | ✕ wrong |
| Feb 20, 2018 | IN | $75.56 | May 23, 2018 | +7.3% | ✓ right |
| Jun 1, 2017 | OUT | $69.12 | Feb 20, 2018 | +9.3% | ✕ wrong |
| Apr 24, 2017 | IN | $66.60 | Jun 1, 2017 | +3.8% | ✓ right |
| Apr 1, 2016 | OUT | $48.37 | Apr 24, 2017 | +37.7% | ✕ wrong |
| Jul 15, 2015 | IN | $50.44 | Apr 1, 2016 | −4.1% | ✕ wrong |
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 32 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.