Volume & money flow · daily rule · Market indexes
Money Flow Index on Russell 2000 index
What the play says
Latest reading: MFI 28.85
Russell 2000 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 Russell 2000 over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +4.3% | +7.0% | +3.6% | +4.4% |
| Total return | +149% | +335% | +19% | +24% |
| Worst drawdown | −56.9% | −59.9% | −32.5% | −33.0% |
| Volatility | 18.1% | 24.4% | 18.1% | 22.4% |
| Sharpe ratio | 0.22 | 0.33 | 0.08 | 0.14 |
| Time invested | 34% | 100% | ||
| Switches per year | 0.9 | 0 |
Every call, graded
Right on 10 of 20 closed calls (50%). In calls averaged +9.3%; out calls saw Russell 2000 move +8.7% on average.
| Called | Call | Price | Until | Russell 2000 moved | Result |
|---|---|---|---|---|---|
| Jul 15, 2025 | OUT | 2,205.05 | now | +26.2% | open |
| Aug 23, 2023 | IN | 1,870.03 | Jul 15, 2025 | +17.9% | ✓ right |
| Nov 2, 2022 | OUT | 1,789.14 | Aug 23, 2023 | +4.5% | ✕ wrong |
| Oct 3, 2022 | IN | 1,708.87 | Nov 2, 2022 | +4.7% | ✓ right |
| Aug 17, 2022 | OUT | 1,987.31 | Oct 3, 2022 | −14.0% | ✓ right |
| Jul 20, 2021 | IN | 2,194.30 | Aug 17, 2022 | −9.4% | ✕ wrong |
| Oct 15, 2020 | OUT | 1,638.88 | Jul 20, 2021 | +33.9% | ✕ wrong |
| Mar 18, 2020 | IN | 991.16 | Oct 15, 2020 | +65.3% | ✓ right |
| Dec 30, 2019 | OUT | 1,664.15 | Mar 18, 2020 | −40.4% | ✓ right |
| Oct 7, 2019 | IN | 1,497.79 | Dec 30, 2019 | +11.1% | ✓ right |
| Jan 22, 2019 | OUT | 1,457.45 | Oct 7, 2019 | +2.8% | ✕ wrong |
| Feb 13, 2018 | IN | 1,494.95 | Jan 22, 2019 | −2.5% | ✕ 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 21 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.