Volume & money flow · daily rule · Indexes & ETFs
Money Flow Index on Silver ETF
SLV 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 2006
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding SLV over exactly the same dates, after costs.
| Play, since 2006 | Hold, since 2006 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +6.1% | +7.4% | +8.0% | +20.3% |
| Total return | +235% | +327% | +46% | +151% |
| Worst drawdown | −43.4% | −76.3% | −20.4% | −52.3% |
| Volatility | 18.9% | 33.3% | 14.6% | 37.4% |
| Sharpe ratio | 0.32 | 0.33 | 0.34 | 0.59 |
| Time invested | 31% | 100% | ||
| Switches per year | 1.7 | 0 |
Every call, graded
Right on 23 of 34 closed calls (68%). In calls averaged +6.7%; out calls saw SLV move −0.6% on average.
| Called | Call | Price | Until | SLV moved | Result |
|---|---|---|---|---|---|
| Jul 17, 2023 | OUT | $22.79 | now | +134.7% | open |
| May 31, 2023 | IN | $21.61 | Jul 17, 2023 | +5.5% | ✓ right |
| Apr 3, 2023 | OUT | $22.06 | May 31, 2023 | −2.0% | ✓ right |
| May 11, 2022 | IN | $19.87 | Apr 3, 2023 | +11.0% | ✓ right |
| Feb 24, 2022 | OUT | $22.31 | May 11, 2022 | −10.9% | ✓ right |
| Dec 6, 2021 | IN | $20.71 | Feb 24, 2022 | +7.7% | ✓ right |
| Feb 2, 2021 | OUT | $24.54 | Dec 6, 2021 | −15.6% | ✓ right |
| Sep 25, 2020 | IN | $21.30 | Feb 2, 2021 | +15.2% | ✓ right |
| Jun 1, 2017 | OUT | $16.38 | Sep 25, 2020 | +30.0% | ✕ wrong |
| May 12, 2017 | IN | $15.57 | Jun 1, 2017 | +5.2% | ✓ right |
| Apr 5, 2017 | OUT | $17.32 | May 12, 2017 | −10.1% | ✓ right |
| Dec 2, 2016 | IN | $15.83 | Apr 5, 2017 | +9.4% | ✓ 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 35 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.