Volume & money flow · daily rule · Market indexes
Money Flow Index on S&P 500 index
What the play says
Latest reading: MFI 47.68
S&P 500 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 S&P 500 over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +4.4% | +9.0% | +6.5% | +12.4% |
| Total return | +156% | +549% | +37% | +79% |
| Worst drawdown | −52.6% | −56.8% | −10.3% | −25.4% |
| Volatility | 14.4% | 19.0% | 7.8% | 17.0% |
| Sharpe ratio | 0.25 | 0.46 | 0.36 | 0.55 |
| Time invested | 33% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 12 of 22 closed calls (55%). In calls averaged +7.5%; out calls saw S&P 500 move +6.3% on average.
| Called | Call | Price | Until | S&P 500 moved | Result |
|---|---|---|---|---|---|
| Nov 21, 2023 | OUT | 4,538.19 | now | +72.0% | open |
| Oct 4, 2022 | IN | 3,790.93 | Nov 21, 2023 | +19.7% | ✓ right |
| Sep 3, 2020 | OUT | 3,455.06 | Oct 4, 2022 | +9.7% | ✕ wrong |
| Aug 6, 2019 | IN | 2,881.77 | Sep 3, 2020 | +19.9% | ✓ right |
| Apr 15, 2019 | OUT | 2,905.58 | Aug 6, 2019 | −0.8% | ✓ right |
| Dec 27, 2018 | IN | 2,488.83 | Apr 15, 2019 | +16.7% | ✓ right |
| Nov 30, 2016 | OUT | 2,198.81 | Dec 27, 2018 | +13.2% | ✕ wrong |
| Nov 8, 2016 | IN | 2,139.56 | Nov 30, 2016 | +2.8% | ✓ right |
| Oct 30, 2013 | OUT | 1,763.31 | Nov 8, 2016 | +21.3% | ✕ wrong |
| Oct 10, 2013 | IN | 1,692.56 | Oct 30, 2013 | +4.2% | ✓ right |
| Jan 28, 2013 | OUT | 1,500.18 | Oct 10, 2013 | +12.8% | ✕ wrong |
| May 22, 2012 | IN | 1,316.63 | Jan 28, 2013 | +13.9% | ✓ 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 23 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.