Volume & money flow · daily rule · Indexes & ETFs
Money Flow Index on S&P 500 ETF
SPY 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 SPY over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +6.1% | +11.0% | +12.2% | +13.9% |
| Total return | +265% | +861% | +77% | +91% |
| Worst drawdown | −53.9% | −55.2% | −20.6% | −24.5% |
| Volatility | 15.9% | 18.9% | 13.7% | 17.1% |
| Sharpe ratio | 0.34 | 0.55 | 0.63 | 0.62 |
| Time invested | 41% | 100% | ||
| Switches per year | 1.7 | 0 |
Every call, graded
Right on 21 of 38 closed calls (55%). In calls averaged +6.6%; out calls saw SPY move +6.1% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Sep 16, 2025 | OUT | $651.15 | now | +19.5% | open |
| Mar 12, 2025 | IN | $548.10 | Sep 16, 2025 | +18.8% | ✓ right |
| Nov 24, 2023 | OUT | $439.09 | Mar 12, 2025 | +24.8% | ✕ wrong |
| Aug 21, 2023 | IN | $422.21 | Nov 24, 2023 | +4.0% | ✓ right |
| Jul 19, 2023 | OUT | $437.45 | Aug 21, 2023 | −3.5% | ✓ right |
| Oct 4, 2022 | IN | $358.87 | Jul 19, 2023 | +21.9% | ✓ right |
| Aug 17, 2022 | OUT | $403.43 | Oct 4, 2022 | −11.0% | ✓ right |
| Jan 26, 2022 | IN | $406.76 | Aug 17, 2022 | −0.8% | ✕ wrong |
| Nov 10, 2021 | OUT | $433.62 | Jan 26, 2022 | −6.2% | ✓ right |
| Sep 21, 2021 | IN | $405.57 | Nov 10, 2021 | +6.9% | ✓ right |
| Apr 19, 2021 | OUT | $385.84 | Sep 21, 2021 | +5.1% | ✕ wrong |
| Mar 2, 2020 | IN | $281.04 | Apr 19, 2021 | +37.3% | ✓ 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 39 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.