Volume & money flow · daily rule · Energy & power
Money Flow Index on Tamarack Valley Energy
TVE 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 C$10,000 since 2008
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding TVE over exactly the same dates, after costs.
| Play, since 2008 | Hold, since 2008 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −4.4% | +8.5% | +7.1% | +37.2% |
| Total return | −56% | +356% | +41% | +383% |
| Worst drawdown | −94.3% | −94.3% | −9.5% | −53.7% |
| Volatility | 67.6% | 84.8% | 7.3% | 42.4% |
| Sharpe ratio | 0.22 | 0.48 | 0.46 | 0.87 |
| Time invested | 31% | 100% | ||
| Switches per year | 3.6 | 0 |
Every call, graded
Right on 32 of 66 closed calls (48%). In calls averaged −0.3%; out calls saw TVE move +10.3% on average.
| Called | Call | Price | Until | TVE moved | Result |
|---|---|---|---|---|---|
| Oct 8, 2024 | OUT | C$3.95 | now | +258.1% | open |
| Sep 11, 2024 | IN | C$3.46 | Oct 8, 2024 | +14.1% | ✓ right |
| Jan 25, 2023 | OUT | C$4.07 | Sep 11, 2024 | −14.9% | ✓ right |
| Dec 23, 2022 | IN | C$3.95 | Jan 25, 2023 | +3.0% | ✓ right |
| Aug 12, 2021 | OUT | C$2.15 | Dec 23, 2022 | +83.2% | ✕ wrong |
| Jul 20, 2021 | IN | C$1.90 | Aug 12, 2021 | +13.6% | ✓ right |
| Nov 19, 2020 | OUT | C$0.810 | Jul 20, 2021 | +134.0% | ✕ wrong |
| Jan 28, 2020 | IN | C$1.53 | Nov 19, 2020 | −46.9% | ✕ wrong |
| Dec 24, 2019 | OUT | C$1.72 | Jan 28, 2020 | −11.1% | ✓ right |
| May 14, 2019 | IN | C$2.08 | Dec 24, 2019 | −17.4% | ✕ wrong |
| Feb 22, 2019 | OUT | C$2.26 | May 14, 2019 | −8.0% | ✓ right |
| Oct 31, 2018 | IN | C$3.06 | Feb 22, 2019 | −26.2% | ✕ 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 67 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.