Volume & money flow · daily rule · Sectors
Money Flow Index on Real Estate Select Sector ETF
XLRE 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 2015
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding XLRE over exactly the same dates, after costs.
| Play, since 2015 | Hold, since 2015 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +3.4% | +6.4% | +2.9% | +1.7% |
| Total return | +44% | +97% | +15% | +9% |
| Worst drawdown | −32.1% | −38.8% | −32.1% | −34.1% |
| Volatility | 11.5% | 20.2% | 15.3% | 19.2% |
| Sharpe ratio | 0.15 | 0.30 | 0.01 | −0.01 |
| Time invested | 30% | 100% | ||
| Switches per year | 1.9 | 0 |
Every call, graded
Right on 13 of 21 closed calls (62%). In calls averaged +2.1%; out calls saw XLRE move +5.2% on average.
| Called | Call | Price | Until | XLRE moved | Result |
|---|---|---|---|---|---|
| Oct 2, 2026 | IN | $40.81 | now | +2.5% | open |
| May 5, 2025 | OUT | $39.79 | Oct 2, 2026 | +2.6% | ✕ wrong |
| Dec 20, 2024 | IN | $38.09 | May 5, 2025 | +4.4% | ✓ right |
| May 17, 2024 | OUT | $35.59 | Dec 20, 2024 | +7.1% | ✕ wrong |
| Apr 22, 2024 | IN | $33.21 | May 17, 2024 | +7.2% | ✓ right |
| Dec 5, 2023 | OUT | $34.34 | Apr 22, 2024 | −3.3% | ✓ right |
| Sep 20, 2023 | IN | $32.54 | Dec 5, 2023 | +5.5% | ✓ right |
| Jul 17, 2023 | OUT | $34.43 | Sep 20, 2023 | −5.5% | ✓ right |
| Jan 31, 2022 | IN | $40.28 | Jul 17, 2023 | −14.5% | ✕ wrong |
| Feb 1, 2019 | OUT | $26.38 | Jan 31, 2022 | +52.7% | ✕ wrong |
| Dec 26, 2018 | IN | $23.79 | Feb 1, 2019 | +10.9% | ✓ right |
| Apr 4, 2017 | OUT | $22.91 | Dec 26, 2018 | +3.8% | ✕ 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 22 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.