Volume & money flow · daily rule · Sectors
Money Flow Index on Consumer Discretionary Select Sector ETF
XLY 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 XLY over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +4.6% | +10.3% | +1.6% | +5.0% |
| Total return | +164% | +737% | +8% | +27% |
| Worst drawdown | −56.5% | −59.0% | −33.6% | −39.7% |
| Volatility | 17.0% | 21.9% | 19.6% | 24.1% |
| Sharpe ratio | 0.24 | 0.48 | −0.02 | 0.16 |
| Time invested | 41% | 100% | ||
| Switches per year | 1.8 | 0 |
Every call, graded
Right on 23 of 39 closed calls (59%). In calls averaged +5.2%; out calls saw XLY move +8.1% on average.
| Called | Call | Price | Until | XLY moved | Result |
|---|---|---|---|---|---|
| Sep 17, 2026 | IN | $111.14 | now | +1.1% | open |
| Apr 21, 2026 | OUT | $118.47 | Sep 17, 2026 | −6.2% | ✓ right |
| Feb 18, 2026 | IN | $116.30 | Apr 21, 2026 | +1.9% | ✓ right |
| May 15, 2025 | OUT | $106.52 | Feb 18, 2026 | +9.2% | ✕ wrong |
| Jan 10, 2025 | IN | $108.79 | May 15, 2025 | −2.1% | ✕ wrong |
| Jun 24, 2024 | OUT | $89.03 | Jan 10, 2025 | +22.2% | ✕ wrong |
| Jan 19, 2024 | IN | $85.45 | Jun 24, 2024 | +4.2% | ✓ right |
| Jun 14, 2023 | OUT | $80.44 | Jan 19, 2024 | +6.2% | ✕ wrong |
| Jan 25, 2022 | IN | $86.20 | Jun 14, 2023 | −6.7% | ✕ wrong |
| Apr 19, 2021 | OUT | $85.02 | Jan 25, 2022 | +1.4% | ✕ wrong |
| Sep 24, 2020 | IN | $67.69 | Apr 19, 2021 | +25.6% | ✓ right |
| Aug 14, 2020 | OUT | $68.26 | Sep 24, 2020 | −0.8% | ✓ 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 40 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.