Recruitment of participants Money Flow Index Trading Strategy

Strategy 51: Money Flow Index Trading Strategy

The money flow index (MFI) is a momentum indicator that measures the flow of money into and out of a security over a specified period of time by combining price and volume data. It oscillates between 0 and 100 and shows overbought and oversold conditions in the market.

Performance metrics (S&P 500):

• No. of trades: 783
• Average unleveraged gain per trade: 0.41% (1.2% for winners and -1.7% for losers)
• Win ratio: 72%
• Profit factor: 1.8
• CAGR: 10.5% (assuming no leverage and no dividends)
• Exposure/time in the market: 35%
• Risk-adjusted return: 30% (CAGR divided by time spent in the market (0.35))
• Max. drawdown: -23%

The equity curve (log scale):