Since 2022 Sort Finance

MFI Reversal

How this strategy trades, what it scored, and the measurements the score was read from — every symbol and timeframe, on real and resampled history.

  1. Compute the 14-bar Money Flow Index: the same 0-100 scale as RSI, but each bar's move weighted by the money that changed hands on it.
  2. Buy when MFI climbs back above 20 — selling pressure was heavy enough to exhaust the oversold zone and money is starting to flow back in.
  3. Sell when MFI pushes above 80, where buying volume has crowded in far enough to call the move overbought.
Score
Total Score Mean Of Real And Resampled 26 / 100
Real Data 28 / 100
Resampled Data 23 / 100
Overall Rank Top 81% 42 of 52
Rank In Mean Reversion Top 56% 5 of 9
Score By Metric
Beats Hold Real 3 · Resampled 4 3 / 100
Risk Adjusted Real 21 · Resampled 10 16 / 100
Profitability Real 10 · Resampled 5 7 / 100
Win Rate Real 96 · Resampled 91 93 / 100
Fee Efficiency Real 87 · Resampled 87 87 / 100

Scores

The six scores the total is made of, one dataset at a time: how each stood as the run went on, and where each of them ended.

Source Metrics

The numbers those scores are read from, one dataset at a time: every trade as it happened, and where the run ended.