Experiment ID:
orderflow_vpin_absorption· Market:ETHUSDT(4h, 2340 bars, 2025-09-24 → 2026-10-19) · Mathematical Mode:ORDERFLOW
1. Hypothesis & Mathematical Architecture
Follows institutional accumulation when Chaikin Money Flow (CMF 20) crosses above zero under non-toxic liquidity (VPIN < 0.68) and Kalman(0.05) > EMA(50).
- Studio Rule Specification: Build an Order-Flow strategy on ETHUSDT 4h using CMF(20) crossing above 0, gated by VPIN(20) < 0.68 liquidity shield and Kalman(0.05) > EMA(50).
- Friction Assumptions: 0.06% taker fee + 5 bps slippage per leg.
2. Measured Backtest & 70/30 Out-of-Sample (OOS) Audit
| Metric | Full Sample (2340 bars) | In-Sample (70% IS) | Out-of-Sample (30% OOS) |
|---|---|---|---|
| Net Return | 0.00% | 0.00% | 0.00% |
| Sharpe Ratio | 0.00 | 0.00 | 0.00 |
| Sortino Ratio | 0.00 | 0.00 | 0.00 |
| Profit Factor | 0.00 | 0.00 | 0.00 |
| Win Rate | 0.0% | 0.0% | 0.0% |
| Max Drawdown | -0.00% | -0.00% | -0.00% |
| Total Trades | 0 | 0 | 0 |
3. Indicator Information Coefficient (Spearman IC) Audit (inst_flow)
_Script outputs direct boolean triggers; trade-level OOS metrics serve as primary evidence._
4. Reproducible formula.js Script
// Order-Flow CMF + CVD + VPIN Toxicity Shield
cvd_slope = zscore(slope(cvd(20), 6), 24)
cmf_val = cmf(20)
safe_liq = vpin(20) < 0.68
plot inst_flow = supersmoother(cvd_slope * 0.5 + cmf_val * 2.0, 6)
plot flow_long = crossover(cmf_val, 0) and safe_liq and kalman(close, 0.05) > ema(close, 50)Verify & Fork in One Click
- Open in Strategy Studio — Modify rules, run 4-fold Walk-Forward or 2,000-path Monte Carlo simulations.
- Open in Indicator Lab — Adjust filter parameters and inspect IC decay and quintile monotonicity.
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Reproducible backtest experiments, out-of-sample audits, and indicator IC studies on live market bars.