Experiment ID:
orderflow_vpin_absorption· Market:ETHUSDT(4h, 2340 bars, 2025-09-26 → 2026-10-20) · Mathematical Mode:ORDERFLOW
Hypothesis & Mathematical Architecture
Follows institutional accumulation when Chaikin Money Flow (CMF 20) crosses above zero under Kalman(0.05) > EMA(50) equilibrium, generating positive alpha even in bear markets.
- Studio Rule Specification: Build an Order-Flow strategy on ETHUSDT 4h using CMF(20) crossing above 0, gated by VPIN(20) liquidity shield and Kalman(0.05) > EMA(50).
- Friction Assumptions: 0.06% taker fee + 5 bps slippage per leg.
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 | +0.28% | -1.02% | +1.31% |
| Sharpe Ratio | 0.11 | 0.03 | 0.34 |
| Sortino Ratio | 0.16 | 0.05 | 0.49 |
| Profit Factor | 1.01 | 0.96 | 1.16 |
| Win Rate | 21.2% | 18.2% | 27.3% |
| Max Drawdown | -15.13% | -15.13% | -4.62% |
| Total Trades | 33 | 22 | 11 |
Indicator Information Coefficient (Spearman IC) Audit (inst_flow)
| Horizon (Bars) | Spearman IC | t-stat | Sample (n) |
|---|---|---|---|
| +1 bar | -0.0097 | -0.46 | 2292 |
| +3 bar | -0.0254 | -0.92 | 2290 |
| +5 bar | -0.0345 | -1.10 | 2288 |
| +10 bar | -0.0337 | -0.90 | 2283 |
| +20 bar | -0.0658 | -1.48 | 2273 |
| +40 bar | -0.0077 | -0.15 | 2253 |
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.
- Academy Cookbook — Browse all verified quantitative blueprints.
Reproducible backtest experiments, out-of-sample audits, and indicator IC studies on live market bars.