Volume: 4 Backtests
Data last updated
1 of 4 strategies finished ahead of the benchmark on the raw number, and 0 had an unadjusted p-value under 0.05. None cleared the correction for trying 1,774 tests in total (a q-value below 0.10), so no result here is a confirmed edge. Scored 2026-10-31, using data up to 2025-03-15.
Strategies here tested on US stocks. See the full family index, the full method and every result, or download the raw registry (JSON).
Results
| Rule | Market | Vs benchmark | Sample | p-value | Corrected q | Receipt |
|---|---|---|---|---|---|---|
| Chaikin money flow leaders: the 8 large caps with the highest 63-day close-location-weighted volume flow, monthly receipt Source: c1031/stockxs | US stocks | +1.9 pts/yr | 98 rebalances | 0.333 | 1.000 | On-site receipt |
| Shadow pressure: the 8 large caps with the most lower-shadow minus upper-shadow over the past month, monthly receipt Source: c1031/stockxs | US stocks | −2.1 pts/yr | 100 rebalances | 1.000 | 1.000 | On-site receipt |
| Volume-price divergence: the 8 large caps where 63-day volume flow most exceeds their price rank, monthly receipt Source: c1031/stockxs | US stocks | −2.3 pts/yr | 98 rebalances | 1.000 | 1.000 | On-site receipt |
| Effort versus result: among large caps down over 5 days, buy the 8 where volume is heavy but the daily range is small, weekly receipt Source: c1031/stockxs | US stocks | −13.8 pts/yr | 413 rebalances | 1.000 | 1.000 | On-site receipt |
- Chaikin money flow leaders: the 8 large caps with the highest 63-day close-location-weighted volume flow, monthly
US stocks · +1.9 pts/yr · 98 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/stockxs
- p-value
- 0.333
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Shadow pressure: the 8 large caps with the most lower-shadow minus upper-shadow over the past month, monthly
US stocks · −2.1 pts/yr · 100 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/stockxs
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Volume-price divergence: the 8 large caps where 63-day volume flow most exceeds their price rank, monthly
US stocks · −2.3 pts/yr · 98 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/stockxs
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Effort versus result: among large caps down over 5 days, buy the 8 where volume is heavy but the daily range is small, weekly
US stocks · −13.8 pts/yr · 413 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/stockxs
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
How to read these results
"Vs benchmark" is the strategy's annualized return minus an equal-weight benchmark, rebalanced daily, on the same assets and days. Strategies are charged trading costs; the benchmark pays none. Ahead is not a confirmed edge: the p-value is the unadjusted chance of a gap this large by luck, and the corrected q allows for how many strategies were tried, because testing hundreds of ideas throws up lucky winners. Every strategy saw only data up to the same cutoff date. The receipt is the frozen result file for that rule.
"Sample" is trades for rules that enter and exit a position, and rebalances for portfolio rules. A rebalance is a scheduled date on which a portfolio rule re-ranks and held at least one position. It is the sample size for portfolio rules. A holdings change is a rebalance where what the portfolio held, or its weights, differed from the previous one. Only these cost money to trade. The two are different counts and are never swapped. Definitions.