Track 08Closed
CVD / buy-sell classification (TIB·VIB·DIB·CVD)
cumulative volume delta and buy/sell imbalance predict direction
Key metric
461 signals, all |corr|<0.05, ML acc 47.5% (worse than random)
- Why an edge should exist / hypothesis
- Order-flow imbalance (de Prado information/volume/dollar imbalance bars) as a direction feature.
- Construction
- 11 CVD features (slope, price divergence, buy ratio, vol-delta z-score) on the 4H timeframe.
- Test data
- 8 coins, 461 signals.
- Results
- All |corr| < 0.05; ML accuracy 47.5% (random 50.1%); the filter works in reverse.
- Validation
- Closes the entire buy/sell-classification block in crypto: TIB/VIB/DIB/CVD — all dead.
- Root cause
- Wash-trading + delta-neutral MM + no informed flow: the aggressor side carries no information.
- Verdict
- Dead (the whole block).
- Source
archive/CVD_FEATURE_RESEARCH.md
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