CVD Filter — Definitive Shuffle Test
DroppedHypothesis
Lifts identified in cvd_filter_universal are genuine CVD/OFI signal if real-source backtest z-score vs shuffled-source >1.5 over 10 permutation seeds.
Verdict
**TRADE-COUNT EFFECT** — no candidate passes shuffle test.
n_signal
0
n_shuffles
10
n_candidates
3
CVD Filter — Definitive Shuffle Test
2026-05-19 · status: dropped · 250.0s
Hypothesis: Lifts identified in cvd_filter_universal are genuine CVD/OFI signal if real-source backtest z-score vs shuffled-source >1.5 over 10 permutation seeds.
Verdict: TRADE-COUNT EFFECT — no candidate passes shuffle test.
Key metrics
| metric | value |
|---|---|
| n_candidates | 3 |
| n_signal | 0 |
| n_shuffles | 10 |
Approach
For each candidate (strategy, filter, threshold): run baseline + real cvd source + 10 shuffled-cvd sources. Real-source z-score vs shuffled distribution > 1.5 → genuine order-flow signal.
Results
| strategy | filter | baseline_pnl | real_pnl | shuf_mean | shuf_std | real_lift_pct | z_score |
|---|---|---|---|---|---|---|---|
| BB_EXTREME_2 | align | 17.66 | 18.69 | 16.98 | 1.483 | +5.9% | +1.16 |
| BB_EXTREME_2 | div | 17.66 | 32.47 | 32.47 | 0 | +83.9% | +1.00 |
| DONCHIAN_50 | div | 5.52 | 7.16 | 7.16 | 0 | +29.7% | +nan |
Verdict
TRADE-COUNT EFFECT — no candidate passes shuffle test.