CVD / Order-Flow IC Scan — Binance aggTrades derived features
InconclusiveCVD / Order-Flow IC Scan — Binance aggTrades derived features
2026-05-19 · status: inconclusive · 45.4s
Hypothesis: Order-flow features derived from per-trade signed volume (CVD, OFI, cvd_divergence, whale-trade counts) carry directional and/or vol-predictive information on BTC at 4h horizon walk-forward. Per academic evidence (arXiv 2602.00776, Ma/Zhai 2021), OFI should show |IC| ≥ 0.04 directionally.
Verdict: VOL ONLY — 4 features predict fwd realised vol but not direction. Could feed Master-LGBM vol panel; no directional strategy.
Key metrics
| metric | value |
|---|---|
| n_features_scanned | 10 |
| n_walk_forward_windows | 21 |
| best_directional_feature | cvd_4h |
| best_directional_IC | -0.0334 |
| best_vol_feature | n_large_trades_4h |
| best_vol_IC | +0.2553 |
| n_promote_directional | 0 |
| n_promote_vol | 4 |
Approach
For each CVD-derived feature × each target (fwd_ret_4h, |fwd_ret_4h|, fwd_rv_4h_ann), compute pooled Spearman IC + bootstrap 95% CI + walk-forward stability (% windows with sign match to pooled). 1h panel, sampled every 4h for non-overlapping IC bootstrap. 21 walk-forward windows (12mo train / 3mo test, 1d embargo).
Directional IC (target = fwd_ret_4h)
| feature | pooled_IC | CI_low | CI_high | p_value | n | stability | window_mean_IC |
|---|---|---|---|---|---|---|---|
| cvd_4h | -0.0334 | -0.0509 | -0.017 | 9.1e-05 | 13708 | 18/21 | -0.03 |
| cvd_1h | -0.0277 | -0.0446 | -0.0101 | 0.00119 | 13709 | 15/21 | -0.0221 |
| ofi_1h | -0.0258 | -0.0418 | -0.0101 | 0.00254 | 13709 | 13/21 | -0.0191 |
| ofi_4h | -0.0236 | -0.041 | -0.0088 | 0.00574 | 13708 | 18/21 | -0.0294 |
| cvd_1d | -0.0195 | -0.0354 | -0.0028 | 0.0221 | 13706 | 16/21 | -0.0246 |
| ofi_1d | -0.0149 | -0.0295 | 0.0012 | 0.0807 | 13706 | 15/21 | -0.0205 |
| n_whale_trades_1d | -0.01 | -0.0268 | 0.0062 | 0.24 | 13707 | 10/21 | 0.0018 |
| n_whale_trades_4h | -0.0068 | -0.0248 | 0.0093 | 0.426 | 13709 | 11/21 | -0.0022 |
| cvd_divergence_4h | 0.006 | -0.009 | 0.0233 | 0.48 | 13708 | 12/21 | 0.0075 |
| n_large_trades_4h | -0.0026 | -0.0204 | 0.0138 | 0.762 | 13709 | 10/21 | 0.005 |
Vol-magnitude IC (target = |fwd_ret_4h|)
| feature | pooled_IC | CI_low | CI_high | stability | window_mean_IC |
|---|---|---|---|---|---|
| n_large_trades_4h | 0.1318 | 0.1163 | 0.1481 | 21/21 | 0.2128 |
| n_whale_trades_4h | 0.0881 | 0.0707 | 0.1044 | 21/21 | 0.1844 |
| cvd_divergence_4h | 0.0682 | 0.0541 | 0.0832 | 15/21 | 0.0338 |
| n_whale_trades_1d | 0.0454 | 0.0311 | 0.0602 | 20/21 | 0.1341 |
| cvd_1d | -0.0275 | -0.0471 | -0.0111 | 12/21 | -0.0219 |
| cvd_4h | -0.0184 | -0.0362 | -0.0032 | 12/21 | -0.0164 |
| cvd_1h | -0.0096 | -0.0268 | 0.0055 | 13/21 | -0.0236 |
| ofi_1d | -0.0063 | -0.026 | 0.0087 | 8/21 | -0.0047 |
| ofi_1h | 0.0034 | -0.0151 | 0.018 | 10/21 | -0.0097 |
| ofi_4h | 0.0001 | -0.0186 | 0.0151 | 10/21 | 0.0055 |
Realised-vol IC (target = fwd_rv_4h_ann)
| feature | pooled_IC | CI_low | CI_high | stability | window_mean_IC |
|---|---|---|---|---|---|
| n_large_trades_4h | 0.2553 | 0.2386 | 0.2714 | 21/21 | 0.507 |
| cvd_divergence_4h | 0.1887 | 0.1738 | 0.2057 | 16/21 | 0.0932 |
| n_whale_trades_4h | 0.1514 | 0.1349 | 0.1685 | 21/21 | 0.4376 |
| n_whale_trades_1d | 0.0652 | 0.0471 | 0.0815 | 20/21 | 0.3655 |
| cvd_1d | -0.0511 | -0.07 | -0.0344 | 11/21 | -0.0539 |
| cvd_4h | -0.0356 | -0.0541 | -0.0195 | 14/21 | -0.0458 |
| cvd_1h | -0.0199 | -0.0399 | -0.0031 | 15/21 | -0.0457 |
| ofi_1h | 0.0126 | -0.0086 | 0.0291 | 7/21 | -0.0169 |
| ofi_1d | -0.0107 | -0.0292 | 0.0051 | 11/21 | -0.0153 |
| ofi_4h | 0.0018 | -0.0148 | 0.0185 | 9/21 | -0.0007 |
Promote candidates
Directional (|IC| ≥ 0.05 + stability ≥ 70%):
(none)
Realised-vol (|IC| ≥ 0.05 + stability ≥ 70%):
-
n_large_trades_4h: IC = +0.2553 -
cvd_divergence_4h: IC = +0.1887 -
n_whale_trades_4h: IC = +0.1514 -
n_whale_trades_1d: IC = +0.0652
Overall verdict
VOL ONLY — 4 features predict fwd realised vol but not direction. Could feed Master-LGBM vol panel; no directional strategy.