Since 2022 Sort Finance

OBV Trend

How this strategy trades, what it scored, and the measurements the score was read from — every symbol and timeframe, on real and resampled history.

  1. Keep a running total of volume: add the whole bar's volume when it closes up, subtract it when it closes down. That total is On-Balance Volume.
  2. Buy when OBV crosses above its own 20-bar average — buying volume is accumulating faster than it has been recently, which Granville argued tends to lead price.
  3. Sell when OBV falls back below that average. The comparison is against its own average rather than a fixed level because OBV's raw value depends entirely on where the count began.
Score
Total Score Mean Of Real And Resampled 32 / 100
Real Data 31 / 100
Resampled Data 33 / 100
Overall Rank Top 70% 36 of 52
Rank In Momentum Top 70% 7 of 10
Score By Metric
Beats Hold Real 23 · Resampled 36 30 / 100
Risk Adjusted Real 36 · Resampled 33 35 / 100
Profitability Real 40 · Resampled 37 39 / 100
Win Rate Real 14 · Resampled 14 14 / 100
Fee Efficiency Real 35 · Resampled 35 35 / 100

Scores

The six scores the total is made of, one dataset at a time: how each stood as the run went on, and where each of them ended.

Source Metrics

The numbers those scores are read from, one dataset at a time: every trade as it happened, and where the run ended.