quantmodel

Research campaign · Iteration 1 · unassessed

ADL Volume Ratio — exploratory campaign

What useful signals and strategy constructions come out of the UVOL/DVOL ratio besides the documented >22 / 20-day hold overlay?

Expressions
3
Logged trials
Not recorded
Independent events
Not assessed
Evidence
unassessed

What the research found

Mechanism and falsifiers

Not recorded in this iteration.

Not recorded in this iteration.

Confidence and limitations

  • Native UVOL starts 1996-04-19; synthetic reconstruction is NO-GO.

  • All metrics after parameter search are exploratory.

  • Official catalog admission is not implied.

Not recorded in this iteration.

Compare expressions

Download evidence

Exploratory results. Check each period, proxy and cost assumption before comparing. — means not recorded.

Expression / familyCAGRSharpeMax drawdownTest periodAssessment
adl-vol-ratio.raw.threshold22.hold20adl-vol-ratio ——— Not recorded
 exploratory
adl-vol-ratio.raw.threshold15.hold20adl-vol-ratio ——— Not recorded
 exploratory
adl-vol-ratio.raw.threshold15.hold40adl-vol-ratio ——— Not recorded
 exploratory

Open an expression to inspect its rules and request confirmation. The request must be submitted by a trusted repository collaborator.

adl-vol-ratio.raw.threshold22.hold20
variant id

adl-vol-ratio.raw.threshold22.hold20

family id

adl-vol-ratio

parameters
threshold

22

holding period

20

smoothing

none

created by

source_baseline

reason tested

documented Pine threshold

status

exploratory

tags

  • parameter_sensitive

  • useful_as_entry

  • interesting_negative_result

Confirm as strategyConfirm as indicator
adl-vol-ratio.raw.threshold15.hold20
variant id

adl-vol-ratio.raw.threshold15.hold20

family id

adl-vol-ratio

parameters
threshold

15

holding period

20

smoothing

none

created by

adjacent_search

reason tested

adjacent threshold from prior grid

status

exploratory

tags

  • promising

  • useful_as_entry

Confirm as strategyConfirm as indicator
adl-vol-ratio.raw.threshold15.hold40
variant id

adl-vol-ratio.raw.threshold15.hold40

family id

adl-vol-ratio

parameters
threshold

15

holding period

40

smoothing

none

created by

holding_search

reason tested

holding-period sensitivity

status

exploratory

tags

  • parameter_sensitive

Confirm as strategyConfirm as indicator

Interactive lab

15 observations

Loading available evidence…

Research record

Source claims, inferred rules, experiments and the evidence behind the assessment.

Source
kind

tradingview

title

ADL Volume Ratio buy impulse

links

  • research/findings/adl-vol-ratio-qm-4bx.17.md

prior experiments

  • qm-4bx.17

  • qm-kdnj.2

What the source claims

  • Buy when daily USI:UVOL / USI:DVOL > 22 (Pine request.security D close).

  • Pine timeframe=5 input is unused versus daily close.

  • Default 20-day holding window after the impulse; one-bar lag for execution.

  • Adjacent thresholds 12–18 and SMA200 exits may change drawdown more than CAGR.

  • Pre-1996 NYSE constituent volume; close-only store cannot rebuild UVOL.

Rules actually disclosed

  • Buy when daily USI:UVOL / USI:DVOL > 22 (Pine request.security D close).

  • Pine timeframe=5 input is unused versus daily close.

What had to be inferred

  • Default 20-day holding window after the impulse; one-bar lag for execution.

  • Adjacent thresholds 12–18 and SMA200 exits may change drawdown more than CAGR.

Research questions

  • What useful signals and strategy constructions come out of the UVOL/DVOL ratio besides the documented >22 / 20-day hold overlay?

Data
inputs

  • USI:UVOL

  • USI:DVOL

  • SPY

native span

1996-04-19 to 2026-08-11

source hashes

Not recorded in this iteration.

Baseline implementation
variant id

adl-vol-ratio.raw.threshold22.hold20

family id

adl-vol-ratio

parameters
threshold

22

holding period

20

smoothing

none

created by

source_baseline

reason tested

documented Pine threshold

status

exploratory

metrics
label

exploratory

tags

  • parameter_sensitive

  • useful_as_entry

  • interesting_negative_result

What to try interactively
  • name

    threshold

    type

    float

    default

    22

    min

    5

    max

    40

    step

    0.5

  • name

    holding_period

    type

    integer

    default

    20

    options

    • 5

    • 10

    • 20

    • 40

    • 60

Suggested next research

  • Explore thresholds 12-18 with SMA200 exit.

  • Focus on max drawdown and Sortino rather than CAGR.

Trial ledger
  • iteration number

    1

    objective

    initial source exploration

    feedback source

    Not recorded in this iteration.

Next questions

Review status

awaiting research feedback. Research publication does not imply official admission.

Return to pending research