Do order-flow signals — delta, CVD divergence, VWAP bands — predict NSE stock moves?
Short answer: Across 170,000 stock-checkpoints, every bar-based order-flow signal earned 0–2 basis points: below an ~8 bp round-trip cost.
Published 2026-11-01 · original backtest on Indian market data by TRINETRA
Order-flow signals on 1-minute bars (2026-02-02 → 2026-10-29)
50 most liquid NSE stocks, 183 sessions, 170,440 stock-checkpoints (every 15 min 10:00–14:45). Returns are in basis points, net of the same-minute average of all 50 stocks, signed by the signal's prediction; 95% CI resamples dates. Costs not deducted; ~8 bp round trip is the bar to clear.
| signal (as the page reads it) | horizon | n | edge bp | 95% CI | clears costs? |
|---|---|---|---|---|---|
| delta imbalance: top third → up, bottom → down | 30 min | 114,460 | +0.4 | +0.0 to +0.7 | real but too small |
| delta imbalance: top third → up, bottom → down | to close | 114,460 | +0.3 | -1.9 to +2.6 | no |
| CVD divergence (price at extreme, CVD lagging) → reversal | 30 min | 2,727 | +0.0 | -1.2 to +1.2 | no |
| CVD divergence (price at extreme, CVD lagging) → reversal | to close | 2,727 | +2.2 | -2.0 to +6.3 | no |
| VWAP ±2σ stretch → FADE back to VWAP | 30 min | 12,733 | -0.2 | -1.1 to +0.7 | no |
| VWAP ±2σ stretch → FADE back to VWAP | to close | 12,733 | -1.3 | -4.6 to +1.8 | no |
| VWAP ±2σ stretch → FOLLOW the move | 30 min | 12,733 | +0.2 | -0.7 to +1.2 | no |
| VWAP ±2σ stretch → FOLLOW the move | to close | 12,733 | +1.3 | -1.7 to +4.5 | no |
| opening 30-min delta sign → rest of day | to close | 8,517 | +1.3 | -2.0 to +4.6 | no |
Reading it
edgeis what a trader acting on the signal earned over simply holding the average of the same 50 stocks over the same minutes.- A CI that excludes 0 but not the cost line is a statistical effect with no trade in it.
- BVC delta is ESTIMATED from bars (the page's historical mode); true print-level delta from the live recorder (1 session so far) is the only way to test the real tape — that test stays queued for ~40 sessions.