Volume

Volume-Backed Trend

On-Balance Volume ranks sustained buying pressure using both price direction and volume.

Point-in-time S&P 500 · Top 10 equal weight · Monthly rebalance · Jul 2023 – Jul 2026

Requested start: 2023-07-14 · First tradable strategy date: 2023-07-17

Growth of $100

Strategy$221

S&P 500 (SPY proxy)$173

Audited endpoint comparison from the production screening artifact. The daily path is intentionally not reconstructed from summary data.

Source: screening-20260716-f3000f0 · code f3000f0

Performance Summary (Jul 2023 – Jul 2026)

+121%

Period Cumulative Return

+48 pts

vs. SPY benchmark proxy

1.02

Sharpe Ratio

-24%

Max Drawdown

30.6%

Annualized Return

15%

Average Rebalance Turnover

0.49%

Cumulative Modeled Cost Rate

+73.3%

SPY Proxy Period Return

Selection disclosure: this strategy was selected after screening 75 factors over this same period. Its published result is in-sample and should not be treated as an out-of-sample forecast.

How it's built

On-Balance Volume adds trading volume on up days and subtracts it on down days. The strategy gives the indicator a one-year warm-up, ranks the S&P 500 by cumulative OBV, and holds the top 10.

Signals used

tech_obv

Why it works

Price gains supported by persistent volume can signal broader participation than price alone. OBV is cumulative and can be influenced by long-running volume patterns, so it should be read as a ranking signal rather than a precise measure of future demand.

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Re-running applies these settings to current platform data and code, so it may not exactly reproduce this archived artifact.

Past performance is not indicative of future results. Backtests are hypothetical. Results use point-in-time S&P 500 membership, a $5 million liquidity floor, and 5 basis points of modeled slippage per side. Commissions and taxes are set to $0. Bid-ask spread beyond the modeled slippage, market impact from large orders, and investor-specific taxes are not modeled. This is not investment advice. See our full disclaimer for details.