Chaikin Money Flow

The claim

CMF blends price position within the bar with volume. Sustained readings above +0.10 signal accumulation (buy); below −0.10, distribution (sell). The classic 'smart money' volume read.

Where it comes from

Marc Chaikin developed CMF in the 1980s building on Joe Granville's on-balance-volume ideas. The ±0.10 thresholds are the common textbook setting.

The exact rule we graded

Long while CMF(20) > +0.10, short while CMF(20) < −0.10, on 1-hour candles. Exits: 3% stop loss, 72-bar time exit.

• ✕OOS net expectancy > 0
• ✕Clears the cost hurdle
• ✕Robust, not lucky
• ✕Survivable drawdown
• ✕Not overfit

The backtest above is history. Since publication, this exact spec also runs in our nightly forward-test harness (the same one behind /forward-tests): only trades entered after publication count, open positions are never force-closed, and the record publishes either way.

No closed forward trades recorded yet — the record accrues nightly as trades complete their full exit windows.

Honest port notes

• Perp volume on crypto venues includes plenty of wash and incentive flow — a known handicap for volume indicators that the grade honestly absorbs.

{
  "name": "Chaikin Money Flow",
  "universe": [
    "BTC/USDT:USDT",
    "ETH/USDT:USDT",
    "SOL/USDT:USDT",
    "BNB/USDT:USDT",
    "XRP/USDT:USDT",
    "DOGE/USDT:USDT",
    "LINK/USDT:USDT",
    "AVAX/USDT:USDT"
  ],
  "risk": {
    "risk_per_trade_pct": 1,
    "leverage_cap": 3,
    "max_daily_loss_pct": 5,
    "max_dd_halt_pct": 25
  },
  "sleeves": [
    {
      "name": "main",
      "timeframe": "1h",
      "entry": {
        "type": "rule",
        "logic": "all",
        "long": [
          {
            "indicator": "cmf",
            "period": 20,
            "op": ">",
            "value": 0.1
          }
        ],
        "short": [
          {
            "indicator": "cmf",
            "period": 20,
            "op": "<",
            "value": -0.1
          }
        ]
      },
      "exit": {
        "stop_loss_pct": 3,
        "time_exit_bars": 72
      }
    }
  ]
}