KILLED · volume confirms nothing
Hypothesis
"Volume confirms the move": a strong green candle on ≥4× average volume signals institutional participation — long the continuation.
Definition
V_t \ge 4\,\overline{V}_{72} \;\wedge\; \tfrac{C_t-O_t}{O_t}\ge 0.4\%
Method
Long the spike close, SL −1.5%, TP +3%, 8h cap. Same harness. n = 1,988.
Results
| Trades | 1,988 |
| Win rate | 38% |
| Mean net per trade | −0.17% |
| Profit factor | 0.82 |
| t-statistic | −4.0 |
Why it failed
- A 4× volume candle on 5m crypto is usually the climax, not the beginning — you are buying the moment the aggressor finishes.
- Matches the random floor exactly: the volume filter adds zero information to the breakout it "confirms".
Volume tells you a move happened. It does not tell you it will continue. −0.17%/trade — precisely random after fees.
Confirmation that arrives with the move is late by definition. Paying up for "confirmed" entries is paying for comfort, not edge.