Order-flow signals ported from futures to single stocks
Equity-tape delta carries roughly half the information of the futures tape, which sets the bar a single-stock signal has to clear.
- Verdict
- Settled by the data
- Decided by
- Signal strength / benchmark
- The number
- 0 of 12 cells cleared the drift null
The hypothesis, as pre-registered
An order-flow signal that works on index futures should transfer to liquid single-name equities.
What the test found
It does transfer, weakly. Measured information in equity-tape signed volume came in at roughly half that of the same construction on the futures tape — consistent with fragmented equity venues, where a single consolidated tape is not the whole picture.
Twelve configurations were tested across two names. None cleared the drift null, and buy-and-hold beat all of them over the same period, which for a long-skewed intraday strategy on a rising stock is the benchmark that matters.
Costs compound the problem: per-share commission and the price scale break several assumptions that hold cleanly on a futures contract.
What would make this work
The signal would have to beat both the drift null and buy-and-hold on the same names over the same window, after per-share costs.
Every insight ends with this line: the exact condition that would turn the finding into a tradeable edge. That is what makes each entry a next experiment rather than a full stop.
Screened July 25, 2026
Testing something similar?
The screener puts your version of this idea through the same gate stack, on your market, and answers in seconds. Your first verdict is free.