Entropy, Liquidity, and Momentum - ELMo

Script from: TradingViewSwingMomentumTrend followingVolatility

ELMo is a sophisticated momentum trading strategy leveraging entropy and liquidity dynamics. It evaluates trend strength and market liquidity to dictate entry/exit points. By calculating Shannon entropy, applying moving averages, and using the Hui-Heubel Liquidity Ratio (lhh) as a liquidity filter, it aligns trades with momentum reversals. RSI conditionals further refine the signals. It's configurable across various settings, prefers long positions, and utilizes ATR for trailing stops. ELMo operates best on multiple time scales.

Audit verdict

Not rankedUpdated Jul 28, 2026

No reliable edge found

Its average result can't be told apart from chance, so it stays out of our rankings.

2,057backtests3 markets

28robust scoreranked median 52

0.35p-valueranked median 0.24

0/68pass quality gatebacktests >15 trades

Audit details

How we decide whether a strategy enters our rankings. Read the methodology →

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Repainting audit

Not run yet.

✓

Script availability

Closed-source, still published on TradingView.

Statistical edge

Average t-statistic 1.11 (p = 0.35), below the median of 1.98 (p = 0.24) for ranked strategies.

Quality gate

None of the 68 backtests with more than 15 trades passes our quality gate.

Robust score

28/100, below the median of 52 for ranked strategies.

How its evidence compares

The t-statistic measures how far the average result sits from zero relative to its noise. Below about 2, it is within what random entries produce.

1.11

avg. t-statistic

1.98

median, ranked strategies

Best 5 of 2,057 backtests

Shown for transparency.

Symbol	Timeframe	Net profit	Profit factor	Trades	Max drawdown
Regions Financial Corporation NYSE:RF	1D	+240%	2.43	143	63%
Novavax, Inc. NASDAQ:NVAX	1D	+206%	1.45	176	58%
CNH Industrial N.V. NYSE:CNHI	1D	+201%	1.61	224	30%
Intel Corporation NASDAQ:INTC	1D	+152%	1.50	211	47%
Viatris Inc. NASDAQ:VTRS	2H	+99%	1.15	712	43%

⚠Selected after the fact: these are the best 5 of 2,057 runs, not what to expect from this strategy.

Is Entropy, Liquidity, and Momentum - ELMo profitable?

Not reliably, based on our tests. Across 2,057 backtests, 0 of 68 with more than 15 trades pass our quality gate. The best result is +240% on Regions Financial Corporation (1D, 143 trades). On average, its results are statistically indistinguishable from chance (p = 0.35).

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