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| Format: | Preprint |
| Veröffentlicht: |
2026
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| Online-Zugang: | https://arxiv.org/abs/2605.04004 |
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| _version_ | 1866917462364127232 |
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| author | Mesfin, Mathias |
| author_facet | Mesfin, Mathias |
| contents | This paper tests whether intraday momentum signals derived from open-high-low-close-volume (OHLCV) data produce a statistically significant trading edge in Micro E-mini Nasdaq 100 futures (MNQ) under realistic execution constraints. Using 947 trading days of five-minute data (2021-2025), fourteen signal families are evaluated, including opening range breakouts, gap strategies, volume signals, cross-session momentum, liquidity grabs, volatility-conditioned classifiers, and news-driven strategies. All signals are assessed using strict institutional criteria: out-of-sample walk-forward validation, minimum T-statistic of 2.0, at least 30 trades, positive net return after a fixed two-point round-trip cost, and multi-year stability. No signal satisfies all criteria simultaneously. The gross edge available to next-bar-open execution is constrained to approximately 0.07-1.50 points per trade, insufficient to overcome transaction costs. A gap-continuation signal achieves T = 3.23 and +14.52 points but fails minimum sample requirements (N = 22). Two validated signals from a separate research program are included as positive controls, confirming the methodology detects genuine edge when present. The primary contribution is a reproducible falsification framework and a documented null result, highlighting structural limits of OHLCV-based intraday strategies. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2605_04004 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Structural Limits of OHLCV-Based Intraday Signals in MNQ Futures: A Systematic Falsification Study Mesfin, Mathias Trading and Market Microstructure Computational Finance Statistical Finance This paper tests whether intraday momentum signals derived from open-high-low-close-volume (OHLCV) data produce a statistically significant trading edge in Micro E-mini Nasdaq 100 futures (MNQ) under realistic execution constraints. Using 947 trading days of five-minute data (2021-2025), fourteen signal families are evaluated, including opening range breakouts, gap strategies, volume signals, cross-session momentum, liquidity grabs, volatility-conditioned classifiers, and news-driven strategies. All signals are assessed using strict institutional criteria: out-of-sample walk-forward validation, minimum T-statistic of 2.0, at least 30 trades, positive net return after a fixed two-point round-trip cost, and multi-year stability. No signal satisfies all criteria simultaneously. The gross edge available to next-bar-open execution is constrained to approximately 0.07-1.50 points per trade, insufficient to overcome transaction costs. A gap-continuation signal achieves T = 3.23 and +14.52 points but fails minimum sample requirements (N = 22). Two validated signals from a separate research program are included as positive controls, confirming the methodology detects genuine edge when present. The primary contribution is a reproducible falsification framework and a documented null result, highlighting structural limits of OHLCV-based intraday strategies. |
| title | Structural Limits of OHLCV-Based Intraday Signals in MNQ Futures: A Systematic Falsification Study |
| topic | Trading and Market Microstructure Computational Finance Statistical Finance |
| url | https://arxiv.org/abs/2605.04004 |