Sequential Structure in Intraday Futures Data: LSTM vs Gradient Boosting on MNQ
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arXiv
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| Format: | Preprint |
| Publié: |
2026
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| _version_ | 1866918508215926784 |
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| author | Mesfin, Mathias |
| author_facet | Mesfin, Mathias |
| contents | This paper compares gradient boosting and long short-term memory (LSTM) architectures for intraday directional prediction in Micro E-Mini Nasdaq 100 futures (MNQ). Motivated by recent foundation-model research on financial candlestick data, including the Kronos architecture, we test whether five-minute OHLCV bar sequences contain exploitable sequential predictive structure at the scale of a single instrument dataset. Using 944 trading days from 2021-2025, four model configurations are evaluated under strict expanding-window walk-forward validation across three out-of-sample periods. The target variable is whether the session close exceeds the 10:30 AM open by more than ten points. No configuration produces statistically significant out-of-sample accuracy above the 51.8% base rate. Combined OOS accuracies range from 50.00% to 50.89% across gradient boosting variants, while the LSTM achieves 50.59%. Permutation tests yield p-values of 0.135 for the best gradient boosting model and 0.515 for the LSTM, indicating no statistically significant predictive edge. Feature importance instability across walk-forward folds suggests noise fitting rather than stable structural signal capture. The results indicate that four years of single-instrument five-minute OHLCV data are insufficient for reliable sequential ML-based intraday forecasting. The primary contribution is a documented evaluation of a Kronos-inspired architecture on a constrained real-world dataset, providing an empirical lower bound on data scale requirements for sequential financial ML. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2605_17724 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Sequential Structure in Intraday Futures Data: LSTM vs Gradient Boosting on MNQ Mesfin, Mathias Trading and Market Microstructure Machine Learning Computational Finance Statistical Finance This paper compares gradient boosting and long short-term memory (LSTM) architectures for intraday directional prediction in Micro E-Mini Nasdaq 100 futures (MNQ). Motivated by recent foundation-model research on financial candlestick data, including the Kronos architecture, we test whether five-minute OHLCV bar sequences contain exploitable sequential predictive structure at the scale of a single instrument dataset. Using 944 trading days from 2021-2025, four model configurations are evaluated under strict expanding-window walk-forward validation across three out-of-sample periods. The target variable is whether the session close exceeds the 10:30 AM open by more than ten points. No configuration produces statistically significant out-of-sample accuracy above the 51.8% base rate. Combined OOS accuracies range from 50.00% to 50.89% across gradient boosting variants, while the LSTM achieves 50.59%. Permutation tests yield p-values of 0.135 for the best gradient boosting model and 0.515 for the LSTM, indicating no statistically significant predictive edge. Feature importance instability across walk-forward folds suggests noise fitting rather than stable structural signal capture. The results indicate that four years of single-instrument five-minute OHLCV data are insufficient for reliable sequential ML-based intraday forecasting. The primary contribution is a documented evaluation of a Kronos-inspired architecture on a constrained real-world dataset, providing an empirical lower bound on data scale requirements for sequential financial ML. |
| title | Sequential Structure in Intraday Futures Data: LSTM vs Gradient Boosting on MNQ |
| topic | Trading and Market Microstructure Machine Learning Computational Finance Statistical Finance |
| url | https://arxiv.org/abs/2605.17724 |