Paper: arXiv 2605.04004

Authors: Mathias Mesfin

Abstract

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.

Complexity vs Empirical Score

  • Math Complexity: 3.5/10
  • Empirical Rigor: 6.0/10 (capped from 8.5: transaction costs only partially modelled; see penalty flags)
  • Quadrant: Street Traders — practical and empirical, lighter on theory

Why this score: The paper focuses on high-quality, systematic empirical validation using walk-forward testing and rigorous institutional constraints rather than complex mathematical derivations. Its primary value is the methodological application of exhaustive falsification testing on real-world futures data.

Research Flowchart

  flowchart TD
    A[<b>Goal:</b> Falsify OHLCV-based Intraday Edge in MNQ] --> B[<b>Data:</b> 947 days of 5-min MNQ (2021-2025)]
    B --> C[<b>Process:</b> Test 14 Signal Families via Walk-Forward Validation]
    C --> D[<b>Method:</b> Apply Institutional Filters (Cost, T-stat > 2.0, N > 30)]
    D --> E[<b>Control:</b> Benchmarked against positive controls]
    E --> F[<b>Result:</b> Null outcome - Transaction costs exceed all OHLCV-based edge]