futures 1intraday trading 1negative results 1OHLCV signals 1transaction costs 1walk-forward validation 1
From the 1 of 3 linked papers with an AI index.
3 papers
q-fin.TR2026
Structural Limits of OHLCV-Based Intraday Signals in MNQ Futures: A Systematic Falsification Study
Mathias Mesfin
The paper systematically tests fourteen common OHLCV‑based intraday momentum signals on Micro E‑Mini Nasdaq 100 futures and finds that none generate a tradable edge after realistic…
q-fin.TR2026
Sequential Structure in Intraday Futures Data: LSTM vs Gradient Boosting on MNQ
Mathias Mesfin
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 rec…
q-fin.TR2026
A Validated Volatility-Volume-Gap Classifier for Regime Identification in MNQ Intraday Data
Mathias Mesfin
This paper asks whether a small set of observable pre-market characteristics can identify trading days with systematically different intraday behavior in Micro E-Mini Nasdaq-100 (M…