Evaluating the Predictive Validity of ICT's Accumulation-Manipulation-Distribution (AMD) Model on CME E-Mini NASDAQ-100 Futures

Veer Taylor

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Abstract: To our knowledge, this paper provides the first systematic quantitative evaluation of the ICT Accumulation-Manipulation-Distribution (AMD) model on CME E-Mini NASDAQ-100 futures (NQ). The AMD model proposes that institutional participants structure intraday price delivery in three phases: overnight accumulation in the Asian session, a deliberate false breakout during London, and directional delivery to the opposing liquidity pool during the New York morning session. Using four years of real 15-minute OHLCV data from Databento (January 2022 to July 2026), we operationalize the AMD rules into a strict mechanical strategy and analyze the statistical properties of the resulting signal across N = 484 manipulation signal days using chi-square testing, Benjamini-Hochberg multiple comparisons correction, and regime-conditional analysis. Three principal findings emerge. First, the AMD manipulation signal fires on 44% of trading days. Second, 57% of valid signals see full target delivery before the 9:40 AM New York entry window opens, revealing a structural mismatch between the model's timing assumptions and actual price delivery. Third, within this operationalization of the AMD model, no directional information beyond the daily trend regime was observed: when the signal aligns with the trend it is correct 62-71% of the time (Cohen's h = 0.23-0.43); when it opposes the trend it is correct only 25-30% of the time (Cohen's h = 0.42-0.53). All four trending-regime cells survive Benjamini-Hochberg correction. Key findings are robust to variation in the manipulation breach threshold (5-20 NQ points), Asia range filter percentile, and stop buffer. The regime-dependent signal pattern constitutes a specific, testable hypothesis for follow-on research.

Date: 2026-09
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