Structural Limits of OHLCV-Based Intraday Momentum Signals in MNQ Futures: A Systematic Falsification Study

Mathias Mesfin

Papers from arXiv.org

Abstract: This paper tests whether common intraday momentum signals built from OHLCV data generate a tradable edge in Micro E-Mini Nasdaq 100 (MNQ) futures after realistic execution costs. Fourteen signal families were evaluated on 947 trading days of five-minute data from 2021-2025 under expanding-window walk-forward validation. Each signal had to clear five criteria: T-statistic >= 2.0 on out-of-sample net returns, >= 30 trades per out-of-sample fold, positive net returns after instrument-appropriate friction, consistent direction across test years (2023, 2024, 2025), and permutation p

Date: 2026-05, Revised 2026-09
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