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Testing Intraday Momentum Signals in MNQ Futures After Trading Costs

Article arXiv papers · Author: Mathias Mesfin
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Summary

This study tests whether fourteen families of five-minute OHLCV-based intraday momentum signals produced a tradable edge in Micro E-Mini Nasdaq 100 futures from 2021 to 2025. It uses expanding-window walk-forward validation across 947 trading days and evaluates out-of-sample returns against five requirements, including statistical strength, trade counts, realistic costs, consistency across test years, and permutation significance where applicable.

None of the tested signal families met every requirement. Eleven had gross returns below the stated 2.0-point friction floor. Three cleared that floor but failed other criteria, such as statistical strength, stability across years, or minimum sample size. Two positive controls did meet the study's standards, suggesting its process could identify some signals with stronger results. The findings are specific to the tested signals, MNQ contract, period, data frequency, and execution assumptions; they do not establish that all intraday momentum strategies lack an edge.

Key ideas

  • The study evaluates fourteen OHLCV-based intraday momentum signal families on five-minute MNQ data.
  • Expanding-window walk-forward validation is used to assess out-of-sample performance.
  • Signals are judged by statistical strength, trade count, trading costs, year-to-year consistency, and permutation significance where applicable.
  • None of the tested signal families passes all five criteria.
  • Two positive controls pass the study's requirements, providing a check on its ability to detect stronger signals.

Tags

FuturesMomentumBacktestingExecutionStatistics

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


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









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 < 0.001 where applicable. None passed all five. The failures divide into three groups. Eleven families fail because gross return before friction is 0.07-1.50 points, below the 2.0-point friction floor. Three clear friction but fail elsewhere: the Opening Range Breakout long (T = 0.88, year-unstable), the VVG classifier reversal (T = 1.26, year-unstable), and gap continuation short (gross +16.53 pts, T = 1.46, fails year stability and per-fold sample minimum). Two positive controls confirm the methodology detects genuine edge: the RTH Confluence Signal (OOS T = 3.11, mean net +11.82 pts, N = 196) and London Session Signal B (OOS T = 4.30, mean net +4.09 pts, N = 247, p = 0.000025).

Shown in full with attribution under the source's licence. Licence: abstract CC0

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.