Neither LSTM nor gradient boosting models achieve statistically significant out-of-sample accuracy above the 51.8% base rate for intraday MNQ directional prediction using 944 trading days of five-minute OHLCV data under walk-forward validation.
After session boundary filtering and removal of partial days, 947 complete trading days remain for daily feature construction
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Sequential Structure in Intraday Futures Data: LSTM vs Gradient Boosting on MNQ
Neither LSTM nor gradient boosting models achieve statistically significant out-of-sample accuracy above the 51.8% base rate for intraday MNQ directional prediction using 944 trading days of five-minute OHLCV data under walk-forward validation.