The Volatility-Volume-Gap classifier flags MNQ days with unique intraday drift-reversal patterns, yet directional strategies derived from it fail institutional validation after transaction costs and multi-year testing.
We measure the mean next-day RTH return (open to close on the following session) for the two populations
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A Validated Volatility-Volume-Gap Classifier for Regime Identification in MNQ Intraday Data
The Volatility-Volume-Gap classifier flags MNQ days with unique intraday drift-reversal patterns, yet directional strategies derived from it fail institutional validation after transaction costs and multi-year testing.