No OHLCV-derived intraday momentum signals in MNQ futures produce a statistically significant trading edge after costs, with gross edges too small to overcome a fixed two-point round-trip cost under walk-forward validation.
The practical question—whether such patterns survive realistic execution costs on modern, highly liquid instruments—receives considerably less rigorous treatment
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Structural Limits of OHLCV-Based Intraday Signals in MNQ Futures: A Systematic Falsification Study
No OHLCV-derived intraday momentum signals in MNQ futures produce a statistically significant trading edge after costs, with gross edges too small to overcome a fixed two-point round-trip cost under walk-forward validation.