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.
No signal survived the combined criteria of T ≥ 2.0 out-of-sample, ≥ 30 trades, positive net return after friction, and multi-year consistency
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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.