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

TL;DR

This study rigorously tests various intraday trading signals based on OHLCV data in MNQ futures and finds that none consistently produce a statistically significant edge after costs, highlighting structural trading limits.

Contribution

It introduces a reproducible falsification framework and provides a null result, demonstrating the inherent limitations of OHLCV-based intraday strategies in this context.

Findings

No signal meets all strict criteria for statistical significance and profitability.

The maximum gross edge per trade is approximately 0.07-1.50 points, insufficient to cover transaction costs.

A gap-continuation signal shows potential but fails sample size requirements.

Abstract

This paper tests whether intraday momentum signals derived from open-high-low-close-volume (OHLCV) data produce a statistically significant trading edge in Micro E-mini Nasdaq 100 futures (MNQ) under realistic execution constraints. Using 947 trading days of five-minute data (2021-2025), fourteen signal families are evaluated, including opening range breakouts, gap strategies, volume signals, cross-session momentum, liquidity grabs, volatility-conditioned classifiers, and news-driven strategies. All signals are assessed using strict institutional criteria: out-of-sample walk-forward validation, minimum T-statistic of 2.0, at least 30 trades, positive net return after a fixed two-point round-trip cost, and multi-year stability. No signal satisfies all criteria simultaneously. The gross edge available to next-bar-open execution is constrained to approximately 0.07-1.50 points per trade, insufficient to overcome transaction costs. A gap-continuation signal achieves T = 3.23 and +14.52 points but fails minimum sample requirements (N = 22). Two validated signals from a separate research program are included as positive controls, confirming the methodology detects genuine edge when present. The primary contribution is a reproducible falsification framework and a documented null result, highlighting structural limits of OHLCV-based intraday strategies.