arXiv · arXiv q-fin · 2026
This paper tests whether common intraday momentum signals built from OHLCV data generate a tradable edge in Micro E-Mini Nasdaq 100 (MNQ) futures after realistic execution costs. Fourteen signal families were evaluated on 947 trading days of five-minute data from 2021-2025 under expanding-window walk-forward validation. Each signal had to clear five criteria: T-statistic >= 2.0 on out-of-sample net returns, >= 30 tra…
Mathias Mesfin
arXiv · arXiv q-fin · 2025
Financial trading systems must convert multimodal market history into executable positions while limiting overfitting from repeated strategy search. We introduce MM-ARC (MultiModal Adaptive Routing of Capital), which routes capital across trend, reversal, breakout, and exposure-control experts using aligned chart, numerical, and technical-text views. Within each market, regime-conditioned strategy pools are shared wi…
Yang Chen, Yuchen Cao, Jacky Keung, Leilei Gan, Kun Kuang
arXiv · arXiv q-fin · 2025
Commodity Trading Advisors (CTAs) have historically relied on trend-following rules that operate on vastly different horizons from long-term breakouts that capture major directional moves to short-term momentum signals that thrive in fast-moving markets. Despite a large body of work on trend following, the relative merits and interactions of short-versus long-term trend systems remain controversial. This paper adds t…
Eric Benhamou, Jean-Jacques Ohana, Alban Etienne, Béatrice Guez, Ethan Setrouk
arXiv · arXiv q-fin · 2018
Financial markets change their behaviours abruptly. The mean, variance and correlation patterns of stocks can vary dramatically, triggered by fundamental changes in macroeconomic variables, policies or regulations. A trader needs to adapt her trading style to make the best out of the different phases in the stock markets. Similarly, an investor might want to invest in different asset classes in different market regim…
Sonam Srivastava, Ritabratta Bhattacharya
arXiv · arXiv q-fin · 2013
Assuming that price of the underlying stock is moving in range bound, the Black-Scholes formula for options pricing supports a separation of variables. The resulting time-independent equation is solved employing different behavior of the option price function and three significant results are deduced. The first is the probability of stock price penetration through support or resistance level, called transmission coef…
Ovidiu Racorean