Pith Number

pith:DBF4MXHY

pith:2026:DBF4MXHYMU4RTRZF53FY2ZW5EX

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Sequential Structure in Intraday Futures Data: LSTM vs Gradient Boosting on MNQ

Mathias Mesfin

Four years of single-instrument five-minute OHLCV data prove insufficient for reliable intraday ML forecasting.

arxiv:2605.17724 v1 · 2026-05-18 · q-fin.TR · cs.LG · q-fin.CP · q-fin.ST

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Claims

C1strongest claim

The results indicate that four years of single-instrument five-minute OHLCV data are insufficient for reliable sequential ML-based intraday forecasting.

C2weakest assumption

That the chosen binary target (close > 10:30 AM open by more than ten points) and the five-minute OHLCV representation are sufficient to reveal any exploitable sequential structure if such structure exists in the market.

C3one line summary

Neither LSTM nor gradient boosting models achieve statistically significant out-of-sample accuracy above the 51.8% base rate for intraday MNQ directional prediction using 944 trading days of five-minute OHLCV data under walk-forward validation.

References

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[1] Introduction The publication of foundation models for financial time series data represents a meaningful development in quantitative research. The Kronos model (Shi et al., 2025), trained on millions 2025

[2] After session boundary filtering and removal of partial days, 947 complete trading days remain for daily feature construction 2021

[3] Target A (daily close vs 2026

[4] Model Architectures and Validation Methodology 4.1 Gradient Boosting Classifier Three gradient boosting configurations are evaluated, each representing a different feature set and target specification 2026

[5] This is the most conservative test—it does not attempt to use intraday structure and instead relies on multi-day patterns in returns, gaps, and volatility 2022

Formal links

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Receipt and verification

First computed	2026-05-20T00:04:54.860899Z
Builder	pith-number-builder-2026-05-17-v1
Signature	Pith Ed25519 (`pith-v1-2026-05`) · public key
Schema	pith-number/v1.0

Canonical hash

184bc65cf8653919c725eecb8d66dd25f468cfa446920f2500121c4ec52b944f

Aliases

arxiv: 2605.17724 · arxiv_version: 2605.17724v1 · doi: 10.48550/arxiv.2605.17724 · pith_short_12: DBF4MXHYMU4R · pith_short_16: DBF4MXHYMU4RTRZF · pith_short_8: DBF4MXHY

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Verify this Pith Number yourself

curl -sH 'Accept: application/ld+json' https://pith.science/pith/DBF4MXHYMU4RTRZF53FY2ZW5EX \
  | jq -c '.canonical_record' \
  | python3 -c "import sys,json,hashlib; b=json.dumps(json.loads(sys.stdin.read()), sort_keys=True, separators=(',',':'), ensure_ascii=False).encode(); print(hashlib.sha256(b).hexdigest())"
# expect: 184bc65cf8653919c725eecb8d66dd25f468cfa446920f2500121c4ec52b944f

Canonical record JSON

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    "submitted_at": "2026-05-18T01:03:28Z",
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