Everything tested before this asked ONE question - can recent price or flow
predict the next bar's direction - and answered no four ways. These are different
families, each with a published prior rather than a hunch.
1 TIME-SERIES MOMENTUM (Moskowitz/Ooi/Pedersen). 34 configurations across 4
symbols x D1/H4 x 6 lookbacks. Nothing. The one rule that looks strong -
XAUUSD H4 250-bar, p=0.0038, t+3.30, +10.32%/yr - returns essentially exactly
buy-and-hold's +10.36%. It is not timing gold, it is being long gold. Hence the
vs-B&H column: on a drifting asset a rule that is merely long most of the time
looks skilful and is not.
2 SEASONALITY. The first thing in this project to survive a properly controlled
test: 5 of 8 clear a family-wise max-statistic bar, two at p=0.0002. Split-half
kills two of them (USDJPY dow-6 n=116 and SP500 hour-0 n=533 are thin
off-session buckets). Two HOLD with near-identical halves:
XAUUSD hour 1 +2.29 bp (t+6.44) / +2.43 bp (t+5.53)
EURUSD hour 13 -1.47 bp (t-6.80) / -0.64 bp (t-3.56)
Gold's hour 1 alone carries more than half the +4.22 bp/day drift.
And it is still not tradeable. Widening the window to amortise the 4.92 bp
round trip: the best of 144 windows (hour 1, 8h) nets +0.14 bp/day, t +0.23,
and splits +1.29 / -1.00 - the sign flips between halves. Every other window is
negative. Real, stable, well measured, and about 2x too small to cross its own
spread. Same shape as the flow result.
3 OVERNIGHT/INTRADAY - folded into the hour analysis above.
4 VOLATILITY-MANAGED DRIFT (Moreira/Muir) - the one needing no directional edge.
Does NOT reproduce here: flat on gold (-0.01), and it HURTS SP500 (0.71 -> 0.41
D1, 0.77 -> 0.54 H4). Honest negative against a strong prior.
What survives all of it is drift, which is large and significant while every
timing rule is noise: XAUUSD +10.24%/yr (t 2.88), SP500 +12.25%/yr (t 2.84),
against USDJPY +1.16%/yr (t 0.59) and EURUSD ~0.
resample.py gains D1.
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
resample.py composes M5 bars into M15/H1/H4 exactly - every column this pipeline
produces is composable (sums sum, maxes max, OHLC nests, means re-weight by tick
count), so this costs seconds instead of another 37-minute decode per timeframe.
Asserts tick conservation and extreme preservation on every output.
Motivation: ATR grows ~sqrt(time) while the spread does not, so spread/ATR should
fall with timeframe and make a small edge affordable. It does, monotonically, and
the measurement is clean (EURUSD, 1:1 barriers):
M5 spread 0.099 ATR random wins 36.8% cost 13.2pp
M15 0.057 39.7% 10.3pp
H1 0.029 43.6% 6.4pp
H4 0.015 47.6% 2.4pp
But the signal decays at the same rate. Rows clearing the family-wise bar:
M5 many, z to -10.1
M15 many, z to -5.8
H1 2 of 9, one POSITIVE and one negative - the shape of noise, not signal
H4 none
So the effect lives where the cost is fatal and is gone where the cost is
affordable. They never cross.
Also added --cheap=Q, which trades only the lowest-Q quantile of spread/ATR. This
is the one honest use of an unsigned feature: it cannot point a direction but it
can decline to trade, and both terms are known before entry. It does cut cost
(EURUSD M15 10.3 -> 7.6pp, USDJPY 12.7 -> 6.4pp) and the effect does not survive
there either - nothing clears the bar.
test_flow.py gained --tf= and keeps the z-score window at ~1 day on every
timeframe rather than a fixed 288 bars.
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
