arXiv q-fin· Veer Taylor·· 6 hr agoAI Score66
Evaluating the Predictive Effectiveness of the ICT Accumulation-Manipulation-Distribution (AMD) Model on CME E-Mini Nasdaq 100 Futures
Evaluating the Predictive Validity of ICT's Accumulation-Manipulation-Distribution (AMD) Model on CME E-Mini NASDAQ-100 Futures
AI summary
The paper conducts the first systematic quantitative test of the ICT-proposed Accumulation-Manipulation-Distribution (AMD) intraday price model on CME E-Mini Nasdaq 100 futures (NQ). The authors use four years of 15-minute OHLCV data from Databento (January 2022 to July 2026), transform AMD rules into strict mechanical trading strategies, and conduct chi-square tests, Benjamini-Hochberg multiple comparison correction, and market state conditional analysis on the statistical characteristics of 484 manipulation signal days.
Source:arXiv q-fin · arxiv.org
Academic papers#Papers / Research#Futures#CME#High-Frequency / Market Microstructure#Backtesting#arXiv