The research question
Can a short-horizon forecast be used before the information is absorbed by price?
A futures microstructure study focused on event timing, the order book and realistic interpretation of short-horizon signals.
The technical work
Order-book and trade-event features, label construction, horizon analysis and execution-cost screening.
The challenge is to connect the economic idea to a precise, reviewable experiment. Data transformations, the moment of a decision and the interpretation of the resulting return series all belong to that specification.
What to challenge
These are evaluation considerations for this domain, not a checklist presented as already passed.
- Event ordering and feed gaps
- Label overlap and leakage
- Fill probability, spread and latency
- Prediction quality kept distinct from executable profit
The data boundary
Timestamped trades and order-book events. Data depth, venue conventions and availability define what can be tested.
Descriptions are intentionally high-level. Parameters, execution rules and non-public source data are not published here. Withholding an implementation is different from overstating its evidence.
The interesting question is not whether a backtest looks good. It is what would have to be true for the result to mean something.
For the broader framework, see validation. For the engineering context, see the research stack.