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A Validated Volatility-Volume-Gap Classifier for Regime Identification in MNQ Intraday Data
This paper builds and tests a day-classification system for MNQ (Micro E-Mini Nasdaq 100) futures based on three simultaneously elevated pre-market conditions: absolute overnight gap, absolute first-30-minute return, and first-bar volume relative to a 20-day rolling baseline. The Volatility-Volume-G
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