Tests minutes-to-days directional predictability on ES OHLCV-1m where moves
dwarf the spread: momentum/reversion IC (Pearson/Spearman/NW-t/OOS) + a
non-overlapping daily contrarian backtest (IS/OOS Sharpe).
Verdict on 2y ES (2024-25): intraday IC~0; daily mean-reversion IC looks large
(-0.44 Spearman @20d) but is overlap-inflated + regime artifact -- honest
non-overlapping backtest sign-flips IS<->OOS => no stable edge. Confirms no
robustly capturable directional edge on 2y ES across all measured horizons.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
