Measures best-level Order-Flow-Imbalance (Cont-Kukanov-Stoikov) predictive
edge on clean ES MBP-10 vs forward returns: contemporaneous R², forward IC
(Pearson/Spearman), sign-accuracy, Newey-West t-stat across horizons, and a
CROSSING verdict (predicted move in ticks vs the 1-tick round-trip cost).
No training/RL. Verdict on clean 2024 ES: OFI fwd IC tiny (~0.02, Q2 NW-t 3.7),
predicted moves 0.01-0.06 ticks at 1-10s << 1-tick crossing cost (~20-100x gap)
=> spread-crossing directional strategy is structurally unprofitable.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
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