Do Time-Series Foundation Models Forecast Index-Futures Returns? A Preregistered Evaluation of Models, Metrics, and Input Representations

원문 초록

We ask whether the apparent forecasting skill of frozen time-series foundation models (TSFMs) on intraday index-futures returns is incremental skill. In a pre-registered evaluation on E-mini Nasdaq-100 (NQ) and E-mini S&P 500 (ES) futures, a common panel of five zero-shot models (Chronos-Bolt, Chronos-2, TimesFM 2.5, Moirai 2.0 and TiRex), plus separate experiments with Kronos, is compared with a no-change forecast at 5-120 minutes, using native prices, log returns, volatility-standardised returns and a volume clock as inputs. On a blind set opened once, 0 of 160 model-representation-horizon-market cells beat no-change, and a Hansen SPA test gives p = 1.000 on both markets; a later retrospective hold-out, scored as a descriptive check, gives 0 of 120. Input representations change forecast magnitude but not accuracy, and a transformation-aware ridge regression does as well. Several standard measures nevertheless suggest skill. Price-level correlation exceeds 0.9996, but no-change scores higher. Within-day RankIC across forecast origins rewards a trivial revert-to-mean rule (+0.35 at 30 minutes); we derive the expected within-day covariance under a random walk in closed form, and a sign-randomised null reproduces about 95% of the observed value. One model beats HAR for 5-minute volatility, but not the EWMA its input already contains. On strongly planted synthetic signals the models recover part of the signal at 5 minutes, and recovery deteriorates at 30 minutes. Benchmark-level success of TSFMs should therefore not be assumed to carry over to low-signal domains such as intraday returns.