Technical research on U.S. micro/nano-cap market data, backtesting integrity, scanner design and execution assumptions. We publish the edge cases, validation work and market-structure details that can materially change a strategy result.
Original market-data and backtesting validation work, with methodology and public references.
What 10,131 Historical Listings and 3,839 SEC Identity Checks Revealed
Microcap Engine reconstructed 10,131 historical US listing episodes, screened 7,486 conservative sub-$500M candidates and independently checked 3,839 active identities against SEC evidence.
Which Day−1 Parameter States Predict the Most Day1 Volatility?
Microcap Engine analyzed 171,701 historical ticker-days across 239 sessions and 11,771 supported parameter combinations to identify which Day−1 states most consistently preceded the largest next-session microcap volatility.
What Gets Filtered and Why
Raw SIP trades are not chart-ready OHLCV. A trade can be valid market data and still be the wrong input for a technical candle. This research note looks at sale conditions, odd lots, delayed prints, participant vs. SIP time, and the difference between removing an artifact and deleting legitimate microcap volatility.
