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The use and development of mobile interventions are experiencing rapid growth. In “just‐in‐time” mobile interventions, treatments are provided via a mobile device, and they are intended to help an individual make healthy decisions ‘in the moment,’ and thus have a proximal, near future impact. Currently, the development of mobile interventions is proceeding at a much faster pace than that of associated data science methods. A first step toward developing data‐based methods is to provide an experimental design for testing the proximal effects of these just‐in‐time treatments. In this paper, we propose a ‘micro‐randomized’ trial design for this purpose. In a micro‐randomized trial, treatments are sequentially randomized throughout the conduct of the study, with the result that each participant may be randomized at the 100s or 1000s of occasions at which a treatment might be provided. Further, we develop a test …