FX MarketEdge (Eur/Usd 1H)

• 11/07/2017 at 2:09 PM #51794
  TempusFugit

  This system is based on the conclusions of this working paper of the National Swiss Bank:

  https://www.snb.ch/n/mmr/reference/working_paper_2007_03/source/working_paper_2007_03.n.pdf

  They looked for intraday patterns in FX and discovered that: “Domestic currencies appreciate (depreciate) systematically during foreign (domestic) working hours. These time-of-day patterns are statistically and economically highly significant. “

  And this happen because… “The prevalence of domestic (foreign) traders demanding the counterpart currency during domestic (foreign) working hours implies a cyclical net positive (negative) imbalance in dealers’ inventory.”

  I did a simple bot to check this pattern with Eur/Usd, short in eurpean market hours and long in american market hours. Its results are not brilliant but good enough for me. As far as I can tell looks like a “robust” system: good WalkForward Efficiency and similar results with other pairs/times.

  This pattern can be used as a system by itself or maybe like a filter for other systems. Also the thorough study of the paper can lead to a better system, I just wanted to share the “gross” idea.

  The system I post include also the parameters optimized for two other pairs (GBP/USD and EUR/AUD), the way it switch optimizations come from a system of our colleague Maz, thanks mate. NO SPREAD CONSIDERED. No Money Management or Position Size.

  I have tested it just for a few days in demo and the results are similar to backtesting but considere it more a way of checking the pattern than a final “black box” system.

  IMPORTANT NOTE: My timezone is (UTC+00:00) or (CTE-1) ,probably different to most of you, so YOU SHOULD ADJUST THE TIME PARAMETERS because this strategy is time sensitive, very!

  Comments and suggestions welcome

  4 users thanked author for this post.

  von, Berra, Despair, Nicolas

  

  TempusFugit

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  11/07/2017 at 2:15 PM #51815
  Nicolas

  Thank you very much for the time spent on this research and for submitting it here on the site, congratulations.

  I allowed myself to post it on the forum rather than in the library. I can not get the same results as your tests, with and without ticks per tick and / or spread (even timezone!). Is it the forex SPOT market or the CFD of IG / PRT-CFD?
  Moreover, since it is not a “full” automatic trading system, as you stipulate in your description, I do not think it should be added to the library because a certain number of ‘users will ask you a lot of questions about the “why does not it work in plug and play mode?” 🙂

  

  Nicolas

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  11/07/2017 at 8:52 PM #51864
  TempusFugit

  Hi Nicolas,

  Thanks for your kind reply, It´s ok wherever this is post, just want to share in case it helps anyone.

  The results I show are from IG-PRT/CFDs, no spread and  with tick per tick mode. If you are in France Timezone you should add 1 hour to the time related parameters. These are: HL, HLL, HS and HSS. So if I put 13 in HL, you should change it to 14 and so on.

  

  TempusFugit

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  11/08/2017 at 12:19 AM #51878
  jebus89

  Thanks for sharing this work!

  

  jebus89

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