Danica v0.5 forecast does not "age" intra-day, is more relevant to periods of high volatility. - GBP/USD intraday performance

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Written by Forex Automaton   
Monday, 22 March 2010 17:29
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Danica v0.5 forecast does not "age" intra-day, is more relevant to periods of high volatility.
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Similar to EUR/USD, GBP/USD shows overall positive forecast correlation with not too much dependence on the time of the day. Exiting before lunch time in New York seems to be a good idea.

Product of predicted relative move for the day and the actual relative move during the hour for GBP/USD 4.1 Variance of actual relative move during the hour, GBP/USD 4.2

Fig.4. Intraday study of day-scale GBP/USD forecast. Central European time (CET) is used on the axis. 9am Eastern time, the moment when the forecast is generated, corresponds to 15:00 (3pm) CET. The points mark the mean values while the width of hatched band at every point is twice the RMS of the distribution. 4.1: product of predicted relative GBP/USD move for the day (from 9am Eastern time to 9am Eastern time) and the actual move during each of the hours, rebinned into 2-hour bins. L0 refers to the trigger word 3 of the L0 trigger the essence of which is the requirement of a coincidence in forecast directions for the upcoming day's high, low, and close. 4.2: variance, or rather the second power of the actual relative hour-by-hour move in the quote, showing the intra-day volatility pattern. 



Last Updated ( Friday, 01 June 2012 16:21 )