Danica v0.5 forecast does not "age" intra-day, is more relevant to periods of high volatility. - USD/CAD 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.
AUD/USD intraday performance
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USD/CAD intraday performance
USD/CHF intraday performance
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AUD/JPY intraday performance
CHF/JPY intraday performance
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EUR/CHF intraday performance
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USD/CAD covers North-American currencies. Prediction works well during the peak trading hours in Europe and the Americas.

Product of predicted relative move for the day and the actual relative move during the hour for USD/CAD 5.1 Variance of actual relative move during the hour, USD/CAD 5.2

Fig.5. Intraday study of day-scale USD/CAD 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. 5.1: product of predicted relative USD/CAD 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. 5.2: 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 )