Incorporating seasonality into Heidi. A concept of a better forecasting component for an intraday trading system. - Intraday Season 6 Optimization: 11am-1pm ET, 17-19 CET

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Written by Forex Automaton   
Monday, 07 March 2011 17:21
Article Index
Incorporating seasonality into Heidi. A concept of a better forecasting component for an intraday trading system.
Intraday Season 0 Optimization: 5-7pm ET, 23-1 CET
Intraday Season 1 Optimization: 8-10pm ET, 2-4 CET
Intraday Season 2 Optimization: 11pm-1am ET, 5-7 CET
Intraday Season 3 Optimization: 2-4am ET, 8-10 CET
Intraday Season 4 Optimization: 5-7am ET, 11-13 CET
Intraday Season 5 Optimization: 8-10am ET, 14-16 CET
Intraday Season 6 Optimization: 11am-1pm ET, 17-19 CET
Intraday Season 7 Optimization: 2-4pm ET, 20-22 CET
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Season 6 is the season of strong trend following in forex, according to the trend following/mean reversion study recently released. This happens to be the time window when the forecasting works best in all of its aspects -- hourly high, low, close -- with minimum intervention. For close, Pearson correlation coefficient as high as 6% can be achieved in a sustainable way, judging by the size of the statistical errorbars, the magnitude of the points and the overall consistency of the results across the different forex exchange rates.

Dependence of Pearson correlation coefficient between predicted and actual logarithmic differences in hourly HIGH on the optimization parameter Fred. Season 6. 6.1 Dependence of Pearson correlation coefficient between predicted and actual logarithmic differences in hourly LOW on the optimization parameter Fred. Season 6. 6.2 Dependence of Pearson correlation coefficient between predicted and actual logarithmic differences in hourly LOW on the optimization parameter Fred. Season 6. 6.3

Fig. 6.1-6.3 Dependence of Pearson correlation coefficients between predicted and actual logarithmic differences (returns) in the three components of the hour candle (high, low and close, in that order) the optimization parameter nicknamed Fred. 6.1: hourly high, 6.2: hourly low, 6.3: hourly close. Data are for the Intraday Season 6.

Dependence of normalized 4-point cumulant among predicted and actual logarithmic differences in hourly HIGH and hourly LOW on the optimization parameter Fred. Season 5. 6.4

Fig. 6.4 Dependence of the normalized 4th order cumulant among predicted and actual logarithmic differences (returns) in hourly high and low on the optimization parameter nicknamed Fred. Data are for the Intraday Season 6.



Last Updated ( Saturday, 07 July 2012 10:44 )