Foreign Exchange Fixings and Returns Around the Clock-BIS-Banca d'Italia-ECB 12th Workshop on FX
- Thread starter Nighthawk
- Start date
It would be too easy. There is no such fine seasonality. Even I could easily do Sharpe >12 strategies on intraday seasonalities. But this does not work out of sample. It is not stable at all. Or anyone would be easy billionaire in no time on trading Forex. There is no intraday seasonality at all (on all asset classes I tested this). Only with high deviations, so any sharpe is around at 1 best here. No way you can do this that easily. I tested all kind of this stuff some years earlier. Those bank analysts are certainly no traders who would had half a brain at least. That analysis makes no sense. That is like eye washing and illusory at all. For the sake of calculating rich only from backtesting. To call it as a workshop, sorry no words for this....
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Great post Nighthawk.
One's man's poison etc, I used it for years. As an overlay to every strategy, as a key marker when it 'fails', as a trajectory target etc etc. Expanding timeframe of seasonality, GU had something like 5 or 6 concurrent years when it hit the same price, same date every year too.
One's man's poison etc, I used it for years. As an overlay to every strategy, as a key marker when it 'fails', as a trajectory target etc etc. Expanding timeframe of seasonality, GU had something like 5 or 6 concurrent years when it hit the same price, same date every year too.