EURUSD session activity

[random12345]

Excellent work. Busy bee you are!

Just look at the difference in the US session between 2010 and this year. Awful. Of course, volatility is down across most markets and time frames but avg high/low near 10 pips is downright depressing.

Well done

Peter

Speaking overall instead of jurisdiction specific, I think people from 09/10/11 thought the party would continue and of course it hasn't (note Volman's book for one - hope I don't get hung for that and various FF posts from those days), but then the rhythm it's settling into now is eerily reminiscent of 06/07 so it could continue for a while yet.

It does confirm at least that when it comes to forex, it's same sh!t different day and long may it reign - anything but an efficient market.

Maybe we should start our own firm and wrap up Z grade MBS into CDOs and see if we can't spark our own financial crisis and inject some volatility.

 

[random12345]

Done

Seriously good, senior analyst grade.

 

[Liquid validity]

Excellent work. Busy bee you are!

Just look at the difference in the US session between 2010 and this year. Awful. Of course, volatility is down across most markets and time frames but avg high/low near 10 pips is downright depressing.

Well done

Peter

Cheers, it proves your earlier point as well about the last 2 years
being less volatile, EU is pretty much back at 2004-2007 levels.
I have a few more ideas on how to maybe get a better real time picture
with this, or at the very least EOD.

 

[Liquid validity]

Speaking overall instead of jurisdiction specific, I think people from 09/10/11 thought the party would continue and of course it hasn't (note Volman's book for one - hope I don't get hung for that and various FF posts from those days), but then the rhythm it's settling into now is eerily reminiscent of 06/07 so it could continue for a while yet.

It does confirm at least that when it comes to forex, it's same sh!t different day and long may it reign - anything but an efficient market.

Maybe we should start our own firm and wrap up Z grade MBS into CDOs and see if we can't spark our own financial crisis and inject some volatility.

Agree on 06/07 observation, yeah another sov. debt crisis aside,
this is what we can expect for the time being.

I have shelved that JPMVXYG7 replication idea for now.
At least the direct modelling of it, a crude approximation of the concept
may be possible though.

 

[Purple Brain]

Really making me think this thread is. Hurts. I initially intuited yesterday that as you move down the timeframes the spiky volatility drops away and it becomes more tradeable. I was wrong - it looks just as horrible across all timeframes.

What I did do though on this pair was set my chart to line rather than bar or candle and while it's still an absolute shambles on most timeframes, the 30 minute and 1 hours periods appear (please challenge) to offer trend play opportunities.

Comes back to another point I raised yesterday about switching trading periods. I don't, currently, but if for any given pair at any given time there is one trading timeframe better suited than any other for directional trading methods, wouldn't it make sense to utilise that facility? Identifying it is something else, but if I can do it visually on one pair within 30 seconds, it would hardly be a Herculean task to do it across all the majors once or twice a day. Plus if this hypothesis does have legs, I'm sure some code junkie could work up a decent optimum timeframe identifier in short measure.

 

[Liquid validity]

Really making me think this thread is. Hurts. I initially intuited yesterday that as you move down the timeframes the spiky volatility drops away and it becomes more tradeable. I was wrong - it looks just as horrible across all timeframes.

What I did do though on this pair was set my chart to line rather than bar or candle and while it's still an absolute shambles on most timeframes, the 30 minute and 1 hours periods appear (please challenge) to offer trend play opportunities.

Comes back to another point I raised yesterday about switching trading periods. I don't, currently, but if for any given pair at any given time there is one trading timeframe better suited than any other for directional trading methods, wouldn't it make sense to utilise that facility? Identifying it is something else, but if I can do it visually on one pair within 30 seconds, it would hardly be a Herculean task to do it across all the majors once or twice a day. Plus if this hypothesis does have legs, I'm sure some code junkie could work up a decent optimum timeframe identifier in short measure.

There is no right or wrong answer to that really, depends on what you do.
Personally for me, the lowest timeseries chart I would use would be H1.
Any lower and I'm more inclined to use a tick chart.
Like I say though, no right or wrong answer, just whatever works for you

 

[Liquid validity]

Plots of daily range:
2007-2013
2000-2013

Next up session ranges, thats going to be a bit tougher
as there is obviously no set start / finish.
All depends how difficult it is to reference the relevant data.

I was thinking:
Euro = 0630-1100
USA = 1230-1630

Thoughts? - too wide, not wide enough,
maybe have no gap between Euro and USA?
All suggestions welcome.

BTW - Aug 2013 spike verified with MBT - variation due to dukas session end
varying with MB session end - spike valid.

**********
All attached files link:
http://www.trade2win.com/boards/misc.php?do=showattachments&t=178822

 

[adilfx]

Is the euro eading near 1.36

all the data is looking food for the euro, plus the syrian issue might put downward pressure on the dollar

 

[Purple Brain]

all the data is looking food for the euro, plus the syrian issue might put downward pressure on the dollar

Looking at the various news reports on the impact on the majors of potential US action in Syria, there seem to be as many claiming one way as the other. The Kiwi is apparently down as the US dollar becomes a haven in the upcoming event of action. Another has the US dollar being driven down itself on the basis of potential action. If you consolidated all the news outlets prognostications I suspect you'd be absolutely none the wiser.

One thing you can bet on is that they will generally find some way to rationalise what any given currency is doing based upon one or other current or expected event. My own inexperienced yet already battle weary view is that exogenous events rarely give any indication of what effect it will have on a currency.

Even if I knew ahead of time the data that was to be provided for the scheduled data releases, I'd still have no idea which way it would turn the underlying currency. As far as I can tell, there is little to no direct causality between data, news and market action. You can't even depend upon its perversity.

 

[Liquid validity]

http://www.trade2win.com/boards/forex/178822-eurusd-session-activity-6.html#post2183938

Leading on from above post, thought I'd plot monthly average of daily range.
2000-2012 (no 2013 so missing months don't skew result).
2000-2007 (to remove 2008 outlier and subsequent range increase).

2000-2007 is broadly similar to 2012-2013 in terms of range and volatility anyway.