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Has a profitable EURUSD pattern been found?

  • Post #1
  • Quote
  • First Post: Edited Jan 20, 2008 3:05pm Jan 13, 2008 10:32am | Edited Jan 20, 2008 3:05pm
  •  TrevA
  • | Joined Oct 2007 | Status: my brain has a mind of its own | 166 Posts
Since January 2006 until now, there has been a highly profitable and consistently repeatable bias towards selling then buying EURUSD during the UK and US sessions.

My analysis has shown a bias towards selling during the UK session and a shift in bias towards buying during the US session.

Prior to 2006 this bias was not obvious but something has changed over the last two years to solidify this bias.

Question to the analysts of FF: I would like to ask the analysts of this forum to give their informed opinion about this bias. Attached is a simple graph that shows the behavior of this bias since January 2005. (Sorry but the last year is quite compressed)

The pattern is this: Sell at 8am (ET), reverse at 12am and close at 10pm. Beautiful in it's simplicity and very profitable.... for now. Be bearish then bullish.

The attached graph was generated through back-testing using this simple pattern with some basic money management.

Here's a MetaTrader EA that backtests the idea: http://www.forexfactory.com/showthread.php?t=65964

I look forward to reading your informed opinions.

Many Thanks
TrevA
Attached Image(s) (click to enlarge)
Click to Enlarge Name: EURUSDBacktest.gif Size: 12 KB
Click to Enlarge Name: EURUSDcurve.gif Size: 16 KB
EUR is very strong.I think the best way is buy eur/jpy.
My opinons that eur/jpy will be 170.
My name is liujiangshi. {Links Removed}
  •  TrevA
  • | Joined Oct 2007 | Status: my brain has a mind of its own | 166 Posts
Quoting liujiangshi
EUR is very strong.I think the best way is buy eur/jpy.
My opinons that eur/jpy will be 170.
Agreed, I think the euro is very strong at the moment too but doesn't exhibit the sell uk session and buy us session bias shown by EURUSD.

Exploiting this bias means we can make a lot of low risk money at the moment.

TrevA
  • Post #4
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  • Edited 11:14am Jan 14, 2008 10:51am | Edited 11:14am
  •  TrevA
  • | Joined Oct 2007 | Status: my brain has a mind of its own | 166 Posts
Sell morning, buy afternoon... that seems to be the prevailing bias... fingers crossed that today plays out as planned. It doesn't look good today....

TrevA
Attached Image (click to enlarge)
Click to Enlarge Name: eurusd1.4525-2.gif Size: 24 KB
  • Post #5
  • Quote
  • Edited 7:58am Jan 19, 2008 5:34am | Edited 7:58am
  •  TrevA
  • | Joined Oct 2007 | Status: my brain has a mind of its own | 166 Posts
Ok, to all those reading this thread but not posting a reply.... and you know I'm talking about you...

Here is the Metatrader EA that I wrote to backtest the system... http://www.forexfactory.com/showthread.php?t=65964

Come on people.... surely somebody is interested in this pattern?

TrevA
This is one of those things a prudent trader should keep neatly tucked under the bed (i.e kept to themselves) and smile as long as it is working provided it really works.


Enjoy your trading
  •  TrevA
  • | Joined Oct 2007 | Status: my brain has a mind of its own | 166 Posts
Quoting bobblong
This is one of those things a prudent trader should keep neatly tucked under the bed (i.e kept to themselves) and smile as long as it is working provided it really works.


Enjoy your trading
bobblong, thanks for the suggestion.
treva

wat time does the ea close the sell position?
  •  TrevA
  • | Joined Oct 2007 | Status: my brain has a mind of its own | 166 Posts
Quoting automan
treva

wat time does the ea close the sell position?

It closes the short position at 12am then immediately reverses and goes long. It then closes the long position at 10pm the same day.

(oops.. I found an error in the inital time. I wrote 12pm instead of 12am)

Each day:

Position 1 - go short at 8am and close at 12am
Position 2 - go long at 12am and close at 10pm

TrevA
Quoting bobblong
This is one of those things a prudent trader should keep neatly tucked under the bed (i.e kept to themselves) and smile as long as it is working provided it really works.
Don't be silly. This pair trades nearly $1T/day on its own, discussing tradeable anomalies publicly isn't going to weaken any edge.


***

Nice work TrevA. I remember coming across a study similar to this awhile back, which analyzed all pairs during the 3 major market sessions. Unfortunately it only addressed volatility per time period, not directional bias.

A similar study could be done on the yen pairs. They typically seem to fade the NY move in the Asian session, not always, but noticeably often.
EJ will go up for sure , but right now i think it will go down first as it was still downtrend is most of the bigger timeframe
eventually this inefficiency will discontinue. more than likely the day you begin trading it live or shortly thereafter. these statistical "discoveries" are simply curve fit for optimal performance in the past and are notoriously unreliable going forward. Be careful
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  •  TrevA
  • | Joined Oct 2007 | Status: my brain has a mind of its own | 166 Posts
Quoting M.A.C.Doug
eventually this inefficiency will discontinue. more than likely the day you begin trading it live or shortly thereafter. these statistical "discoveries" are simply curve fit for optimal performance in the past and are notoriously unreliable going forward. Be careful

I couldn't have stated this better!!! This strategy did not work prior to 2006 but has worked for the last two years.... who knows for how much longer it will work.

Trade carefully!

TrevA
in the last week Sellers intered.. the next week is also the week of sellers, but forecast in Forex is impossible.. the week after that is the week of Buyers.. last month was the month of Sellers but at its last days, Buyers came in and there was an over buy in the market.. the market must keep its ballance, and because of this Sellers came in in the last week and may be we have strong dollar against EUR in this week but not like last week. Dollar shold be very weak at the end of this month.. It cannot come downer than 1.45.. it needs his balance for going forward for 1.5.. (writer: tenzinkalden)
Quoting liujiangshi
EUR is very strong.I think the best way is buy eur/jpy.
My opinons that eur/jpy will be 170.
Been shorting it since Tuesday Let the market show you mate and try to never have an opinion, it's so much more profitable in my experience.

Quoting TrevA
It closes the short position at 12am then immediately reverses and goes long. It then closes the long position at 10pm the same day.

(oops.. I found an error in the inital time. I wrote 12pm instead of 12am)

Each day:

Position 1 - go short at 8am and close at 12am
Position 2 - go long at 12am and close at 10pm

TrevA
What you have seen is well spotted, can I suggest that you look at the equity markets for your correlation. I trade from around 6am until 8.30 and then sometimes again between 13.45 and 15.30.
Look for a position at around 6.30, check bund futures at 7 am.
Either continue position of re enter if entry exists at around 7.45 and watch DAX and FTSE cash markets for momentum.
It has basicaly been created by the liquidity issues in the cash markets. Hence the pm moves are a result of CME/CBOT futures and NYBOT/New York cash.
Target is net 65pips+ per day, normaly achieved 3 days of the week.

HTH
This is simple, if DOW goes down, all JPY crosses and USD go down. I DOW goes up, JPY and USD go up. Usualy when news for US are bad, DOW goes down and JPY and USD currency get stronger. This is happening lately because the weak US economic. Strange but true. Here is a comparation chart of EUR/JPY and DOW. (DOW the sky blue chart)
Attached Image (click to enlarge)
Click to Enlarge Name: DOW - EUR-JPY.png Size: 374 KB
Quote
Look for a position at around 6.30, check bund futures at 7 am.
Either continue position of re enter if entry exists at around 7.45 and watch DAX and FTSE cash markets for momentum.
It has basicaly been created by the liquidity issues in the cash markets. Hence the pm moves are a result of CME/CBOT futures and NYBOT/New York cash.
Target is net 65pips+ per day, normaly achieved 3 days of the week.
how do you determine direction and entry on EUR/USD from bond futures? or do you mean EUR/JPY Either way, any movement in the futures or equity markets is tracked simultaneously in currency. one does not lead the other or predict what is going to happen next. Can you explain how exaclty you achieve 65+ per day 3 days a week?
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  •  TrevA
  • | Joined Oct 2007 | Status: my brain has a mind of its own | 166 Posts
Quoting Carrera
This is simple, if DOW goes down, all JPY crosses and USD go down. I DOW goes up, JPY and USD go up. Usualy when news for US are bad, DOW goes down and JPY and USD currency get stronger. This is happening lately because the weak US economic. Strange but true. Here is a comparation chart of EUR/JPY and DOW. (DOW the sky blue chart)
Does the DOW move before the JPY crosses?

TrevA
Quoting TrevA
Does the DOW move before the JPY crosses?

TrevA
When DOW is moving, Jpy crosses follow whatever is the DOW doing. Watch Monday when US market open and see the action of it. If DOW crash buy JPY. JPY goes up and down with the market. When market is going up, JPY move in that direccion, and when market is going down, JPY change direccion down. Pay atention on Monday and during the day the swing of the DOW is the same swing of these JPY crosses.
This is why JPY is strong during these months because US economy is been afected from the morgage crisis and the fear for the consecuence are very dangerous. People are taking money from stock in order to save their money before it gets too bad. Well now is very bad, but when this crisis finish and the stock market start to go steady in a up trend again, there is when the carry trade get ready for action and the JPY crosses start to get weaker and weaker again for long periods. I watch the market here http://money.cnn.com/ and see haw the DOW is doing during the day, and exactly when it move at any direccion, currency (JPY Crosses) move too.
Quoting TrevA
Does the DOW move before the JPY crosses?

TrevA
Arb models drive much of the correlation, when they do run in tangent, it's typically synchronous movement (no lag or lead time).

Lately we've been seeing the correlation fall apart. As the Dow was driven to new lows Wed, Thurs, & Fri, USD/JPY never broke its Wed lows and in fact rallied on Friday.
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