Coming from an equities background, I thought FX was liquid (read "low volatility") until I ran a test over 24H changes in some major pairs. For veteran traders, I'm sure this post is old news, but it was certainly an eye opener for me - especially AUDJPY - but I guess the carry-trade unwound in a big way.
I thought I'd post these results (please correct me if the data looks bad!), in case others find it useful/interesting.
For those of you who are new to FX and are thinking about scalping or using Martingales MM on reversion strategies, please do take a look at some "Black Swan" days and make sure you don't get run over by a 1000 pipper while picking up 10 pips or adding to losers... ...had a professor in business school who said Statistical Arbitrage is like picking up pennies in front of a slow-moving bull-dozer. Well, in the case of FX, the accelerator can get stuck for a day or two.
Let's be careful out there...
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DATA: 14 FX Pairs on 24H periods from 20010103 to 20090601
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I thought I'd post these results (please correct me if the data looks bad!), in case others find it useful/interesting.
For those of you who are new to FX and are thinking about scalping or using Martingales MM on reversion strategies, please do take a look at some "Black Swan" days and make sure you don't get run over by a 1000 pipper while picking up 10 pips or adding to losers... ...had a professor in business school who said Statistical Arbitrage is like picking up pennies in front of a slow-moving bull-dozer. Well, in the case of FX, the accelerator can get stuck for a day or two.
Let's be careful out there...
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DATA: 14 FX Pairs on 24H periods from 20010103 to 20090601
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Inserted Code
AUDJPY ---------------------------- 2008-10-28 15.7% 55.8100 64.5900 2008-10-13 12.1% 63.4400 71.1300 2008-11-24 8.0% 58.8300 63.5600 2009-01-05 7.2% 62.4100 66.8900 2008-11-13 6.9% 60.8100 65.0200 2008-10-16 6.1% 66.0700 70.1300 2008-09-19 4.9% 84.8000 88.9600 2009-02-06 4.6% 59.4300 62.1600 2009-04-29 4.2% 68.0800 70.9400 2009-03-23 4.1% 65.7400 68.4200 ----------------------------------- 2008-09-15 -4.7% 88.5400 84.3900 2008-09-29 -4.8% 88.0700 83.8200 2008-11-12 -5.1% 64.1000 60.8100 2008-11-20 -6.0% 60.8500 57.1800 2008-10-21 -6.3% 71.6600 67.1200 2008-10-15 -7.0% 71.0200 66.0700 2008-10-10 -7.0% 68.2500 63.4400 2008-10-08 -8.1% 71.6200 65.8400 2008-10-06 -10.0% 81.7000 73.5700 2008-10-24 -10.1% 65.0900 58.5100 =================================== AUDUSD ---------------------------- 2008-10-13 9.8% 0.6349 0.6974 2008-10-28 8.2% 0.6018 0.6513 2008-11-24 5.8% 0.6179 0.6535 2008-10-16 4.4% 0.6613 0.6906 2008-11-13 4.0% 0.6404 0.6659 2008-12-16 3.8% 0.6683 0.6940 2009-01-05 3.7% 0.6913 0.7169 2009-02-06 3.5% 0.6522 0.6752 2008-09-19 3.4% 0.8044 0.8314 2008-11-04 3.2% 0.6764 0.6979 ----------------------------------- 2009-04-20 -3.2% 0.7194 0.6964 2009-02-10 -3.5% 0.6781 0.6546 2007-11-12 -3.5% 0.9127 0.8803 2008-11-20 -4.1% 0.6362 0.6103 2008-10-21 -4.7% 0.7038 0.6706 2008-10-15 -5.0% 0.6960 0.6613 2008-10-08 -5.9% 0.7056 0.6640 2008-10-06 -6.9% 0.7758 0.7224 2008-10-10 -7.2% 0.6842 0.6349 2008-10-24 -7.2% 0.6690 0.6205 =================================== CHFJPY ---------------------------- 2008-10-28 7.2% 80.1800 85.9900 2008-11-24 4.9% 77.7200 81.5400 2001-01-04 3.5% 69.6400 72.1100 2009-02-24 2.8% 80.9500 83.2500 2008-11-13 2.8% 80.0300 82.2800 2008-12-17 2.7% 79.2200 81.3400 2002-01-02 2.7% 78.2500 80.3300 2009-03-31 2.6% 84.6500 86.8300 2001-12-14 2.5% 76.2300 78.1700 2008-01-22 2.5% 95.2500 97.6400 ----------------------------------- 2009-03-27 -2.3% 87.6400 85.5900 2009-05-15 -2.5% 86.7400 84.6100 2008-11-12 -2.6% 82.2000 80.0300 2009-03-12 -2.6% 84.4200 82.1900 2009-01-09 -2.7% 83.4300 81.1500 2008-11-20 -2.9% 78.8300 76.5100 2001-05-23 -3.1% 69.5000 67.3500 2008-10-22 -3.4% 86.9400 83.9800 2008-10-24 -3.8% 83.9600 80.8100 2008-10-06 -5.1% 93.5000 88.7100 =================================== EURCAD ---------------------------- 2008-11-20 3.0% 1.5662 1.6135 2001-01-04 2.6% 1.3880 1.4246 2002-01-02 2.6% 1.4055 1.4419 2007-11-07 2.5% 1.3342 1.3675 2008-10-08 2.5% 1.5021 1.5393 2008-10-10 2.5% 1.5634 1.6018 2008-11-12 2.4% 1.5110 1.5473 2008-12-04 2.4% 1.5933 1.6308 2008-03-19 2.2% 1.5488 1.5822 2003-05-22 2.1% 1.5724 1.6050 ----------------------------------- 2002-10-17 -1.8% 1.5520 1.5240 2001-09-04 -2.0% 1.4119 1.3839 2001-11-13 -2.0% 1.4325 1.4032 2001-03-13 -2.1% 1.4416 1.4115 2002-08-06 -2.2% 1.5652 1.5308 2008-10-30 -2.4% 1.5831 1.5449 2008-10-29 -2.5% 1.6242 1.5831 2008-11-03 -2.7% 1.5355 1.4935 2008-10-13 -2.8% 1.6018 1.5573 2009-01-05 -5.3% 1.7111 1.6211 =================================== EURCHF ---------------------------- 2009-03-12 3.5% 1.4803 1.5315 2008-10-28 2.3% 1.4408 1.4746 2008-11-13 2.2% 1.4836 1.5165 2008-10-13 2.2% 1.5114 1.5446 2008-11-04 1.6% 1.4852 1.5096 2008-12-05 1.6% 1.5272 1.5515 2009-01-21 1.5% 1.4792 1.5016 2009-01-05 1.4% 1.4899 1.5114 2008-03-11 1.4% 1.5633 1.5853 2001-09-24 1.3% 1.4449 1.4640 ----------------------------------- 2008-10-15 -1.3% 1.5486 1.5277 2009-02-10 -1.4% 1.5133 1.4925 2009-01-29 -1.4% 1.5154 1.4936 2008-10-10 -1.6% 1.5364 1.5114 2001-09-21 -1.7% 1.4705 1.4449 2008-10-24 -1.8% 1.4982 1.4711 2008-12-17 -1.8% 1.5746 1.5455 2008-10-21 -2.0% 1.5339 1.5037 2008-10-27 -2.1% 1.4711 1.4408 2008-12-29 -2.5% 1.5161 1.4782 =================================== EURGBP ---------------------------- 2008-12-17 3.2% 0.8994 0.9280 2008-11-13 3.0% 0.8355 0.8608 2008-12-01 2.7% 0.8242 0.8466 2008-11-12 2.7% 0.8138 0.8355 2002-01-02 2.5% 0.6093 0.6243 2009-01-20 2.3% 0.9056 0.9267 2008-12-29 2.2% 0.9457 0.9669 2008-12-18 2.2% 0.9280 0.9487 2009-03-18 1.9% 0.9265 0.9445 2008-11-04 1.9% 0.7986 0.8134 ----------------------------------- 2008-12-19 -1.5% 0.9487 0.9344 2009-02-04 -1.5% 0.9016 0.8877 2008-11-28 -1.6% 0.8375 0.8242 2009-06-01 -1.7% 0.8755 0.8606 2001-09-04 -1.8% 0.6263 0.6148 2009-01-29 -1.9% 0.9236 0.9056 2009-03-24 -2.1% 0.9356 0.9164 2009-01-06 -2.2% 0.9272 0.9071 2009-01-30 -2.3% 0.9056 0.8850 2009-01-05 -4.9% 0.9754 0.9272 =================================== EURJPY ---------------------------- 2008-10-28 9.7% 115.5700 126.8200 2008-11-24 5.9% 118.9800 125.9600 2008-11-13 5.1% 118.7600 124.8300 2001-01-04 4.3% 105.3800 109.9200 2008-10-13 4.1% 133.0600 138.5100 2009-02-24 3.3% 120.1000 124.1200 2008-11-04 3.3% 125.3000 129.3800 2002-01-02 3.0% 115.8400 119.3400 2001-01-11 3.0% 108.9900 112.2300 2009-04-02 2.7% 130.4800 133.9600 ----------------------------------- 2008-10-27 -2.8% 118.9300 115.5700 2008-11-12 -2.9% 122.2900 118.7600 2008-09-29 -2.9% 154.9600 150.4800 2008-10-15 -2.9% 139.0100 134.9200 2008-12-01 -3.4% 121.5500 117.4400 2001-05-23 -3.4% 106.2600 102.6600 2008-10-21 -3.7% 135.8600 130.7700 2008-10-22 -4.0% 130.7700 125.5700 2008-10-24 -5.5% 125.8300 118.9300 2008-10-06 -5.6% 145.7700 137.5400 =================================== EURUSD ---------------------------- 2009-03-18 3.8% 1.3013 1.3509 2008-11-24 3.6% 1.2495 1.2945 2008-12-17 2.9% 1.4012 1.4418 2008-11-04 2.7% 1.2641 1.2976 2008-10-28 2.6% 1.2455 1.2783 2008-12-11 2.6% 1.3019 1.3356 2001-01-04 2.5% 0.9271 0.9507 2008-12-15 2.4% 1.3366 1.3686 2008-12-16 2.4% 1.3686 1.4012 2008-11-13 2.2% 1.2503 1.2779 ----------------------------------- 2008-08-08 -2.0% 1.5321 1.5012 2008-10-21 -2.1% 1.3338 1.3061 2008-10-10 -2.1% 1.3600 1.3317 2008-10-06 -2.4% 1.3840 1.3506 2008-09-30 -2.4% 1.4440 1.4091 2008-10-24 -2.5% 1.2927 1.2607 2001-09-04 -2.5% 0.9110 0.8880 2008-12-19 -2.6% 1.4248 1.3884 2005-01-04 -2.6% 1.3629 1.3269 2009-01-05 -3.0% 1.4056 1.3630 =================================== GBPCHF ---------------------------- 2009-01-05 6.7% 1.5270 1.6296 2009-03-12 3.4% 1.5987 1.6533 2008-10-13 2.8% 1.9183 1.9722 2008-10-28 2.6% 1.7989 1.8450 2008-12-05 2.6% 1.7537 1.7985 2001-12-27 2.3% 2.3769 2.4326 2008-03-18 2.2% 1.9684 2.0115 2009-06-01 2.2% 1.7229 1.7602 2009-02-05 2.0% 1.6757 1.7091 2009-01-06 2.0% 1.6296 1.6615 ----------------------------------- 2008-12-18 -2.3% 1.6649 1.6265 2008-03-17 -2.4% 2.0175 1.9684 2008-10-21 -2.5% 1.9718 1.9227 2009-01-20 -2.5% 1.6364 1.5956 2008-10-27 -2.7% 1.8489 1.7989 2008-11-12 -2.8% 1.8267 1.7752 2009-02-10 -3.1% 1.7338 1.6809 2008-12-01 -3.9% 1.8692 1.7954 2008-12-29 -4.6% 1.6027 1.5284 2008-12-17 -4.9% 1.7503 1.6649 =================================== GBPJPY ---------------------------- 2008-10-28 10.0% 144.2700 158.6700 2009-01-05 5.4% 130.0700 137.1500 2008-11-24 4.9% 140.7800 147.6900 2008-10-13 4.7% 168.8400 176.8500 2009-06-01 3.5% 153.4600 158.8800 2008-03-18 3.4% 194.3800 200.9500 2009-02-05 2.9% 129.3500 133.1600 2009-04-02 2.8% 142.4600 146.5100 2008-09-12 2.7% 188.2500 193.2900 2007-08-29 2.7% 228.2300 234.3000 ----------------------------------- 2008-10-27 -3.5% 149.4500 144.2700 2008-09-29 -3.5% 195.2600 188.4400 2008-11-20 -3.5% 143.0500 138.0100 2008-10-21 -4.2% 174.6300 167.2100 2009-01-20 -4.5% 130.8400 124.9500 2008-10-22 -5.0% 167.2100 158.8500 2008-10-06 -5.1% 187.2300 177.6000 2008-10-24 -5.3% 157.8500 149.4500 2008-11-12 -5.4% 150.2000 142.0900 2008-12-01 -5.9% 147.4000 138.6600 =================================== GBPUSD ---------------------------- 2008-10-28 2.8% 1.5552 1.5992 2008-11-24 2.7% 1.4788 1.5180 2008-10-13 2.6% 1.6900 1.7334 2008-10-29 2.5% 1.5992 1.6396 2008-12-15 2.2% 1.4966 1.5301 2004-01-20 2.1% 1.7840 1.8210 2008-09-12 2.0% 1.7574 1.7934 2009-01-05 2.0% 1.4406 1.4697 2009-06-01 1.9% 1.6131 1.6443 2008-11-25 1.9% 1.5180 1.5472 ----------------------------------- 2009-03-09 -2.2% 1.4089 1.3775 2008-12-29 -2.3% 1.4722 1.4389 2008-10-24 -2.3% 1.6219 1.5843 2009-02-10 -2.4% 1.4896 1.4538 2008-10-21 -2.6% 1.7148 1.6701 2008-10-22 -2.6% 1.6701 1.6264 2008-11-12 -2.7% 1.5382 1.4961 2008-12-18 -3.3% 1.5534 1.5015 2008-12-01 -3.4% 1.5411 1.4883 2009-01-20 -3.5% 1.4433 1.3923 =================================== USDCAD ---------------------------- 2008-10-10 4.6% 1.1495 1.2028 2008-11-20 3.4% 1.2538 1.2959 2008-10-22 3.4% 1.2135 1.2542 2007-11-12 3.0% 0.9420 0.9699 2008-11-12 2.6% 1.2064 1.2375 2009-01-12 2.5% 1.1864 1.2161 2008-11-06 2.4% 1.1693 1.1976 2008-10-15 2.3% 1.1628 1.1901 2007-11-15 2.3% 0.9658 0.9879 2008-10-24 2.3% 1.2470 1.2751 ----------------------------------- 2008-10-28 -2.0% 1.2967 1.2706 2008-11-13 -2.0% 1.2375 1.2122 2008-01-24 -2.1% 1.0233 1.0021 2008-12-08 -2.2% 1.2788 1.2505 2009-01-05 -2.3% 1.2173 1.1892 2008-12-16 -2.3% 1.2332 1.2047 2008-11-04 -2.7% 1.1813 1.1493 2008-10-29 -3.9% 1.2706 1.2207 2008-11-24 -4.3% 1.2868 1.2321 2008-10-13 -4.6% 1.2028 1.1471 =================================== USDCHF ---------------------------- 2009-01-05 4.6% 1.0599 1.1087 2005-01-04 3.2% 1.1322 1.1684 2008-09-30 3.1% 1.0887 1.1220 2009-03-12 2.9% 1.1523 1.1861 2001-09-04 2.4% 1.6632 1.7030 2008-12-05 2.3% 1.1946 1.2221 2008-12-19 2.3% 1.0832 1.1077 2004-03-02 2.2% 1.2671 1.2956 2004-04-02 2.2% 1.2630 1.2905 2009-01-09 2.0% 1.0926 1.1145 ----------------------------------- 2009-05-08 -2.1% 1.1306 1.1068 2008-10-29 -2.3% 1.1535 1.1274 2008-12-29 -2.4% 1.0885 1.0619 2003-11-18 -2.5% 1.3248 1.2923 2008-11-24 -2.5% 1.2245 1.1938 2008-09-22 -2.5% 1.1016 1.0739 2001-09-11 -2.6% 1.6881 1.6442 2008-12-16 -3.1% 1.1593 1.1235 2009-03-18 -3.6% 1.1819 1.1389 2008-12-17 -4.6% 1.1235 1.0717 =================================== USDJPY ---------------------------- 2008-10-28 7.0% 92.7600 99.2300 2009-01-05 3.3% 90.2900 93.3100 2008-11-13 2.8% 94.9700 97.6700 2008-03-18 2.8% 97.3700 100.0900 2008-12-18 2.5% 87.1900 89.4100 2008-11-24 2.2% 95.2000 97.2700 2004-05-07 2.1% 109.8500 112.1900 2009-02-24 2.1% 94.6100 96.6200 2008-10-13 2.1% 99.8900 102.0100 2002-07-26 2.0% 116.5000 118.8400 ----------------------------------- 2001-05-23 -2.3% 122.8100 120.0000 2008-10-08 -2.3% 101.4700 99.1300 2008-10-22 -2.4% 100.1000 97.6600 2008-01-02 -2.6% 112.6100 109.7000 2008-12-01 -2.6% 95.6500 93.1700 2009-03-18 -2.6% 98.6200 96.0400 2008-11-12 -2.7% 97.6300 94.9700 2008-09-15 -2.9% 107.7700 104.6200 2008-10-24 -3.1% 97.3200 94.3300 2008-10-06 -3.3% 105.3000 101.8100 ===================================
