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FX Engines, Inc.
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The Forex Report – DATA BRIEF
AUGUST 2004
When to Trade
By Scott Owens with Omer Lizotte
One of the key elements of any trading system is market timing. Many traders fail to account for timing when making trading decisions, and those who do often rely on their instinct of market timing rather than empirical data. The sophisticated investor uses advanced timing techniques to optimize market entry and exit.
ANALYSIS
• Hour: Which hours of the day will produce the best trades?
• Session: Which trading session has the most action?
• Day: What is the range for particular days of the week?
• Month: Do the days of the month differ?
ACTION
• Correlate your engines to optimal trading ranges
• Test your engines according to a specific entry schedule
RELATED MATERIAL
Test-drive FX Engines for free online at www.fxengines.com to see the power of system building, system testing, and system automation.
ABOUT THIS REPORT
The Forex Report is a periodic publication that investigates advanced strategies for superior trading performance in the foreign exchange markets. These reports utilize advanced statistical and econometric modeling techniques to create new insight into the trading strategy of the average trader. This Data Brief, When to Trade, is intended for all audiences, including those new to the forex market.
To learn more about The Forex Report or to register for delivery of all future reports by email, including Case Studies & Data Briefs, please visit www.fxengines.com.
The Forex Report August 2004
ANALYSIS
When to trade? We wanted to be sure ourselves, so we took 4 years of historical tic data from a dealer and ran it through a rigorous econometric analysis. The most basic results of that analysis show the importance of understanding and employing timing in your entry and exit decisions.
WHEN TO TRADE: Hours of the Day
Average range in pips for the four majors, Eastern Time:
HOUR
EUR/USD
GBP/USD
USD/CHF
USD/JPY
12 AM
10
11
15
14
1 AM
13
15
20
15
2 AM
21
25
30
20
3 AM
23
29
34
21
4 AM
20
27
29
20
5 AM
17
25
26
18
6 AM
17
24
26
18
7 AM
18
24
27
19
8 AM
26
31
39
25
9 AM
24
29
36
23
10 AM
30
34
45
26
11 AM
24
29
36
22
12 PM
20
25
31
19
1 PM
16
19
25
15
2 PM
16
18
24
15
3 PM
12
15
19
12
4 PM
9
11
14
10
5 PM
9
9
12
9
6 PM
8
9
12
11
7 PM
10
11
15
15
8 PM
11
11
16
17
9 PM
10
10
14
15
10 PM
10
12
16
13
11 PM
8
9
11
11
© 2004. FX Engines, Inc. Reproduction or modification prohibited. For more information or a free subscription visit www.fxengines.com.
The Forex Report August 2004
WHEN TO TRADE: Trading Session
Average range in pips for the four majors:
Session
EUR/USD
GBP/USD
USD/CHF
USD/JPY
Australia
65
77
99
66
Japan
66
79
100
66
UK - London
80
99
121
74
USA - New York
67
78
101
60
WHEN TO TRADE: Day of the Week
Average range in pips for the four majors:
Day of Week
EUR/USD
GBP/USD
USD/CHF
USD/JPY
Sunday
24
31
36
25
Monday
92
110
141
95
Tuesday
102
128
162
104
Wednesday
101
123
158
106
Thursday
83
98
121
77
Friday
80
96
117
72
WHEN TO TRADE: Day of the Month
Average range in pips for the four majors:
Day
EUR/USD
GBP/USD
USD/CHF
USD/JPY
1
70
83
107
67
2
89
108
128
82
3
91
103
140
73
4
78
78
112
76
5
95
109
136
96
6
96
112
148
90
7
77
93
109
84
8
84
105
119
75
9
81
113
117
86
10
76
87
117
79
11
68
85
126
69
12
76
78
110
66
13
82
97
128
83
14
66
100
107
80
15
80
95
123
81 © 2004. FX Engines, Inc. Reproduction or modification prohibited. For more information or a free subscription visit www.fxengines.com.
The Forex Report August 2004
Day
EUR/USD
GBP/USD
USD/CHF
USD/JPY
16
86
97
121
78
17
88
111
129
86
18
83
103
118
78
19
86
105
133
97
20
85
111
124
87
21
76
108
115
86
22
86
97
129
79
23
87
103
130
84
24
89
105
140
78
25
65
85
107
61
26
77
101
134
81
27
73
90
123
76
28
72
89
110
68
29
80
92
111
80
30
75
91
124
85
31
80
90
125
79
IN-DEPTH STUDIES
More advanced results from this study will be available in later Reports, Case Studies, and Data Briefs. Register at FX Engines for free to receive these future reports.
RELATED MATERIAL
For more information on “When to Trade” see The Forex Report: The Six Forces of Forex, at www.fxengines.com.
© 2004. FX Engines, Inc. Reproduction or modification prohibited. For more information or a free subscription visit www.fxengines.com.
The Forex Report August 2004
ACTION
Create trading systems that are timing-intelligent, test them, and roll them out into live trading. FX Engines’ entry schedule tool gives you fine control over the entry of your trades, and allows you to use sophisticated trailing exits, fixed exits, limit exits, and/or exit signals to manage your exits.
Once you’ve created your engine with timing intelligence, begin historical and live tests. FX Engines will be offering live trading through a leading dealer shortly, so get started testing today with our Free Trial and be ready for our live trading launch, coming soon.
© 2004. FX Engines, Inc. Reproduction or modification prohibited. For more information or a free subscription visit www.fxengines.com.
The Forex Report August 2004
MORE INFORMATION
For more information about The Forex Report, visit www.fxengines.com or email info@fxengines.com. The Forex Report is available for distribution on third party websites as a co-branded offering. Contact us for more information.
THE FOREX REPORT
Analyzing statistical, econometric, and behavioral trends in the foreign exchange markets for insight into the optimal use of the FX Engines automated trading platform.
The information contained in this report is represented without warranty or any statement of its veracity. The contents of this report are intended to stimulate thinking on issues related to trading forex. This report does not suggest any particular action that could be utilized in live trading for profit or loss.
I can put it no better than Hoffer, who deferred to Montaigne:
“All I say is by way of discourse, and nothing by way of advice. I should not speak so boldly if it were my due to be believed.”
© 2004. FX Engines, Inc. Reproduction or modification prohibited. For more information or a free subscription visit www.fxengines.com.