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It depends on when your forex provider "closes" the market
given it's a 24 hour market. It's an arbitrary point in time.
Usually this is 5pm New York time for most spot forex brokers. 5pm
New York time is typically very quiet because New York has wound down and the
rest of the world is just starting to get into work. Note that you should also consider the effect of the Friday
to Monday open. "Monday" starts on Sunday afternoon New York time when the
sun rises in New Zealand and trading at this point in time is very
patchy.
Another factor to consider is if your provider uses a
European cutoff (00:00 GMT) or a New York 5pm cutoff.
Yet another factor to consider is what type of forex feed
your data provider is giving you. Is it a multiple-contributor feed from
interbank dealing desks or a feed from a spot forex bucket
shop? 7 pips is very limited when you consider the spread is
usually 3-5 pips. It's a round trip too, so you get taken on each side of
the trade thus stopping this from being a viable trading
system.
Lastly, you're looking at creating a very short-term
intraday system using daily bars. I'd recommend considering testing of
intraday data instead with this type of trading system.
Best regards,
Richard
Dale.
Norgate Investor Services
- Premium quality Stock, Futures and
Foreign Exchange Data for
markets in Australia, Asia, Canada, Europe,
UK & USA -
www.premiumdata.net
I found that typically in a given period, over 80% of daily bars
open
lower than previous close by an average of 7 pips. When testing
high
frequency daily systems, being in sync with this "edge" can turn
a
good system into a great one, and conversely a disaster if out of
sync.
The question is: is this a real effect that can be exploited?
What
times are the open and close of the daily bars recorded? Are
they
using bids or asks?
Please note that this group is for discussion between users only.
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