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> Does anyone have any opinions on the either of these points or
> perhaps could anyone point me in the direction of sources of
> historical forex data?
Yes, try www.olsen.ch
They sell FX data and have some interesting research papers.
The will even sell you a computer with a big police light and a horn
on top of it. Whenever you have to trade the system makes noises and
wakes you up. (no joke: this is actually built for noisy trading rooms).
The price of the system will surprise you......
Gerrit Jacobsen
> Aongus:
>
> Well, since the best long-term data [existing pre-1980] was kept by
> sources like the New York Fed, most cash traders called the 'start' of
> the trading day in 24 cash charts as the start of trading in New York.
> And then New Zealand, Australia, Hong Kong and Tokyo markets became
> actively traded and so the start of trading then became the New
> Zealand opening [which happily coincides with the close of New York].
>
> The source of FX data depends on what frequency and what length of
> data and what currencies you are seeking. When selecting a source, if
> possible, don't rely on one bank, but rather try to get a blending,
> which in the cash market simulates the effect of what you'd get from
> the exchanges.
>
> Tim Morge
>
> aogorman@xxxxxxxxx wrote:
> >
> > Hi All,
> >
> > Most testing we do is on equities and futures contracts that are exchange
> > traded and as such have universally accepted open, high, low, close
> > numbers. Backtesting Forex markets is much more difficult for two
> > reasons a. conventions as to when exactly a currency cross opens and b.
> > available sources of forex data.
> >
> > Does anyone have any opinions on the either of these points or perhaps
> > could anyone point me in the direction of sources of historical forex
> > data?
> >
> > Kind Regards,
> >
> > Aongus O' Gorman
>
>
>
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