BarroMetrics Views: FX Time of Day Trading
I was surfing the net and came across an interesting free webinar-video by Barry Craig. You can find the webinar here:
I’d agree with most of what he has to say, with one exception:
“that all pairs normally have 30 to 60 pips in the London and New York sessions, and all pairs would normally have 70 to 120 pips in the same sessions on news affected days.”
I disagree because different pairs have different volatilities during the same period, and the same pairs have different volatilities during different periods. I’d suggest that you need to allow for this observation when applying the strategy.
You may find this resource useful for making the adjustment.
Some time ago, Quantum Research Management Group offered a ‘cheat sheet’ showing different ranges for different pairs at different times on different days. I have attached it here. One caveat on its use.
The research was done in 2007 . You need to assess if the volatility today is the same. One way of doing this is to the compare the ATR of like periods in 2007 with the current data set.
For example, in Figure 1, you have the GBPUSD. I compare Dec 2007 with Dec 2009. The ATR was 170 compared to 185 today – that’s about a 9% increase in volatility. I would adjust the Quantum numbers accordingly.
Let me know if you like this blog.
FIGURE 1 GBPUSD Daily