Step 5, Part 2

I haven't done much work on this, probably because I forgot what I said I was going to do. But I just read the last post, so I need to figure out what the big moves have in common. First it would help to figure out what qualifies as a "big" move. Its going to be an arbitrary cutoff, so I'm going with the top 50% on a 20 day move. I don't know how many that will be, but I hope for a fairly large sample.

I'll probably need to do some historical research to see what brought these moves about, as well as some graphs to visualize the move, maybe see if it was some kind of technical setup.

Step 5, Part 1

I used my idea of examining 1, 5, 10, and 20 days moves and found that there is a relatively weak correlation between the magnitude of 5 day and 20 day moves, as well as 10 and 20 day moves. This relationship seems to exist for all 3 pairs I examined, which are AUD/USD, EUR/USD and GBP/USD. That being said the correlation is still relatively weak, probably 0.38 to 0.43, but that's considerably higher than the correlation the 1 day moves had with the other ranges, which was less than 0.20.


I'm wondering if my methodology is correct, as I took the absolute value of the moves and ran the correlation between the percentile of the various time ranges. So in the case of the 5 and 20 day ranges, the higher the percentile move of the 5 day, the higher the percentile on the 20 day. So if there is a big move on the 5 day, there is a good chance of a big move on the 20 day as well, or if there is a small move on the 5 day, there is a good chance of a small move on the 20 day as well.


Does this knowledge have any particular value? Seems sort of common sensical, no? The better question is: can this knowledge be used to create a system? Of course I would need to examine some other information, but this could lead to something I could build a system on.


That's all I have at present. I don't think I'm ready to leave step 5 yet since I'm not sure what those big moves have in common. I'll need to do some more research on that.

Step 5?

Well, the truth is that I have not done any work on my system. I think it is partly because I have become occupied with other things and partly because I haven't felt like doing the work. *Sigh*

For some reason the motivation just isn't there right now.

Is this the end?