Wednesday, January 22, 2014

What's been going on lately...

I backtested the shaved bar system on the GBPUSD for 2013, which yielded a negative result. Since I was backtesting the European session, I was hoping the GBPUSD to outperform the AUDJPY but it didn't work. I suspect that since this system trades large movements, it's more susceptible to macro-economic factors, and I guess 2013 was pretty bad.

At the moment I'm developing and backtesting a low volatility system that focuses on the London open and the London / NY overlap. Usually, the start of the London and the London / NY sessions are highly volatile. However, if both sessions open with extreme low volatility, this would suggest that buyers and sellers are in balance. Since this is the start of both sessions, the volume behind both sides of the market will be enormous, and it will only take a small imbalance for one side to give up or even flip and join the other side, resulting in a volatile breakout. That's the logic, anyway. I've tested the GBPUSD for 2010 and 2013 and the results are quite promising so far. But there's still so much to do. I'll post more details if the results continue to hold. 

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