Rate of change in forex

Last Updated on 3 August 2022 by automiamo.com

Due to the high volatility of forex in the last period, endorsed by rates hikes, I would like to backtest the daily rate of change.

EUR/USD

Since 1993 there are 341 days with daily ROC >1%. 151 days (44%) having the day after’s ROC > 0, 188 days (56%) having the day after’s ROC < 0.

This means EURUSD having today an increasing greater than 1%, tomorrow will be around the same percentage for the EURUSD outperforming (ROC > 0) or underperforming (ROC < 0) the day before

Since 1993 there are 325 days with daily ROC < -1%. 157 days (48%) having the day after’s ROC > 0, 168 days (52%) having the day after’s ROC < 0.

This means EURUSD having today an falling greater than 1%, tomorrow will be around the same percentage for the EURUSD outperforming (ROC > 0) or underperforming (ROC < 0) the day before

Conclusion is that EUR/USD has today a big drop or hike of at least 1%, tomorrow I will have not any advantage to short or long the yesterday’s trend. No Bias here.


Giancarlo Pagliaroli

Disclaimer: The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by me.

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