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
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