In this project, quant analysts Fredrik Cullborn, Meera Damaraju and Amanda Ramirez merge two past investigations on price
spikes Link and price spike reversals Link in the foreign exchange market. The analysis was done on EUR-USD OHCL minute-data ranging between 2008 and 2018.
The two consecutive patterns were investigated under two definitions of
spikes and traded on using four different strategies. The two spike definitions varied between a defined fixed time period and a fluid time period.
We find that a fluid time window is inversely better for strategies which are distant-dependent where-as a fixed-time window is better for strategies that depend on variation in height between target and stop-loss. Another factor that has not been properly exploited in this paper, but seems as a great candidate for improved accuracy is to extend the set target if and only if you can decide that the market carries momentum, and vice versa.
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