GBP/CAD Mean Reverting Time Bias
In this analysis based on GBP/CAD currency futures, we will focus on the presence of a mean reverting characteristic of the cross: we will use the average as the reference point for the identification of an hourly bias.
Specifically, a short-term 15-period moving average in hourly time frame has been employed, so as to achieve greater responsiveness to our hourly analysis. In addition, the investigation has been carried out on prices that are above the MA15.
We thus find the mean reverting time bias of 7 P.M. with the data summarized in the following table.
|
Currency Pair |
hour |
mean tick |
Total Trades |
Win Ratio |
Profit factor |
|
GBP/CAD |
19.00 |
-0,00018 |
1437 |
0,58 |
1,54 |
Table 1 – Table shows the highlights of the mean reverting time bias (time refers to NY time zone)
At 19:00 the price tends to make a downward movement when it is above MA15: this occurs 58% of the time, with an average tick increase of -0.00018. On the other hand, the profit factor of the 1437 trades is 1.54 .
The resulting cumulative tick movements line will be as shown in the Figure 1 and Table 2.
Figure 1 – GBP/CAD cumulative tick movements.
|
Year |
Tick movements |
|
2010 |
0,0338 |
|
2011 |
0,0020 |
|
2012 |
-0,0183 |
|
2013 |
-0,0102 |
|
2014 |
0,0342 |
|
2015 |
0,0469 |
|
2016 |
0,0349 |
|
2017 |
0,0113 |
|
2018 |
0,0195 |
|
2019 |
0,0156 |
|
2020 |
0,0408 |
|
2021 |
0,0081 |
Table 2 – GBP/CAD cumulative tick movements.
Giuseppe Ferrulli
CEO, Radiqant
