Further analysis of the day-range strategy. Selecting the forecasts to trade.

Source: www.forexautomaton.com

In the January performance review for the Danica trading system, an idea of a day-range trading strategy capitalizing on the high quality forecasts for the direction of daily high and low was expressed and a set of what-if charts for the forex pairs tracked was provided and discussed. This post is a deeper and more quantitative discussion of the strategy. Which forecasts should be acted upon? What is the expected profit per trade? How are profits/losses distributed statistically? -- these are the questions addressed.


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