USD/CAD intraday seasonality overview, 2003-2010

Source: forexautomaton.com

The regime change from mean reversion to trend following is seen to occur daily in USD/CAD. Like in other pairs studied so far, the statistically preferred time to bet on a trend reversal in USD/CAD is the morning hours of the Asia-Pacific trading session. Evidence for that comes from the comparison of temporal distribution of daily extremes with temporal distribution of volatility, and from time dependence of autocorrelations of logarithmic returns with 1-hour lag. The hour ending at 17:00 CET (11am ET) favours trend following.


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