Intraday seasonality as a source of alpha

The effect discussed in this post became visible after analyzing intra-day hour-scale data for the six major currencies and synthesizing the findings. Much of the discussion and effort documented on this site is related to adaptive forecasting algorithms with the view that the direction of price would be conditioned somehow by the past direction in the same or different markets. In contrast, the effect I am about to describe amounts to the direction of price movement being dependent not so much on the history, but on the point in time (wall clock reading). To verify stability of the effect, I compare intermarket averages over several years and temporal averages over the six popular currency markets (AUD, GBP, EUR, CAD, CHF, JPY).

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