Forex 24x7

The third year of ForexAutomaton's life has come to a closure. As usual, presented here is the summary of main problems that occupied me during the year, and the main achievements. For the first time, the annual report includes reviews of the actual trading and forecasting systems which have been running live on this web site since the beginning of 2010, free and accessible to the public. The report is structured around system performance and development while observational studies of market inefficiency take a back seat. The prediction engine remains a Black Box to the reader. Executive Summary. Statistical predictability of the direction in which each of the extremes of the price-chart bar evolves is proved to be insufficient to claim market inefficiency, and is understood to have mundane roots in the diffusion of price under conditions of limited price continuity, as is borne out by the random walk model. Differences between hypothetically efficient and real FX markets manifest themselves in higher order correlations, namely fourth order cumulants among certain real data and their proprietary forecasts. A strategy attempting to take advantage of these properties of the real FX markets, Demi, has been designed and launched. Results of the first seven months of its live paper trading are reviewed. A system making predictions on the hourly time frame, named Heidi, has been launched. Following a detailed analysis of the intra-day seasonality patterns such as the alternation of trend following and mean-reversion, Heidi has been improved for at least some of the intra-day time periods by making it seasonality-cognizant. The oldest system, Danica, generating predictions on the day scale, has so far been unable to provide systematic positive correlations between its forecasts for the direction of daily close and the actual direction in live operation, but the cause seems to go beyond the choice of the adjustable parameter.