Forex 24x7

In this week' update, I demonstrate an improvement in the prediction quality for day low and high in six major forex pairs -- EUR/USD, USD/JPY, GBP/USD, USD/CHF, AUD/USD, and USD/CAD -- by imposing the obvious constraints of low being below high and day's open (which is assumed in forex to coincide with previous day's close) being between the day's low and high. As before, I use Pearson correlation coefficient between the real and predicted logarithmic returns, as a figure of merit to gauge the prediction quality. Contrary to my expectation, no visible improvement for close is obtained by such technique. The results have to be compared with the previous report. Fig.1. Pearson correlation of predicted and actual day-scale logarithmic returns in low, high and close as a function of the forecasting parameter nicknamed Fred. The shaded bands indicate a measure of uncertainty, their boundaries mark one standard deviation (among the forex pairs considered) distance to the points. Back-testing simulations give the forecasing engine no access to the future data, direct or indirect. Significantly positive (and ideally, large) values correspond to quality forecasting. Note that the quantities at different Fred are not quite statistically independent, therefore the error bands should be understood as describing the uncertainty of the position of the curve at large rather than that of individual points.