Forex 24x7

Just like logarithmic returns can be defined and analyzed for daily close, they can be defined for daily high and low. Japanese candlestick charting techniques, believed to have predictive power, study patterns formed by open, low, high and close as the time series progresses. In this report I extend application of my newly developed forecasting figure of merit, Pearson correlation coefficient between the real and predicted logarithmic returns, to the daily high and low, taking another look at the dependence of the prediction quality on the magnitude of a forecasting parameter nicknamed Fred. As the prediction quality is seen to be much better for the next high and low than it is for next close, I am contemplating ways of improving quality for close. 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 forecasting 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.