Below are some more out of sample plots for the Temporal Clustering solutions of the EUR_USD forex pair for the week just gone. The details of how these solutions are derived is explained in my previous post, Temporal Clustering on Real Prices. First is Tuesday's solution
The above seems to tie in nicely with my previous post about Forex Intraday Seasonality whereby the above identified turning points signify the end points of said intraday tendencies to trend. Readers might also be interested in another paper I have come across, Segmentation and Time-of-Day Patterns in Foreign Exchange Markets, which gives a possible, theoretical explanation as to why such patterns manifest themselves. In particular, for the EUR_USD pair, the paper states
- "the US dollar appreciates significantly from 8:00 to 12:00 GMT
and the euro appreciates significantly from 16:00 to 22:00 GMT"
Readers can judge for themselves whether this appears to be true, out of sample, by inspecting the above plots. Enjoy!