A short statistical study of the EUR/USD pair - Forex4you's Corporate Blog

In this study I have attempted to go back to the very basic elements of price – open, close, high, low, daily range, daily change – and attempted to analyse these phenomena statistically.

Latter I discuss my conclusions and possible ways in which they can be used in trading.

The study was undertaken using the EUR/USD pair, using daily data only.

Types of days

In total 2594 days were included.

Initially these were categorised into 3 classifications: up days, down days and unchanged days. The results are below:

Total up days = 1319

Total down days = 1260

Total unchanged days = 15

This leads to a percentage breakdown as follows:

Up days as a percentage of all days = 50.85%

Down days as a percentage of all days = 48.57%

Unchanged days as a percentage of all days = 0.58%

Sequences of days

Another phenomenon which was studied was sequences of the same type of day occurring uninterrupted in a row. Below is a list of the sequences for up days, the number of times they occurred in the sample and the total number of days in brackets.

2 in a row occurred 178 times (356 days)

3 in a row occurred 89 times (267 days)

4 in a row occurred 40 times (160 days)

5 in a row occurred 13 times (65 days)

6 in a row occurred 9 times (54 days)

7 in a row occurred 4 times (28 days)

8 in a row occurred 2 times (16 days)

9 in a row occurred 1 time (9 days). 

The table below compares clustering in the data to what might be expected from a random sample:

The first column shows the length of the sequences studied.

The second column shows the ‘Discrete Frequency’ of the clustering, which is the number of separate individual incidences of the sequence occurring.