This paper presents the statistical results of the percentage of weekly price range of major currency pairs in different ratio of ATR. The statistical time use date from January 1, 2000 to December 31, 2018.The major currency pairs of statisticss are EURUSD,GBPUSD,XAUUSD,USDJPY,USDCAD, AUDUSD,NZDUSD,EURJPY,The weekly ATR interval is 20%.
Statistical Methods
- WeeklyRange = Price(WH) - Price(WL) (formula1)
- IF ( WeeklyRange < ratio × ATR(W1) ) THEN Count(ratio)++ (formula2)
- Percent(ratio) = Count(ratio) / TotalWeeks × 100% (formula3)
among them:
- WeeklyRange is weekly price range
- Price(WH) is the highest price of the week, Price(WL) is the lowest price of the week
- ratio is a multiplier of 20%, 40%, etc
- ATR(W1) is the ATR value of the week
- Count(ratio) is the total number of weeks in which WeeklyRange is less than ratio × ATR(W1). For example, when ratio=20%, it is counted that 100 weeks of WeeklyRange is less than 20% × ATR(W1), then Count(20%)=100
- Formula 2 means that when the WeeklyRange < ratio × ATR(W1) is counted to a certain week, the value of Count(ratio) is increased by 1.
- TotalWeeks is the total number of weeks in the statistical time range, from January 1, 2000 to December 31, 2018, approximately 990 weeks.
- Percent(ratio) is a percentage result, for example, ratio=20%, Count(20%)=100, TotalWeeks=990, then Percent(20%)=10.1%
Statistical Results
|
Weekly |
<20% |
<40% |
<60% |
<80% |
<100% |
<120% |
<140% |
<160% |
<180% |
<200% |
|
EURUSD |
0.00% |
0.00% |
7.87% |
31.66% |
59.35% |
76.81% |
89.17% |
95.61% |
98.26% |
98.98% |
|
GBPUSD |
0.00% |
0.20% |
6.74% |
30.95% |
60.16% |
78.14% |
89.07% |
94.99% |
97.55% |
98.88% |
|
XAUUSD |
0.00% |
0.35% |
9.04% |
36.35% |
62.06% |
78.72% |
87.77% |
93.44% |
96.10% |
97.87% |
|
USDJPY |
0.00% |
0.49% |
13.27% |
40.54% |
63.14% |
77.40% |
83.54% |
91.65% |
95.09% |
97.30% |
|
USDCAD |
0.00% |
0.74% |
8.60% |
33.42 % |
57.99% |
77.64% |
88.45% |
94.59% |
97.79% |
98.28% |
|
AUDUSD |
0.00% |
0.00% |
8.13% |
34.48% |
61.33% |
78.33% |
90.15% |
95.32% |
98.28% |
99.26% |
|
NZDUSD |
0.00% |
0.99% |
6.65% |
33.25% |
59.85% |
77.34% |
91.63% |
96.31% |
98.28% |
99.75% |
|
EURJPY |
0.00% |
0.77% |
10.71% |
34.69% |
63.01% |
78.06% |
87.76% |
93.37% |
97.19% |
98.72% |
Due to incomplete historical data of some currency pairs, the actual total number of weeks may be less than 990 weeks.
Statistical code
The statistical code is provided in the attachment. The steps for using the code are as follows:
- Open View -> Strategy Tester
- Select the Symbol, Use Date
- The Period should be selected as Daily, and the Model should be selected as Open prices only. This saves statistical time and has no effect on the statistical results.
- Start
- The statistics are exported to a txt file. The file path is "MT4_path\tester\files\Range_Statistics\Range_Statistics.txt". The path information of the output can also be viewed in the Strategy Tester -> Journal.
