ForumSections

Discussing the article: "Estimate the Probability of Large-range Sessions (Part 1): Build and Check EURUSD Forecasts"

New comment

Check out the new article: Estimate the Probability of Large-range Sessions (Part 1): Build and Check EURUSD Forecasts.

We estimate the probability, at broker time 08:00, that EURUSD's 08:00–16:00 range exceeds 1.25 times the mean of the previous 20 complete, valid target ranges. A two-feature SPSS logistic regression model employs the completed 00:00–08:00 H1 window. Coefficients from 2020–2023 sessions are fixed for the 2024 holdout comparison against constant and 60-outcome rolling frequency baselines, using Brier scores and log losses. MQL5 scripts allow readers to extract broker data and recreate the probabilities in MetaTrader 5.

Suppose it were 8 a.m. What would your estimate be of the probability the EUR/USD pair trades a range over the next 8 hours that is significantly larger than the norm? Morning bars have stopped updating, so the highs and lows of the forthcoming bars are unknown. For example, can we say something about the range of the EUR/USD session, between 08:00 and 16:00, without knowing in which direction the session will move? H1 bars opening from 08:00 to 15:00 will be used for the analysis.

We need a way to define what we consider to be a large range. We can define large range sessions by finding the average range of the prior 20 complete and valid target windows, and increasing this value by 25%. If that average was 40 pips, we would say a large range would be anything over 50 pips.

This example shows how to fit a model in IBM SPSS Statistics and generate the model's 2024 probabilities in MetaTrader 5. The output probabilities are then compared to two historical frequency forecasts, and the average forecast loss for each of the three methods is calculated for the historical sample. The attached code allows you to conduct this type of analysis using your own EURUSD H1 data.

Author: Maxell Agustin Aguiran

New comment