By Sergei Belov, Ernest Chan, Nahid Jetha, and Akshay Nautiyal ABSTRACT We applied Corrective AI (Chan, 2022) to a trading model that takes advantage of the intraday seasonality of forex returns. Breedon and Ranaldo (2012) observed that foreign currencies depreciate vs. the US dollar during their local working hours and appreciate during the local working hours of the US dollar. We first backtested the results of Breedon and Ranaldo on recent EURUSD data from September 2021 to January 2023 and then applied Corrective AI to this trading strategy to achieve a significant increase in performance. Breedon and Ranaldo (2012) described a trading strategy that shorted EURUSD during European working hours (3 AM ET to 9 AM ET, where ET denotes the local time in New York, accounting for daylight savings) and bought EURUSD during US working hours (11 AM ET to 3 PM ET). The rationale is that large-scale institutional buying of the US dollar takes place during European working hours to pa
A reader (Hat tip: Ken) told me that my new book Algorithmic Trading: Winning Strategies and Their Rationale is now available for purchase at Amazon.com. The difference with my previous book? A lot more sample strategies with an emphasis on their "rationale", and more advanced techniques. It covers stocks, futures, and FX. A big thank-you to my editors, reviewers, and you, the reader, for your on-going support. And when you are done with it, please post a review on Amazon whether you like it or hate it! Also, I am now offering a live online course on Backtesting in June. It covers in excruciating details the various nuances of conducting a correct backtest and the numerous pitfalls one can encounter when backtesting different types of strategies and asset classes. For syllabus and registration details, please visit my website .