EURO/USD rate

Timing Solution Back Testing report provided by Ben Price

upgrade April 12, 2006

Click here to download the Excel spreadsheet for Back Testing report.

Any of the Back Tested solutions can by applied to any financial instrument with character/structure/movement similar to Back Tested instrument. For example, the Solution back tested for Dow Jones Industrial index can be applied to any security that is believed to be similar to Dow Jones Index (in other words, its changes coincide with DJ moves). The Solution will be adjusted to this chosen financial instrument, and the projection line generated by this Solution will provide the forecast for it. 

The following results were a taken from backtesting done on the EUR/USD spot rate. They are certainly not conclusive and are only a guide to what can be expected from different parameters. Given backtesting takes a very long time and all the possible combinations it is difficult to cover every possible scenario.

Here are some basic considerations I think are important for anyone interested in the results:
1) The RPO uses Close prices. In realtity FX spot rates don't have daily closes. My EOD data vendor cuts the data at 10pm GMT. In a different parts of the world a different data vendor may cut it at a different time. Therefore your close will be different and produce a different RPO. With such a short RPO I think this is important.
2) The data used starts at Feb 91. With a different data start date the results could be very different.
3) The testing process was organic and some of the increments are not standardised. This is because when I started I had no idea what scenario I was looking for. The testing needs to cover ground while investigating possible great scenarios. 

So there's plenty of gaps! Anyone interesting backtetsing and Euro trading is welcome to email me ( ben.price4@ntlworld.com ) to collaborate, dedicate some PC time and make this a more expansive test. Any suggestions are also very welcome.

Regards
Ben