FX and finance
Checks on FX and finance numbers, with the procedure written out. 55 articles
[F055] Run One Rule on Five Clocks and Only the Direction and the Cost Agree
What this paper asks is what agrees and what does not when one and the same rule is run on five clocks. No new…
[F054] Bar Types Are Separated by Which of Three Rulers They Hold Constant
What this paper asks is how to decide which clock a given bar type is. No new mathematical theorem and no new…
[F053] A Volume Bar in Foreign Exchange Is Identically a Tick Bar
What this paper asks is whether a "volume bar" and a "tick bar" in foreign exchange are the same thing. No new…
[F052] The Three-Way Ichimoku Signal Does Nothing Beyond Cutting the Count
What this paper asks is what applying three conditions does beyond cutting the count. No new mathematical theo…
[F051] A Sweep's Cells Overlap, and Significance Still Piles Up as if They Were Independent
What this paper asks is how much the overlap between a sweep's cells lowers the chance that at least one comes…
[F050] The Fat Tails and Volatility Clustering of Minute Bars Are Half an Artefact of the Clock
What this paper asks is how much the shape of returns is made by what a bar was cut on. No new mathematical th…
[F049] Create Bars for the Empty Slots and the Values Stay Put While the Counts Move
What this paper asks is how much an indicator's answer changes when bars are, or are not, created for slots wi…
[F048] The Effective Count of a Diversified Book Is What Is Left After the Pair Correlations Cancel
What this paper asks is what actually sets the reduction in risk behind "split across several currency pairs a…
[F047] The "True Range" in ATR Is, Most of the Time, Just the Range
What this paper asks is how much including the previous close in ATR's "true range" actually does. No new math…
[F046] A Win Rate Layered by the Depth of the Pullback Belongs to What You Measured the Touch With
What this paper asks is how much the answer moves when the trades are held exactly the same and only the data…
[F045] An Exponential Moving Average Remembers Its Starting Value for Hundreds of Bars
What this paper asks is how long an exponential moving average remembers where it was started — and the answer…
[F044] The Longest Losing Streak Is Set by the Win Rate and the Count
What this paper asks is how many losses in a row count as abnormal — and the answer is that the guide is set b…
[F043] The "Volume" in Foreign Exchange Is Not a Restatement of the Move
What this paper asks is whether the "volume" in foreign exchange — the tick count — is merely a restatement of…
[F042] A One-Hour Timestamp Shift Manufactures a Prediction That Does Not Exist
What this paper asks is how much of a prediction that does not exist gets manufactured when one of two data so…
[F041] The Bias in a Minute-Rounded Record Belongs to Whether the Recorder Reacted
What this paper asks is which choice of reference changes the answer when a record kept only to the minute is…
[F040] A Renko Turning Point Is Not a Turning Point Until the Brick Completes
What this paper asks is how much the answer changes with when a renko turning point could have been known — an…
[F039] Self-Normalization Brings In the Window You Divided By
What this paper asks is what gets selected when a quantity is normalized by a recent statistic — and the answe…
[F038] The Look of an Equity Curve Belongs to the Lot Rule
What this paper asks is what changes and what does not when a different lot rule is applied to the same sequen…
[F037] Choosing a Stop Width as a Number Is Hindsight
What this paper asks is the difference between choosing a stop width as a number and setting it as a pre-decla…
[F036] The Out-of-Sample Answer Belongs to Where You Split It
What this paper asks is this: when someone writes "tested out of sample", what does that answer belong to — an…
[F035] Change the Grid and the Threshold Moves While the Shape Does Not
What this paper asks is this: when a threshold is written as a number, what does that number belong to — and t…
[F034] In a Short Window the Window Moves the Correlation; in a Long Window the Correlation Moves
What this paper asks is this: when someone says a correlation broke down, is it the correlation that broke or…
[F033] A Synthetic Random Walk Has No Volatility Clustering
What this paper asks is how far the baseline this series has been using is a valid control — and the answer is…
[F032] The Sharpe Ratio Belongs to the Interval You Measured It On
What this paper asks is whether the annualized Sharpe ratio depends on the interval it was measured on — and t…