Applying Corrective AI to Daily Seasonal Forex Trading
Ernie Chan (noreply@blogger.com)
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 t