Abstract
The exchange rate of a currency pair can be represented in a binary form. The binarization algorithm converts rates presented in tick data into an appropriate binary string. The basis for this algorithm is provided by an exchange rate discretization, in which each change in value equal to a given discretization unit is assigned a binary value, which corresponds to the direction of change. Statistical research performed by the author confirms dependencies of previous changes and future change of direction in binary representation of exchange rates. Thus, the binary representation can be applied in appointing the direction and scope of future changes, and consequently in the construction of HFT systems with positive rates of return. Wave analysis is one of the basic methods of technical analysis. The paper presents the application of wave analysis for binary representation. For this purpose, algorithms for wave detection are proposed, followed by the analysis of relevant wave parameters and their impact on the direction of future changes in the USD / PLN exchange rate. The binarization process and algorithm for appointing pairs is performed based on the author’s proprietary software written in the MQL4 and C++ language.
Highlights
The exchange rate of a currency pair can be represented in a binary form
The binarization algorithm converts rates presented in tick data into an appropriate binary string
The basis for this algorithm is provided by an exchange rate discretization, in which each change in value equal to a given discretization unit is assigned a binary value, which corresponds to the direction of change
Summary
The binarization algorithm converts rates presented in tick data into an appropriate binary string. The paper presents the application of wave analysis for binary representation For this purpose, algorithms for wave detection are proposed, followed by the analysis of relevant wave parameters and their impact on the direction of future changes in the USD / PLN exchange rate. Kurs USD/PLN w reprezentacji binarnej został poddany analizie statystycznej w celu zbadania istnienia możliwych zależności pomiędzy danymi historycznymi a aktualnymi zmianami ceny. Celem artykułu jest propozycja algorytmów detekcji fal pozwalających na jednoznaczną analizę charakteru występujących fal oraz wykazanie na przykładzie badanej pary walutowej istnienia zależności między parametrami fali a prawdopodobieństwem kierunku przyszłej zmiany kursu walutowego. W rozdziale trzecim opisano dwa algorytmy detekcji fal oraz na ich podstawie analizę badanej pary walutowej.
Sign-in/Register to view highlights & summary Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
