Following on from my previous post I have completed the same tests as outlined in that post on other currencies and the summary results are:
- USD – an average of 0.38% return per trade
- EUR – an average of 0.22% return per trade
- GBP – an average of 0.77% return per trade
- CHF – an average of 2.05% return per trade
- JPY – an average of 0.18% return per trade
- AUD – an average of 1.01% return per trade
Since these seem to be profitable across the board I deem it is worthwhile to continue investigating some sort of news trading system. However, that said, there is a huge caveat regarding fills which has recently been pointed out by Terberh Strategy in a comment to the previous post, namely the withdrawal of liquidity immediately prior to these news releases. I am not yet sure how I can account for this in future testing, and it may be that this lack of liquidity could in fact make it almost impossible to accurately test any such system without making some consequential assumptions.
