This process is very important for every trader and should be done by everyone for all the underlyings they are going to use because it allows us to really know what we are dealing with and how to deal with it.
The Futures in question is the Canadian Dollar.
https://www.cmegroup.com/markets/fx/g10/canadian-dollar.contractSpecs.html
GENERAL SPECS
NATURE OF THE INSTRUMENT
To do this I use the codes written by me and I run them on the instrument with different Timeframes. It’s a simple stop and reverse code.
In total I have 4 methods to detect the nature of the breakout and 4 to detect the nature of the return to the mean. Whenever one of them produces a positive result I give a “+” sign to the nature type.
From the analyzes, the RETURN TO THE MEDIA is the PREDOMINANT result of nature. So in the future we will focus on strategies based on this nature.
VOLUME ANALYSIS
I first analyze the daily volumes via TradingView and Tradestation. I use a 200-period average on the volumes to calculate them.
Daily volumes..
Intraday volumes..
As you can see, the volumes are very high, this allows us to do both MultiDay and Intraday trading.
MONETARY EXCURSION
Having done this, I move on to the movement of the instrument on a monetary basis. This step is very important for future strategy writing and risk calculation. To do this I use a small indicator that I wrote that multiplies the range of the candle by its BigPointValue.
I have done this on several timeframes. Here are the results:
As I said earlier, these metrics are very important because they allow us to calculate the riskiness of the underlying and to use appropriate stoplosses for our strategies.
For example, we should not use a $ 200 stoploss for a strategy that has been in the market for multiple days on this instrument as it moves $ 570 daily.
RETURNS: INTRADAY, DAILY, WEEKLY AND MONTHLY
Now let’s move on to analyzing price behavior in relation to hours, weeks and months. To do this, I use some strategies written by me and then analyze the results through software or through some sites that offer these services.
Here are the behaviors that I was able to analyze for this futures…
Intraday:
This data is obtained from the analysis of long operations made at the opening of the candle and closed at the close. In this way with the extracted data and the interpretation we can obtain the trend of the futures during the day …
Weekly:
These data are obtained using a strategy with daily bars that enters at the opening of the candle in the long position and exits at the close of the same candle.
Day of the month:
CORRELATION
In this part we look at the correlations between the data. I used the data provided by my broker ( Tradestation ) and used a python script to interpret it.
Hourly data:
Daily data:
PERFORMANCE
This section shows the performance data in relation to the years.
Finished analysis! In the future, I intend to add more information and graphs to my analysis to provide you with further insights and advice. I hope it helps you to better develop your strategies!