Currency · Global · CFDs, futures, swaps · Intraday · Global Free

Intraday Currency Seasonality

Academic paper

Currency Returns in Different Time Zones

AuthorsZhengyang Jiang

Institute

National Bureau of Economic Research
CAKellogg's (Canada)
?Kellogg School of Management - Department of Finance
?National Bureau of Economic Research (NBER)

Paper linkhttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=2613592

Strategy in a nutshell

This strategy trades EUR/USD daily, shorting during European hours and going long during U.S. hours, capturing intraday patterns and liquidity differences. A 1-pip spread is applied, and execution is consistent to exploit time-based market dynamics.

Economic rationale

Intraday FX patterns arise from exporter activity and time-zone segmentation. Financial intermediaries transfer currencies across sessions and demand a risk premium, causing systematic exchange rate fluctuations aligned with home market business hours.

Backtest performance

Annualised return9.07%

Volatility11.55%

Beta-0.015

Sharpe ratio0.79

Sortino ratio-1.295

Win rate36%

Full Python code

1from AlgorithmImports import *
2class IntradayCurrencySeasonality(QCAlgorithm):
3def Initialize(self):
4self.SetStartDate(2010, 1, 1)
5self.SetCash(100000)
6
7data = self.AddForex("EURUSD", Resolution.Minute, Market.FXCM)
8data.SetFeeModel(CustomFeeModel())
9self.symbol = data.Symbol
10def OnData(self, data):
11time = self.Time
12
13if time.hour == 3 and time.minute == 0:     # NY
14    self.SetHoldings(self.symbol,-1)
15if time.hour == 11 and time.minute == 0:    # NY
16    self.Liquidate(self.symbol)
17    self.SetHoldings(self.symbol,1)
18if time.hour == 17 and time.minute == 0:    # NY
19    self.Liquidate(self.symbol)
20# Custom fee model.
21class CustomFeeModel(FeeModel):
22def GetOrderFee(self, parameters):
23fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
24return OrderFee(CashAmount(fee, "USD"))