I did another little experiment a few months back to prove a popular saying. Many say that the forex market see bigger price movements during stock markets opening and closing sessions, especially the London stock market opening session and the US stock market opening session. In fact, many of the forex trading strategies are touted to work better during the various stock markets opening and closing sessions.

What I did was to take the EUR/USD pair and apply the Average True Range (ATR) indicator. For the period between 28 Mar 08 to 4 Apr 08, I took down the timings when ATR exceeds 13 pips (See Excel spreadsheet Sheet 1). In Sheet 2, I try to find out during which timings did ATR exceeds 13 pips for at least 5 days and above, out of the 28 days in question.

The outcome is summarized in this spreadsheet. The EUR/USD market is the most active during 15:00 SGT to 17:00 SGT and 19:00 SGT to 23:00 SGT. SGT is GMT+8, for those who are interested. 15:00 SGT to 17:00 SGT concides with the London opening hour/Japan closing hour, while 19:00 SGT to 23:00 SGT covers the US opening hour and the London closing hour.

It appears that EUR/USD starts to show big movements as early as 19:00 SGT, when the US stock markets opens after 2 hours. However, this still doesn’t prove if the pair has the highest number of breakouts or highest tendency to be in a trend during this period.

Of course, the data will be more convincing if the experiment is conducted for a longer period. Well, you get what I am at. Some food for thought…

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