A Comparison of the MIDAS S/R Curves Using Cash FX Intraday Tick Data and Intraday Futures Volume Data

The test is conducted on a five-minute chart of EUR/USD and its counterpart in the futures markets, the CME Globex Euro FX futures December 2009 contract.

For the purpose of the test, cash FX data from eSignal have been used, which are in turn sourced from GTIS FOREX. The feed from the latter is derived from 150-plus contributors, so it is representative of a fairly broad base of trading. This will still not satisfy many cash FX traders because, returning to Elder's distinctions, three objections are frequently leveled against tick data. The first is that tick volume can imply that a large number of price fluctuations equates with big volume; ...

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