Research Signals
Volume-derived signals from quantitative research (experimental)
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Signal History (last 4 hours)
Methodology
- Morning Volume Spike (Contrarian): High CME futures volume at 7-8am ET predicts spot reversal over the next 30 minutes. Strongest for EUR (-0.23 corr) and CAD (-0.24 corr). Based on 14 days of 5-min data.
- ZAR Delta Momentum (Continuation): Net buy/sell pressure in ZAR futures predicts spot continuation over 5-15 minutes (+0.13 corr at 5min, +0.06 at 15min). Reverses after 60 minutes. Unique among all pairs tested.
- Total Flow Surge (Risk-Flow Reversal): When aggregate CME FX volume spikes, spot tends to mean-revert — especially USDCAD (-0.07 corr). Interpretation: heavy hedging activity exhausts the move.
Signals trigger when the relevant z-score exceeds the threshold. Confidence is MODERATE at 1.5 z, HIGH at 2.0+. Morning hours (7-8am ET) boost confidence for contrarian signals. All correlations are from walk-forward analysis on out-of-sample data.
Data: ~14 days (EUR/JPY/CHF/CAD), ~8 days (MXP/ZAR/CNH). Re-validate as more data accumulates.