Stats › Devises et matières premières › FX sessions
Currencies fall in their own trading hours and rise in the other side's
Sharpe ratio after transaction costs, hourly EBS interdealer data, January 1997 to early June 2007. EUR/USD is the only pair where either leg is profitable net of costs. Every other pair-session combination tested loses money once the spread is paid.
The euro weakens during European hours and strengthens during US hours, and the pattern holds across six pairs and two independent datasets. Only one of the six survives transaction costs, and no sample runs past 2007.
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