Analiza falowa kursu USD/PLN w reprezentacji binarnej
Binary representation of USD/PLN exchange rate: a wave analysis

Summary/Abstract: The exchange rate of a currency pair can be represented in a binary form. The binarization algorithm converts rates presented in tick data into an appropriate binary string. The basis for this algorithm is provided by an exchange rate discretization, in which each change in value equal to a given discretization unit is assigned a binary value, which corresponds to the direction of change. Statistical research performed by the author confirms dependencies of previous changes and future change of direction in binary representation of exchange rates. Thus, the binary representation can be applied in appointing the direction and scope of future changes, and consequently in the construction of HFT systems with positive rates of return. Wave analysis is one of the basic methods of technical analysis. The paper presents the application of wave analysis for binary representation. For this purpose, algorithms for wave detection are proposed, followed by the analysis of relevant wave parameters and their impact on the direction of future changes in the USD / PLN exchange rate. The binarization process and algorithm for appointing pairs is performed based on the author’s proprietary software written in the MQL4 and C++ language.

• Details
• Contents