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FOREIGN EXCHANGE STATISTICS

FOREX TRADING
STATISTICS
15 FOREX CURRENCIES x 15 YEARS OF DAILY DATA

GEORGE M. PROTONOTARIOS
Foreign Exchange Statistics

“Forex Trading Statistics”
Information is Power
When Trading Forex
Forex Trading Statistics -Copyright © January 2015
George M. Protonotarios ©-All rights reserved worldwide
Distribution by Qexpert.com

www.Qexpert.com

FOREX TRADING STATISTICS
”15 FOREX CURRENCIES x 15 YEARS OF DAILY DATA”

- TABLE OF CONTENTS Introduction & Methodology............................................
1. EURUSD -European Currency against the United States Dollar........
2. GBPUSD -British Pound Sterling against the United States Dollar.....
3. USDJPY -United States Dollar against the Japanese Yen................
4. USDCHF -United States Dollar against the Swiss Franc..................
5. USDCAD -United States Dollar against the Canadian Dollar............
6. AUDUSD -Australian Dollar against the United States Dollar...........
7. NZDUSD -New Zealand Dollar against the United States Dollar.......
8. EURGBP -European Currency against the British Pound Sterling......
9. EURCHF -European Currency against the Swiss Franc...................
10. EURJPY -European Currency against the Japanese Yen.................
11. EURCAD -European Currency against the Canadian Dollar.............
12. EURAUD -European Currency against the Australian Dollar............
13. EURNZD -European Currency against the New Zealand Dollar........
14. GBPJPY -British Pound Sterling against the Japanese Yen..............
15. GBPCHF -British Pound Sterling against the Swiss Franc................

Forex Trading Statistics – George M. Protonotarios

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FOREX TRADING STATISTICS
Introduction –Information is Power when Trading Forex
Forex trading is a complicated financial game where winning or losing depends upon
three major parameters: (i) level of information, (ii) efficiency of the trading
strategy, and (iii) efficiency of the money management. This eBook aims to
strengthen the level of information of all online Forex traders.
Global currency rates fluctuate according to important fundamental changes
(macroeconomic, strategic, political, social and technological). The core of any
investment valuation is based on fundamental facts and figures. Statistics is in the
business of analyzing past price data and identifying potential price patterns. As
these price patterns were originally formed according to a particular row of
fundamental events and figures, we may argue that Fundamental Analysis and
Statistics form a unified area of researching and analyzing the behavior of global
financial markets.
After reading this eBook you will be able to realize that Forex currencies fluctuate by
following particular time patterns. The demand for Forex currencies tend to increase
or to decrease during particular calendar months. These months are usually end-ofquarter months, and especially December, as the year ends. Additionally, you will be
able to identify positive and negative correlations between Forex pairs that tend to
occur during certain calendar months.
Never forget that statistics is based on past data and that means it will never be able
to forecast the upcoming price action with certainty and accuracy. If you adore
certainty probably you are in the wrong business. Whenever unexpected
fundamental changes occur, statistics will prove useless in describing / forecasting
the price action. Statistics and technical analysis should be seen as a complementary
framework to fundamental analysis, and not as an independent framework of
analyzing and forecasting the price of any financial-traded asset.
This eBook is dedicated to all those living their life outside of the ‘box’. Make money
using it, but also use it with caution and with respect to your Trading Strategy and to
your Money Management System. Apply your money management with military
discipline and balance always your capital-leverage decisions. Capital leverage is an
enemy and a friend at the same time, choose sides wisely. Never forget risk because
making money starts from not losing money.
George M. Protonotarios, Athens, Hellas
Financial Analyst -Msc in “Int. Banking & Finance” Salford, UK
www.Qexpert.com
www.TradingCenter.org
www.Forex-Investors.com
Forex Trading Statistics – George M. Protonotarios

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METHODOLOGY

-PRESENTING TABLES & CHARTS(1) Data Framework
-This research is based on daily activity of 15 liquid Forex Currencies
-This research is based on 15 years of Foreign Exchange data (2000-2014)
-Data is extracted via the trading platform MetaTrader-4 (MetaQuotes)
(2) Foreign Currency Reserves
-The figures of Foreign Currency Reserves are in accordance with IMF (2014)
-BoE is presented to hold 10.135 million USD in Foreign Currency Reserves but the
UK Central Government holds 72.092 million USD in Foreign Currency Reserves
(3) Monthly Average Returns
-The monthly average returns have been calculated by averaging the returns of each
calendar month for the past 15 years (January 2000 to December 2014)
(4) Counting the Number of Positive / Negative Return Months
-On the right of each Monthly-Return Column you will be able to find the number of
positive / negative months presented into two separate columns
-For example, EURUSD during the month June (for the past 15 years) had shown 10
times positive and 5 times negative returns, therefore the two columns show 10↑|5↓
-In each and every table the sum of Positive-Return Months and Negative-Return
Months equals always 15
-For the visualization of the number of Positive / Negative months on all charts, the
following formula is applied:
◙ {(Number of Positive Months – Number of Negative Months) / Number of Months} / 100

(5) Average Daily Volumes
-The average daily volume is presented on the penultimate column of each table
-The daily volume is presented in Million USD
-The volume figures shouldn’t be considered as industry’s representatives as they are
extracted from individual Forex Brokers
-The volume figures are presented on this eBook solely as a comparison measure
between different calendar months
-The daily volume is averaged, as follows:
◙ Average Daily Volume = (Monthly Volume / Total Number of Trading Days per Month)
(6) Average Daily Volatility
-The average daily volatility is presented on the ultimate column of each table
-The average daily volatility is calculated based on daily data and then averaged for
each calendar month, as follows:
◙ Average Daily Volatility = {( Intraday High - Intraday Low ) / Intraday Low }

Forex Trading Statistics – George M. Protonotarios

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Chapter-1: EURUSD STATISTICS
The European Currency against the United States Dollar (€/$) –Nickname ‘Fiber’
CENTRAL BANK
FOREIGN CURRENCY RESERVES

ECB
51.373 Million USD

FED
41.901 Million USD

◙ Preface:
EURUSD is the most liquid currency pair worldwide. Almost all Forex brokers offer
EURUSD at their lowest available spreads (Bid/Ask) and that makes this pair ideal for
intraday trading and scalping. Furthermore, there are many Expert Advisors (EAs)
that trade exclusively EURUSD. Historically, EURUSD is trading in a general range
between €/$=0.80 and €/$=1.60. Based on historic data, there is a positive
correlation between EURUSD and GBPUSD while there is a negative correlation
between EURUSD and USDCHF.
◙ EURUSD Monthly Statistics:
12/31/1999: 1.0059
12/31/2014: 1.2097

These are the monthly average returns of EURUSD based on 15 years of daily data.
AVERAGE
AVERAGE
AVERAGE
CALENDAR
TIMES TIMES
MONTHLY
DAILY
DAILY
(↑)
(↓)
MONTH
RETURNS
VOLUME(*)
VOLATILITY
JANUARY
-0.91%
6
9
450,336
0.899%
FEBRUARY
-0.13%
8
7
438,216
0.847%
MARCH
0.26%
7
8
532,009
0.833%
APRIL
0.76%
8
7
455,763
0.802%
MAY
-0.64%
6
9
495,661
0.884%
JUNE
0.65%
10
5
460,597
0.847%
JULY
-0.04%
6
9
521,254
0.780%
AUGUST
-0.50%
8
7
327,875
0.777%
SEPTEMBER
0.63%
8
7
178,348
0.865%
OCTOBER
-0.55%
7
8
677,330
0.871%
NOVEMBER
0.48%
8
7
390,336
0.869%
DECEMBER
1.69%
9
6
394,708
0.786%
(*) Average Daily Volume in Million USD (presented only as a comparison measure)

◙ Best Months to Trade the EURUSD:
(↑)-LONG TRADES
According to data during 2000-2014 the best months to go long on EURUSD are:
→ DECEMBER, with positive average returns +1.69%
→ APRIL, with positive average returns +0.76%
→ JUNE, with positive average returns +0.65%
→ SEPTEMBER, with positive average returns +0.63%
Forex Trading Statistics – George M. Protonotarios

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(↓)-SHORT TRADES
According to 2000-2014 data the best months to go short on EURUSD are:
→ JANUARY, with negative average returns -0.91%
→ MAY, with negative average returns -0.64%
→ OCTOBER, with negative average returns -0.55%
→ AUGUST, with negative average returns -0.50%
◙ EURUSD Monthly Statistics Chart:
This is the EURUSD Monthly Performance Chart.
Chart: EURUSD Average Returns (%) per Calendar Month

Explanation:
-The Blue Line corresponds to the average EURUSD returns for each calendar month.
-The Green Line corresponds to the number of Bullish (↑) and Bearish (↓) calendar
months: For drawing the Green Line, the following formula was applied:
● {(Number of Bullish Months – Number of Bearish Months) / Total Number of Periods} / 100

◙ Best Intraday Times to Trade the EURUSD:
The best time to trade EURUSD is when London and New York are open
simultaneously. The overlap occurs between 13.00 GMT and 16.00 GMT or else 8.00
EST to 11 EST.
(Check the Forex Market Hours in the following graph)

Forex Trading Statistics – George M. Protonotarios

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Graph: Forex Markets Hours GMT (Eastern Time = GMT - 05:00)

◙ Most Volatile Days of the Week to Trade EURUSD
These are the most volatile days to trade EURUSD based on the average pip range of
each day of the week.
Monday
110 pips

Tuesday
140 pips

Wednesday
135 pips

Thursday
145 pips

Friday
140 pips

Chart: EURUSD Hourly Moves EST (Eastern Time = GMT - 05:00)

Source: Jamie Saettele, CMT

Forex Trading Statistics – George M. Protonotarios

7 / 52

◙ Forex Brokers and EURUSD Trading
These are some popular Forex Brokers and their Real Terms when Trading EURUSD.
Only ForexBroker Inc welcomes US traders (allows only traders from US and Japan).
EURUSD BROKER

EURUSD
SPREADS
EURUSD
SPREADS:

EXECUTION: STP / ECN
REGULATED BY:
FCA UK, CySEC, MiFID
US TRADERS: NO
FOUNDATION: 2007

EXECUTION: STP
REGULATED: MiFID (EU)
US TRADERS: YES
FOUNDATION: 2012

EXECUTION: STP Model
REGULATED: FSA UK,
CySEC, ASIC, MiFID

EURUSD
SWAPS

LEVERAGE:

LONG (↑) :

□ MetaTrader4

1:1000

WEB-SITE:

□ WebTrader

$50 Minimum
Deposit Amount

► Visit HotForex
Web-Site

$ -0.28
COMMISSIONS
SHORT (↓) :
: NO
OR CURRENEX: $ -0.10
-Spread at 0.4
pip +$6/lot
commissions

FOUNDATION: 2010

SCALPING: YES

WELCOME
Free VPS Server for BONUS:
deposits of more
40-100%
than $5,000

HOTFOREX

REVIEW:
► Review Fx
Broker

FX ASSETS: 43

US AND JAPAN ■ EURUSD:
ONLY
LONG (↑) :
EURUSD
$ -0.37
SPREADS:

PLATFORMS

LEVERAGE:

BROKER INC

□ MetaTrader4

1:500

WEB-SITE:

□ Sirix WebTrader

$10 Minimum
Deposit

► Visit Forex
Broker Inc. (Only
US and Japanese)

SHORT (↓) :

SCALPING: YES

COMMISSIONS
: NO

$ -0.36

FX ASSETS: 45

EURUSD
SPREADS:

■ EURUSD:

PLATFORMS

LEVERAGE:

LONG (↑) :

□ Web Trader

1:800

WEB-SITE:

□ Mirror-Trader

$50 minimum
deposit

► Visit XM WebSite

SCALPING: YES

WELCOME
BONUS:

REVIEW:

FX ASSETS: 60+

40-100%

PLATFORMS

LEVERAGE:

LONG (↑) :

□ MetaTrader4

1:300

WEB-SITE:

$ (N/A)

□ Sirix WebTrader

$100 Minimum
Deposit Amount

► Visit FXCC
Web-Site

WELCOME
BONUS:

REVIEW:

1.3 pip

$ -0.36
COMMISSIONS
SHORT (↓) :
: NO
$ -0.17

1.4 pip plus
commissions

WELCOME
BONUS:
100% (US ONLY)

1.8 pip

EURUSD
SPREADS:

US TRADERS: NO

INFORMATION

PLATFORMS

FOUNDATION: 2008

REGULATED: FCA UK

ACCOUNT

■ EURUSD:

1.4 pip

US TRADERS: NO

EXECUTION: ECN

TECHNOLOGY

SHORT (↓) :
COMMISSIONS
: 0.6 pips per lot $ (N/A)

□ MetaTrader4

SCALPING: YES
FX ASSETS: 60+

30-100%

REVIEW:
► Review Fx
Broker
XEMARKETS

► Review Fx
Broker
FXCC

► Review Fx
Broker

► Go to Central Index
Forex Trading Statistics – George M. Protonotarios

8 / 52

Chapter-2: GBPUSD STATISTICS
The British Pound Sterling against the United States Dollar (£/$) –Nickname Cable
CENTRAL BANK
FOREIGN CURRENCY RESERVES

BoE
10.135 Million USD

FED
41.901 Million USD

◙ Preface:
GBPUSD is one of the three most liquid pairs worldwide along with EURUSD and
USDJPY. Historically, GBPUSD shows positive correlation with EURUSD and negative
correlation with USDCHF.
Note: The Bank of England (BoE) holds only 10.135 million USD in Foreign Currency
Reserves but the UK Central Government holds 72.092 million USD in Foreign
Currency Reserves.
◙ GBPUSD Monthly Statistics:
12/31/1999: 1.6144
12/31/2014: 1.5571

These are the monthly average returns of GBPUSD based on 15 years of daily data.
AVERAGE
AVERAGE
AVERAGE
CALENDAR
TIMES TIMES
MONTHLY
DAILY
DAILY
MONTH
(↑)
(↓)
RETURNS
VOLUME(*)
VOLATILITY
JANUARY

-0.09%

6

8

279,107

0.824%

FEBRUARY

-0.87%

7

8

266,974

0.770%

MARCH

-0.26%

8

7

287,398

0.748%

APRIL

1.43%

13

2

266,291

0.684%

MAY

-0.56%

4

11

239,674

0.737%

JUNE

0.94%

10

5

216,017

0.767%

JULY

0.32%

7

8

296,667

0.695%

AUGUST

-0.95%

5

10

273,236

0.688%

SEPTEMBER

0.48%

9

6

179,929

0.761%

OCTOBER

-0.13%

8

7

240,637

0.804%

NOVEMBER

-0.47%

5

10

278,349

0.801%

DECEMBER

0.36%

6

9

241,708

0.748%

(*) Average Daily Volume in Million USD (presented as a comparison measure from month to month)

◙ Best Months to Trade the GBPUSD:
(↑)-LONG TRADES
According to data during 2000-2014 the best months to go long on GBPUSD are:
→ APRIL, with positive average returns +1.43%
→ JUNE, with positive average returns +0.94%
→ SEPTEMBER, with positive average returns +0.48%

Forex Trading Statistics – George M. Protonotarios

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