Macro and foreign exchange
Currencies, rates, commodities and macroeconomic context can behave differently from stocks and digital assets. They may therefore provide distinct sources of return and information about portfolio risk.
- Research status
- Exploratory 1h FX research; no standalone strategy
- Research scope
- FX at 1 hour · daily context
Archived experiment
Question. Would a promising major-FX result survive later execution and higher transaction charges?
Evaluation. Four chronological folds over the effective hourly sample from 12 April 2022 to 31 December 2025. The comparator is the same selected exploratory rule at the baseline cost setting and earliest causal execution.
| Cost setting | Additional delay | Median fold Sharpe |
|---|---|---|
| 1 bp | None | 1.55 |
| 1 bp | 1 hourly observation | 1.31 |
| 1 bp | 2 hourly observations | 0.27 |
| 5 bp | None | 0.64 |
| 10 bp | None | −0.49 |
Decision. Keep as exploratory research. Two extra hourly observations materially weaken the result, and the 10 bp setting makes the median fold Sharpe negative. Cost and delay rows change one assumption at a time.
This is a selected historical result from a wider screen, not an independent confirmation. Delays count observations, including market closures between them. Seven major-pair hourly histories and separate daily macro context are available; no standalone FX paper series is published.
Research record
The redacted aggregate results retain the period, metric definitions, assumptions and decision. Signal formulas, parameters, rankings, holdings and raw data are excluded.