As I think it should be better called: Day extreme Statistic
I think there is a bit of a problem with calling days based on Oanda days, for 00:00 EST days. With an FX mindset, it’s problematic to call the end of a day arbitrary. It’s worst that 00:00 happens to be in the middle of the Asian session. If each session really did have it’s own wave, then that is definitely an issue. I’ve always preferred to consider day starts and ends at the beginning of the London session because that’s when the volatility ramps up, but that’s also in the middle of the Asian session which is low volatility, but not totally dead. What’s totally dead? The gap time between the end of NY and the beginning of Asian. So I called 20:00 EST (Asian open) the start of the day. Then I re-ran the statistics. What time do the Extremes occur?
Statistics don’t lie? The data is still presented in EST. It appears Asian open is actually the extreme of the day more so than any other time. Other numbers make some sense. Late Asian-Pre London Open sometimes presents an extreme, The hour before and after NY Open tends to be a good place for extremes, and extremes tend to drop off after London Close. Nice! The major problem however is that the statistics are much more flat. Nothing stands over 10%. When statistics are run London to London, things are much different. Peaks appear much more easily, and are much more pronounced: