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“This pattern causes intraday volatility to increase, despite the lack of volatility on a close-to-close basis.”
“After taking many trades trading like this, your results will likely not be much different than those who trade TPS on a close-to-close basis.”
“If you look at the historical test results using TPS, the open-to-open test results are a bit lower than the close-to-close.”
“Alone, EURUSD would offer a reading of extraordinary velocity in risk aversion with a consistent decline through the day and the biggest close-to-close decline in four weeks.”
“Note that standard historical volatility data are the result of a calculation involving close-to-close prices, specifically end of day prices.”
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