Osler's currency-order-flow work is the published mechanism: stop-loss orders
cluster just beyond recent swing extremes and cascade price; take-profits cluster
and reverse it. So the claim is not "a pattern repeats" but "there is a reservoir
of forced orders at a location computable in advance" - which is falsifiable in a
way chart patterns are not.
Tested as a COMPLETE trade rather than a signal with barriers bolted on: entry,
stop and target all come from one structure. Price takes out the N-bar extreme
MARGINALLY (<= over*ATR), closes back inside, enter the opposite way next open,
stop just beyond the sweep extreme (where the liquidity actually was), target a
multiple of that risk.
19 of 24 configs clear a family-wise max-statistic bar on EURUSD/USDJPY H1, all
in the predicted direction, z to +6.56. R=1 configs are negative and R=2/R=3 turn
positive, which is coherent: the edge is directional and a tight stop pays the
spread as a large fraction of risk, so it needs a big R to clear.
SPLIT-HALF then kills most of it, as it should:
EURUSD N=50 ov=0.5 R=3 +0.013 / +0.042 HOLDS
EURUSD N=20 ov=0.5 R=3 +0.014 / +0.034 HOLDS
every R=2 config one half negative
USDJPY one half negative
Surviving configs are STRONGER in the second half, the opposite of a mined
artifact decaying out of sample. But N=20 and N=50 overlap heavily and are not
independent, so this is one instrument and one R - a lead, not a system.
dukas.py: direct Dukascopy datafeed client. SQX mirrors through its own CDN
(CdnCache/CdnDownloadJob) so there is nothing reusable there. Dukascopy publishes
the raw feed - bi5, raw LZMA, 20-byte big-endian records, ZERO-BASED MONTH in the
URL (fails silently into the wrong month otherwise). Cached, resumable, bounded
concurrency.
Two corrections it forced, per the user: SQX conforms Dukascopy data to the5ers'
broker profile AND timestamps. Measured empirically, broker time = UTC+2 (EET),
clean minimum. So (1) previously reported "hours" are BROKER time - gold's hour 1
is 23:00 UTC, the daily rollover and COMEX Globex reopen, a real mechanism; and
(2) Dukascopy's raw 0.2-pip ECN spread must NOT be used for cost - the5ers' ~0.47
is what is actually paid, so the existing cost analysis was right and Dukascopy
would have made every result look falsely tradeable. Its value is the bid/ask
VOLUMES, which SQX lacks entirely - true signed flow instead of the event-count
proxy.
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
