{ "schema": "2.0", "document": { "schema": "2.0", "key": "quant-research", "locale": "en", "path": "/quant/research", "url": "https://oxarus.com/en/quant/research", "alternates": { "tr": "https://oxarus.com/tr/quant/research", "en": "https://oxarus.com/en/quant/research" }, "unit": "quant", "status": "live", "parent": "quant", "order": 14, "label": "Research", "title": "Forex market structure research · Oxarus Quant", "description": "Studies on support and resistance levels, weekend gaps and how price behaves at levels, built on millions of minutes of data.", "breadcrumbs": [ { "label": "Oxarus home", "path": "/", "url": "https://oxarus.com/en" }, { "label": "Oxarus Quant", "path": "/quant", "url": "https://oxarus.com/en/quant" }, { "label": "Research", "path": "/quant/research", "url": "https://oxarus.com/en/quant/research" } ], "sections": [ { "id": "hero", "url": "https://oxarus.com/en/quant/research", "kind": "hero", "component": "ResearchHero", "sources": [ "messages:quantResearch.hero" ], "eyebrow": "QUANT · RESEARCH", "title": "we measure first.", "lead": "We test widely held but rarely measured market ideas against data: seven years of minute prices, a matched control group for every idea and a repeat on a second pair. We publish the ideas that don't hold up, too.", "demo": true, "placeholder": false, "blocks": [ { "type": "actions", "items": [ { "label": "Institutional research", "action": "open_page", "args": { "path": "/quant/research", "anchor": "cta-heading" }, "href": "/en/quant/research#cta-heading", "source": "messages:quantResearch.hero.primary" }, { "label": "Findings", "action": "open_page", "args": { "path": "/quant/research", "anchor": "studies" }, "href": "/en/quant/research#studies", "source": "messages:quantResearch.hero.secondary" } ], "source": "messages:quantResearch.hero.primary" }, { "type": "list", "style": "bullet", "items": [ "Minute data, 2020–2026", "A matched control group in every test", "Replicated on EURUSD and GBPUSD" ], "source": "messages:quantResearch.hero.checks" }, { "type": "list", "style": "ordered", "items": [ "Level", "Control", "Result" ], "source": "messages:quantResearch.hero.steps" }, { "type": "demo", "representative": true, "caption": "Representative chart. Findings are for research purposes only and are not investment advice.", "blocks": [ { "type": "group", "key": "demo", "blocks": [ { "type": "definitions", "items": [ { "label": "file", "value": "level_study.ipynb", "source": "messages:quantResearch.hero.demo.file" }, { "label": "dataset", "value": "EURUSD · M1 · 2020–2026 · 40,658 touches", "source": "messages:quantResearch.hero.demo.dataset" }, { "label": "tag", "value": "Representative chart", "source": "messages:quantResearch.hero.demo.tag" } ], "source": "messages:quantResearch.hero.demo.file" }, { "type": "list", "style": "tags", "items": [ "Count touches", "Build control lines", "Compare rates" ], "source": "messages:quantResearch.hero.demo.tabs" }, { "type": "definitions", "items": [ { "label": "done", "value": "done", "source": "messages:quantResearch.hero.demo.done" }, { "label": "level", "value": "Previous day high (PDH)", "source": "messages:quantResearch.hero.demo.level" }, { "label": "band", "value": "band = 0.05 × ATR", "source": "messages:quantResearch.hero.demo.band" }, { "label": "levelTag", "value": "PDH", "source": "messages:quantResearch.hero.demo.levelTag" } ], "source": "messages:quantResearch.hero.demo.done" }, { "type": "group", "key": "control", "title": "Matched control", "blocks": [ { "type": "definitions", "items": [ { "label": "tag", "value": "ctl", "source": "messages:quantResearch.hero.demo.controlTag" } ], "source": "messages:quantResearch.hero.demo.controlTag" }, { "type": "definitions", "items": [ { "label": "body", "value": "For every real level, a line at the same distance that means nothing. Taken from another day's real offset, shifted by 7 days.", "source": "messages:quantResearch.hero.demo.controlBody" } ], "source": "messages:quantResearch.hero.demo.controlBody" }, { "type": "definitions", "items": [ { "label": "Real level", "value": "9–25 / day", "source": "messages:quantResearch.hero.demo.controlStats.0" }, { "label": "Control line", "value": "~25 / day", "source": "messages:quantResearch.hero.demo.controlStats.1" }, { "label": "Distance distribution", "value": "identical", "source": "messages:quantResearch.hero.demo.controlStats.2" } ], "source": "messages:quantResearch.hero.demo.controlStats" } ], "source": "messages:quantResearch.hero.demo.control" }, { "type": "cards", "title": "Three touches on one level", "items": [ { "id": "0", "source": "messages:quantResearch.hero.demo.touches.0", "fields": [ { "label": "n", "value": "#1", "source": "messages:quantResearch.hero.demo.touches.0.n" }, { "label": "minutes", "value": "4", "source": "messages:quantResearch.hero.demo.touches.0.minutes" }, { "label": "dwell", "value": "4 min", "source": "messages:quantResearch.hero.demo.touches.0.dwell" }, { "label": "out", "value": "REJECT", "source": "messages:quantResearch.hero.demo.touches.0.out" } ] }, { "id": "1", "source": "messages:quantResearch.hero.demo.touches.1", "fields": [ { "label": "n", "value": "#2", "source": "messages:quantResearch.hero.demo.touches.1.n" }, { "label": "minutes", "value": "9", "source": "messages:quantResearch.hero.demo.touches.1.minutes" }, { "label": "dwell", "value": "9 min", "source": "messages:quantResearch.hero.demo.touches.1.dwell" }, { "label": "out", "value": "REJECT", "source": "messages:quantResearch.hero.demo.touches.1.out" } ] }, { "id": "2", "source": "messages:quantResearch.hero.demo.touches.2", "fields": [ { "label": "n", "value": "#3", "source": "messages:quantResearch.hero.demo.touches.2.n" }, { "label": "minutes", "value": "31", "source": "messages:quantResearch.hero.demo.touches.2.minutes" }, { "label": "dwell", "value": "31 min", "source": "messages:quantResearch.hero.demo.touches.2.dwell" }, { "label": "out", "value": "BREAK", "source": "messages:quantResearch.hero.demo.touches.2.out" } ] } ], "source": "messages:quantResearch.hero.demo.touches" }, { "type": "callout", "tone": "note", "text": [ "The touch that stayed longest in the band broke the level. One representative day; the rates are in the third cell." ], "source": "messages:quantResearch.hero.demo.touchesNote" }, { "type": "definitions", "items": [ { "label": "resultTitle", "value": "Break rate · by level family", "source": "messages:quantResearch.hero.demo.resultTitle" } ], "source": "messages:quantResearch.hero.demo.resultTitle" }, { "type": "table", "columns": [], "rows": [ [ "PIVOT", "41", "40" ], [ "PDHLC", "41", "40" ], [ "ROUND", "41", "40" ], [ "SWING", "41", "40" ], [ "FIB", "39", "39" ] ], "source": "messages:quantResearch.hero.demo.families" }, { "type": "list", "title": "Same result every year", "style": "bullet", "items": [ "2020", "2021", "2022", "2023", "2024", "2025", "2026" ], "source": "messages:quantResearch.hero.demo.years" }, { "type": "definitions", "items": [ { "label": "verdict", "value": "No difference: a level's name doesn't change the odds of a break.", "source": "messages:quantResearch.hero.demo.verdict" } ], "source": "messages:quantResearch.hero.demo.verdict" }, { "type": "callout", "tone": "note", "text": [ "Representative chart; rates are from the published study." ], "source": "messages:quantResearch.hero.demo.caption" } ], "source": "messages:quantResearch.hero.demo" } ], "source": "messages:quantResearch.hero.demo" } ] }, { "id": "studies", "anchor": "studies", "url": "https://oxarus.com/en/quant/research#studies", "kind": "features", "component": "StudyShelf", "sources": [ "messages:quantResearch.studies" ], "eyebrow": "STUDIES", "title": "two published studies.", "lead": "Each study states its sample, period and control method. Pick a finding to bring its panel forward in the figure.", "demo": false, "placeholder": false, "blocks": [ { "type": "callout", "tone": "note", "text": [ "From the published study. For research purposes only, not investment advice." ], "source": "messages:quantResearch.studies.note" }, { "type": "cards", "items": [ { "id": "levels", "source": "messages:quantResearch.studies.items.0", "title": "Do levels really hold?", "meta": [ "EURUSD and GBPUSD · 2020–2026" ], "text": [ "At pivots, previous-day levels, round numbers, swing and Fibonacci levels, we checked whether price broke through, and compared the results with meaningless control lines that share the same distance distribution." ], "fields": [ { "label": "sample", "value": "83,527", "source": "messages:quantResearch.studies.items.0.sample" }, { "label": "sample unit", "value": "touches", "source": "messages:quantResearch.studies.items.0.sampleUnit" } ], "blocks": [ { "type": "definitions", "title": "STUDY FACTS", "items": [ { "label": "Sample", "value": "83,527 touches", "source": "messages:quantResearch.studies.items.0.facts.0" }, { "label": "Period", "value": "2020–2026", "source": "messages:quantResearch.studies.items.0.facts.1" }, { "label": "Pairs", "value": "EURUSD · GBPUSD", "source": "messages:quantResearch.studies.items.0.facts.2" }, { "label": "Resolution", "value": "M1 (minute bars)", "source": "messages:quantResearch.studies.items.0.facts.3" }, { "label": "Control", "value": "Distance-matched lines", "source": "messages:quantResearch.studies.items.0.facts.4" }, { "label": "Replication", "value": "Replicated on GBPUSD", "source": "messages:quantResearch.studies.items.0.facts.5" } ], "source": "messages:quantResearch.studies.items.0.facts" }, { "type": "list", "title": "FINDINGS", "style": "bullet", "items": [ "Every level family broke about 41% of the time; matched control lines, 40%. The same held in each of the seven years.", "Which touch it was made no difference: from the 1st touch to the 5th, 41%, 40%, 39%, 42%, 44%.", "The only thing that changed the outcome was how long price stayed near the level on that touch. The same result replicated point for point on GBPUSD." ], "source": "messages:quantResearch.studies.items.0.findings" }, { "type": "list", "style": "bullet", "items": [ "Break rate by level family", "Break rate by touch number", "Break probability by time in the band" ], "source": "messages:quantResearch.studies.items.0.panels" }, { "type": "cards", "items": [ { "id": "link", "source": "messages:quantResearch.studies.items.0.link", "title": "Go to the dwell-time chart", "links": [ { "label": "Go to the dwell-time chart", "href": "#dwell", "source": "messages:quantResearch.studies.items.0.link.href" } ] } ], "source": "messages:quantResearch.studies.items.0.link" } ] }, { "id": "gaps", "source": "messages:quantResearch.studies.items.1", "title": "Do weekend gaps close?", "meta": [ "EURUSD · weekend and holiday breaks" ], "text": [ "We measured when the Monday opening gap made it back to Friday's close, and how far price traveled before it did." ], "fields": [ { "label": "sample", "value": "345", "source": "messages:quantResearch.studies.items.1.sample" }, { "label": "sample unit", "value": "breaks", "source": "messages:quantResearch.studies.items.1.sampleUnit" } ], "blocks": [ { "type": "definitions", "title": "STUDY FACTS", "items": [ { "label": "Sample", "value": "345 breaks", "source": "messages:quantResearch.studies.items.1.facts.0" }, { "label": "Period", "value": "2020–2026", "source": "messages:quantResearch.studies.items.1.facts.1" }, { "label": "Pair", "value": "EURUSD", "source": "messages:quantResearch.studies.items.1.facts.2" }, { "label": "Resolution", "value": "M1 (minute bars)", "source": "messages:quantResearch.studies.items.1.facts.3" }, { "label": "Reference", "value": "Friday close", "source": "messages:quantResearch.studies.items.1.facts.4" }, { "label": "Horizon", "value": "60 days", "source": "messages:quantResearch.studies.items.1.facts.5" } ], "source": "messages:quantResearch.studies.items.1.facts" }, { "type": "list", "title": "FINDINGS", "style": "bullet", "items": [ "65% of gaps closed during the opening session; among those, the median time to close was 11 minutes.", "95% closed within five trading days, and 98% within sixty days.", "The small tail that never closed lined up exactly with geopolitical shock days. For gaps larger than 5 pips, the median excursion before closing was 21 pips, and 120 pips in the worst decile." ], "source": "messages:quantResearch.studies.items.1.findings" }, { "type": "list", "style": "bullet", "items": [ "Closed in the opening session", "Share closed over time", "Excursion before the close" ], "source": "messages:quantResearch.studies.items.1.panels" }, { "type": "cards", "items": [ { "id": "link", "source": "messages:quantResearch.studies.items.1.link", "title": "Go to the gap chart", "links": [ { "label": "Go to the gap chart", "href": "#gaps", "source": "messages:quantResearch.studies.items.1.link.href" } ] } ], "source": "messages:quantResearch.studies.items.1.link" } ] } ], "source": "messages:quantResearch.studies.items" }, { "type": "group", "key": "figures", "blocks": [ { "type": "group", "key": "levels", "blocks": [ { "type": "table", "columns": [], "rows": [ [ "PIVOT", "41", "40" ], [ "PDHLC", "41", "40" ], [ "ROUND", "41", "40" ], [ "SWING", "41", "40" ], [ "FIB", "39", "39" ] ], "source": "messages:quantResearch.studies.figures.levels.families" }, { "type": "definitions", "items": [ { "label": "matched control", "value": "40", "source": "messages:quantResearch.studies.figures.levels.control" } ], "source": "messages:quantResearch.studies.figures.levels.control" }, { "type": "list", "title": "touch number", "style": "tags", "items": [ "41", "40", "39", "42", "44" ], "source": "messages:quantResearch.studies.figures.levels.touchRates" }, { "type": "list", "style": "bullet", "items": [ "20", "21", "22", "23", "24", "25", "26" ], "source": "messages:quantResearch.studies.figures.levels.years" }, { "type": "group", "key": "dwell", "blocks": [ { "type": "list", "title": "stops", "style": "tags", "items": [ "0", "10", "30", "60" ], "source": "messages:quantResearch.studies.figures.levels.dwell.stops" }, { "type": "list", "title": "eurusd", "style": "tags", "items": [ "41", "51", "55", "56" ], "source": "messages:quantResearch.studies.figures.levels.dwell.eurusd" }, { "type": "list", "title": "gbpusd", "style": "tags", "items": [ "40", "–", "54", "–" ], "source": "messages:quantResearch.studies.figures.levels.dwell.gbpusd" } ], "source": "messages:quantResearch.studies.figures.levels.dwell" } ], "source": "messages:quantResearch.studies.figures.levels" }, { "type": "group", "key": "gaps", "blocks": [ { "type": "group", "key": "session", "blocks": [ { "type": "definitions", "items": [ { "label": "all", "value": "65", "source": "messages:quantResearch.studies.figures.gaps.session.all" }, { "label": "big", "value": "10", "source": "messages:quantResearch.studies.figures.gaps.session.big" }, { "label": "median time to close", "value": "11 min", "source": "messages:quantResearch.studies.figures.gaps.session.median" } ], "source": "messages:quantResearch.studies.figures.gaps.session.all" } ], "source": "messages:quantResearch.studies.figures.gaps.session" }, { "type": "cards", "items": [ { "id": "0", "source": "messages:quantResearch.studies.figures.gaps.curve.0", "title": "open", "fields": [ { "label": "all", "value": "0", "source": "messages:quantResearch.studies.figures.gaps.curve.0.all" }, { "label": "big", "value": "0", "source": "messages:quantResearch.studies.figures.gaps.curve.0.big" } ] }, { "id": "1", "source": "messages:quantResearch.studies.figures.gaps.curve.1", "title": "session", "fields": [ { "label": "all", "value": "65", "source": "messages:quantResearch.studies.figures.gaps.curve.1.all" }, { "label": "big", "value": "10", "source": "messages:quantResearch.studies.figures.gaps.curve.1.big" } ] }, { "id": "2", "source": "messages:quantResearch.studies.figures.gaps.curve.2", "title": "5 days", "fields": [ { "label": "all", "value": "95", "source": "messages:quantResearch.studies.figures.gaps.curve.2.all" }, { "label": "big", "value": "85", "source": "messages:quantResearch.studies.figures.gaps.curve.2.big" } ] }, { "id": "3", "source": "messages:quantResearch.studies.figures.gaps.curve.3", "title": "60 days", "fields": [ { "label": "all", "value": "98", "source": "messages:quantResearch.studies.figures.gaps.curve.3.all" } ] } ], "source": "messages:quantResearch.studies.figures.gaps.curve" }, { "type": "definitions", "items": [ { "label": "p50", "value": "21", "source": "messages:quantResearch.studies.figures.gaps.excursion.0" }, { "label": "p90", "value": "120", "source": "messages:quantResearch.studies.figures.gaps.excursion.1" }, { "label": "max", "value": "470", "source": "messages:quantResearch.studies.figures.gaps.excursion.2" }, { "label": "still open after 60 days", "value": "2", "source": "messages:quantResearch.studies.figures.gaps.unfilled" } ], "source": "messages:quantResearch.studies.figures.gaps.excursion" } ], "source": "messages:quantResearch.studies.figures.gaps" } ], "source": "messages:quantResearch.studies.figures" }, { "type": "labels", "items": [ { "label": "paperLabel", "value": "Research note", "source": "messages:quantResearch.studies.paperLabel" }, { "label": "publishedLabel", "value": "Published", "source": "messages:quantResearch.studies.publishedLabel" }, { "label": "figureLabel", "value": "Figure {n}", "source": "messages:quantResearch.studies.figureLabel" }, { "label": "level", "value": "level", "source": "messages:quantResearch.studies.labels.level" }, { "label": "sameEveryYear", "value": "2020–2026: same every year", "source": "messages:quantResearch.studies.labels.sameEveryYear" }, { "label": "lift", "value": "{value} pts", "source": "messages:quantResearch.studies.labels.lift" }, { "label": "minuteUnit", "value": "min", "source": "messages:quantResearch.studies.labels.minuteUnit" }, { "label": "pipsUnit", "value": "pips", "source": "messages:quantResearch.studies.labels.pipsUnit" }, { "label": "allGaps", "value": "all gaps", "source": "messages:quantResearch.studies.labels.allGaps" }, { "label": "bigGaps", "value": "over 20 pips", "source": "messages:quantResearch.studies.labels.bigGaps" }, { "label": "logScale", "value": "log scale", "source": "messages:quantResearch.studies.labels.logScale" } ], "source": "messages:quantResearch.studies" } ] }, { "id": "dwell", "anchor": "dwell-heading", "url": "https://oxarus.com/en/quant/research#dwell-heading", "kind": "content", "component": "DwellExplorer", "sources": [ "messages:quantResearch.dwell" ], "eyebrow": "TIME AT THE LEVEL", "title": "how long at the level?", "lead": "The longer price stays in a level's band, the more likely it is to break the level, until the effect levels off. Pick a duration; the chart and the ranges update together.", "demo": false, "placeholder": false, "blocks": [ { "type": "definitions", "items": [ { "label": "stop option", "value": "≥{minutes} min", "source": "messages:quantResearch.dwell.stopOption" }, { "label": "replication", "value": "GBPUSD replication", "source": "messages:quantResearch.dwell.replication" }, { "label": "probability", "value": "break probability", "source": "messages:quantResearch.dwell.probability" }, { "label": "base", "value": "base", "source": "messages:quantResearch.dwell.base" }, { "label": "lift", "value": "vs base", "source": "messages:quantResearch.dwell.lift" }, { "label": "lift unit", "value": "pts", "source": "messages:quantResearch.dwell.liftUnit" }, { "label": "not measured", "value": "not measured", "source": "messages:quantResearch.dwell.notMeasured" }, { "label": "pair eur", "value": "EURUSD", "source": "messages:quantResearch.dwell.pairEur" }, { "label": "pair gbp", "value": "GBPUSD", "source": "messages:quantResearch.dwell.pairGbp" } ], "source": "messages:quantResearch.dwell.stopOption" }, { "type": "callout", "tone": "note", "text": [ "Break probability by time spent in the level band. A research finding, not a trade recommendation." ], "source": "messages:quantResearch.dwell.caption" }, { "type": "heading", "text": "By session: base → 30 minutes", "level": 4, "source": "messages:quantResearch.dwell.sessionsTitle" }, { "type": "heading", "text": "Time in the band", "level": 4, "source": "messages:quantResearch.dwell.dwellTitle" }, { "type": "definitions", "items": [ { "label": "rejects", "value": "Rejections", "source": "messages:quantResearch.dwell.rejects" }, { "label": "breaks", "value": "Breaks", "source": "messages:quantResearch.dwell.breaks" }, { "label": "median", "value": "median", "source": "messages:quantResearch.dwell.median" }, { "label": "selected", "value": "selected", "source": "messages:quantResearch.dwell.selected" } ], "source": "messages:quantResearch.dwell.rejects" }, { "type": "group", "key": "band", "title": "Robustness to band width", "blocks": [ { "type": "paragraph", "text": "With the band varied between 0.03 and 0.08 × ATR, the 30-minute lift stayed between +12 and +14 points.", "source": "messages:quantResearch.dwell.bandBody" } ], "source": "messages:quantResearch.dwell.band" }, { "type": "definitions", "items": [ { "label": "plateau", "value": "plateau", "source": "messages:quantResearch.dwell.plateau" } ], "source": "messages:quantResearch.dwell.plateau" }, { "type": "group", "key": "figures", "blocks": [ { "type": "definitions", "items": [ { "label": "dataset", "value": "EURUSD · GBPUSD · M1 · 2020–2026 · n=83,527", "source": "messages:quantResearch.dwell.figures.dataset" } ], "source": "messages:quantResearch.dwell.figures.dataset" }, { "type": "list", "title": "Time already in the band", "style": "tags", "items": [ "0", "10", "30", "60" ], "source": "messages:quantResearch.dwell.figures.stops" }, { "type": "list", "title": "eurusd", "style": "tags", "items": [ "41", "51", "55", "56" ], "source": "messages:quantResearch.dwell.figures.eurusd" }, { "type": "list", "title": "gbpusd", "style": "tags", "items": [ "40", "–", "54", "–" ], "source": "messages:quantResearch.dwell.figures.gbpusd" }, { "type": "definitions", "items": [ { "label": "control", "value": "40", "source": "messages:quantResearch.dwell.figures.control" }, { "label": "control short", "value": "control", "source": "messages:quantResearch.dwell.figures.controlShort" } ], "source": "messages:quantResearch.dwell.figures.control" }, { "type": "list", "title": "plateau", "style": "tags", "items": [ "56", "57" ], "source": "messages:quantResearch.dwell.figures.plateau" }, { "type": "definitions", "items": [ { "label": "minute unit", "value": "min", "source": "messages:quantResearch.dwell.figures.minuteUnit" }, { "label": "break query", "value": "P(break | dwell ≥ {minutes} min)", "source": "messages:quantResearch.dwell.figures.breakQuery" }, { "label": "chart sample", "value": "EURUSD n=40,658 · GBPUSD n=42,869", "source": "messages:quantResearch.dwell.figures.chartSample" } ], "source": "messages:quantResearch.dwell.figures.minuteUnit" }, { "type": "cards", "title": "By session: base → 30 minutes", "items": [ { "id": "0", "source": "messages:quantResearch.dwell.figures.sessions.0", "title": "ASIA", "fields": [ { "label": "base", "value": "43", "source": "messages:quantResearch.dwell.figures.sessions.0.base" }, { "label": "at30", "value": "55", "source": "messages:quantResearch.dwell.figures.sessions.0.at30" } ] }, { "id": "1", "source": "messages:quantResearch.dwell.figures.sessions.1", "title": "LDN", "fields": [ { "label": "base", "value": "40", "source": "messages:quantResearch.dwell.figures.sessions.1.base" }, { "label": "at30", "value": "56", "source": "messages:quantResearch.dwell.figures.sessions.1.at30" } ] }, { "id": "2", "source": "messages:quantResearch.dwell.figures.sessions.2", "title": "NY", "fields": [ { "label": "base", "value": "40", "source": "messages:quantResearch.dwell.figures.sessions.2.base" }, { "label": "at30", "value": "55", "source": "messages:quantResearch.dwell.figures.sessions.2.at30" } ] } ], "source": "messages:quantResearch.dwell.figures.sessions" }, { "type": "definitions", "items": [ { "label": "By session: base → 30 minutes", "value": "30 min", "source": "messages:quantResearch.dwell.figures.sessionsSample" } ], "source": "messages:quantResearch.dwell.figures.sessionsSample" }, { "type": "group", "key": "ranges", "blocks": [ { "type": "list", "title": "rejects", "style": "tags", "items": [ "9", "10" ], "source": "messages:quantResearch.dwell.figures.ranges.rejects" }, { "type": "list", "title": "breaks", "style": "tags", "items": [ "28", "31" ], "source": "messages:quantResearch.dwell.figures.ranges.breaks" } ], "source": "messages:quantResearch.dwell.figures.ranges" }, { "type": "list", "style": "bullet", "items": [ "0.03", "0.05", "0.08" ], "source": "messages:quantResearch.dwell.figures.bands" }, { "type": "definitions", "items": [ { "label": "Robustness to band width", "value": "× ATR", "source": "messages:quantResearch.dwell.figures.bandUnit" } ], "source": "messages:quantResearch.dwell.figures.bandUnit" }, { "type": "list", "title": "Robustness to band width", "style": "tags", "items": [ "12", "14" ], "source": "messages:quantResearch.dwell.figures.bandLift" }, { "type": "definitions", "items": [ { "label": "Robustness to band width", "value": "30 min", "source": "messages:quantResearch.dwell.figures.bandSample" } ], "source": "messages:quantResearch.dwell.figures.bandSample" } ], "source": "messages:quantResearch.dwell.figures" } ] }, { "id": "gaps", "anchor": "gaps-heading", "url": "https://oxarus.com/en/quant/research#gaps-heading", "kind": "content", "component": "GapExplorer", "sources": [ "messages:quantResearch.gapchart" ], "eyebrow": "WEEKEND GAPS", "title": "when do they close?", "lead": "Across 345 weekend and holiday breaks, how long the opening gap took to get back to Friday's close. Pick a horizon.", "demo": false, "placeholder": false, "blocks": [ { "type": "cards", "title": "Horizon", "items": [ { "id": "session", "source": "messages:quantResearch.gapchart.horizonOptions.0", "title": "Session" }, { "id": "week", "source": "messages:quantResearch.gapchart.horizonOptions.1", "title": "5 days" }, { "id": "twoMonths", "source": "messages:quantResearch.gapchart.horizonOptions.2", "title": "60 days" } ], "source": "messages:quantResearch.gapchart.horizonOptions" }, { "type": "paragraph", "text": "The remaining 2%: gaps still open after sixty days. Every one of them coincides with a major geopolitical shock.", "source": "messages:quantResearch.gapchart.tail" }, { "type": "heading", "text": "Cumulative share of gaps closed", "level": 4, "source": "messages:quantResearch.gapchart.curveTitle" }, { "type": "heading", "text": "By gap size", "level": 4, "source": "messages:quantResearch.gapchart.sizeTitle" }, { "type": "definitions", "items": [ { "label": "all gaps", "value": "All gaps", "source": "messages:quantResearch.gapchart.allGaps" }, { "label": "big gaps", "value": "Over 20 pips", "source": "messages:quantResearch.gapchart.bigGaps" }, { "label": "same session", "value": "Closed in the same session", "source": "messages:quantResearch.gapchart.sameSession" }, { "label": "within week", "value": "Within 5 trading days", "source": "messages:quantResearch.gapchart.withinWeek" } ], "source": "messages:quantResearch.gapchart.allGaps" }, { "type": "group", "key": "excursion", "title": "Excursion before closing (≥5 pips)", "blocks": [ { "type": "paragraph", "text": "Before the gap closed, price moved the other way by a median of 21 pips, 120 pips in the worst decile, and 470 pips at most.", "source": "messages:quantResearch.gapchart.excursionBody" } ], "source": "messages:quantResearch.gapchart.excursion" }, { "type": "definitions", "items": [ { "label": "median fill", "value": "median fill", "source": "messages:quantResearch.gapchart.medianFill" }, { "label": "axis open", "value": "open", "source": "messages:quantResearch.gapchart.axisOpen" }, { "label": "axis session", "value": "session", "source": "messages:quantResearch.gapchart.axisSession" }, { "label": "axis day", "value": "1 day", "source": "messages:quantResearch.gapchart.axisDay" }, { "label": "axis week", "value": "5 days", "source": "messages:quantResearch.gapchart.axisWeek" }, { "label": "axis two months", "value": "60 days", "source": "messages:quantResearch.gapchart.axisTwoMonths" }, { "label": "unfilled", "value": "unfilled", "source": "messages:quantResearch.gapchart.unfilled" }, { "label": "not measured", "value": "not measured", "source": "messages:quantResearch.gapchart.notMeasured" }, { "label": "pips unit", "value": "pips", "source": "messages:quantResearch.gapchart.pipsUnit" } ], "source": "messages:quantResearch.gapchart.medianFill" }, { "type": "callout", "tone": "note", "text": [ "EURUSD, 345 weekend and holiday breaks. A research finding, not investment advice." ], "source": "messages:quantResearch.gapchart.note" }, { "type": "group", "key": "figures", "blocks": [ { "type": "definitions", "items": [ { "label": "n", "value": "345", "source": "messages:quantResearch.gapchart.figures.sample" }, { "label": "median fill", "value": "11 min", "source": "messages:quantResearch.gapchart.figures.medianFill" }, { "label": "Horizon", "value": "60 days", "source": "messages:quantResearch.gapchart.figures.horizonShort" }, { "label": "chart sample", "value": "EURUSD n=345", "source": "messages:quantResearch.gapchart.figures.chartSample" } ], "source": "messages:quantResearch.gapchart.figures.sample" }, { "type": "list", "title": "points", "style": "tags", "items": [ "0", "65", "–", "95", "98" ], "source": "messages:quantResearch.gapchart.figures.points" }, { "type": "cards", "items": [ { "id": "0", "source": "messages:quantResearch.gapchart.figures.bigGaps.0", "fields": [ { "label": "at", "value": "1", "source": "messages:quantResearch.gapchart.figures.bigGaps.0.at" }, { "label": "value", "value": "10", "source": "messages:quantResearch.gapchart.figures.bigGaps.0.value" } ] }, { "id": "1", "source": "messages:quantResearch.gapchart.figures.bigGaps.1", "fields": [ { "label": "at", "value": "3", "source": "messages:quantResearch.gapchart.figures.bigGaps.1.at" }, { "label": "value", "value": "85", "source": "messages:quantResearch.gapchart.figures.bigGaps.1.value" } ] } ], "source": "messages:quantResearch.gapchart.figures.bigGaps" }, { "type": "definitions", "items": [ { "label": "unfilled", "value": "2", "source": "messages:quantResearch.gapchart.figures.unfilled" } ], "source": "messages:quantResearch.gapchart.figures.unfilled" }, { "type": "group", "key": "horizons", "blocks": [ { "type": "group", "key": "session", "blocks": [ { "type": "definitions", "items": [ { "label": "all", "value": "65", "source": "messages:quantResearch.gapchart.figures.horizons.session.all" }, { "label": "big", "value": "10", "source": "messages:quantResearch.gapchart.figures.horizons.session.big" } ], "source": "messages:quantResearch.gapchart.figures.horizons.session.all" } ], "source": "messages:quantResearch.gapchart.figures.horizons.session" }, { "type": "group", "key": "week", "blocks": [ { "type": "definitions", "items": [ { "label": "all", "value": "95", "source": "messages:quantResearch.gapchart.figures.horizons.week.all" }, { "label": "big", "value": "85", "source": "messages:quantResearch.gapchart.figures.horizons.week.big" } ], "source": "messages:quantResearch.gapchart.figures.horizons.week.all" } ], "source": "messages:quantResearch.gapchart.figures.horizons.week" }, { "type": "group", "key": "twoMonths", "blocks": [ { "type": "definitions", "items": [ { "label": "all", "value": "98", "source": "messages:quantResearch.gapchart.figures.horizons.twoMonths.all" } ], "source": "messages:quantResearch.gapchart.figures.horizons.twoMonths.all" } ], "source": "messages:quantResearch.gapchart.figures.horizons.twoMonths" } ], "source": "messages:quantResearch.gapchart.figures.horizons" }, { "type": "definitions", "title": "Excursion before closing (≥5 pips)", "items": [ { "label": "p50", "value": "21", "source": "messages:quantResearch.gapchart.figures.excursion.0" }, { "label": "p90", "value": "120", "source": "messages:quantResearch.gapchart.figures.excursion.1" }, { "label": "max", "value": "470", "source": "messages:quantResearch.gapchart.figures.excursion.2" } ], "source": "messages:quantResearch.gapchart.figures.excursion" }, { "type": "definitions", "items": [ { "label": "Excursion before closing (≥5 pips)", "value": "pips · log scale", "source": "messages:quantResearch.gapchart.figures.excursionSample" } ], "source": "messages:quantResearch.gapchart.figures.excursionSample" } ], "source": "messages:quantResearch.gapchart.figures" } ] }, { "id": "method", "anchor": "method-heading", "url": "https://oxarus.com/en/quant/research#method-heading", "kind": "features", "component": "CorrectionLog", "sources": [ "messages:quantResearch.method" ], "eyebrow": "METHOD", "title": "how we avoid fooling ourselves.", "lead": "We logged every interim result that turned out wrong. Switch any entry between how it looked at first and what it actually was.", "demo": false, "placeholder": false, "blocks": [ { "type": "cards", "items": [ { "id": "0", "source": "messages:quantResearch.method.items.0", "title": "Random lines broke less often than levels, so levels looked like 'magnets.'", "eyebrow": "CONTROL BIAS", "blocks": [ { "type": "paragraph", "text": "The random lines sat farther from price. Once the control lines were built with the same distance distribution, the difference vanished.", "source": "messages:quantResearch.method.items.0.fix" } ] }, { "id": "1", "source": "messages:quantResearch.method.items.1", "title": "Three months of data showed a clear dip at the third touch.", "eyebrow": "MULTIPLE COMPARISONS", "blocks": [ { "type": "paragraph", "text": "Across seven years of data, it evaporated. Run enough comparisons, and some differences show up by chance.", "source": "messages:quantResearch.method.items.1.fix" } ] }, { "id": "2", "source": "messages:quantResearch.method.items.2", "title": "One measurement came out with a 100% break rate.", "eyebrow": "SIGN BUG", "blocks": [ { "type": "paragraph", "text": "When a rate sticks to 0 or 1, suspect the measuring machinery first. It was a single sign error.", "source": "messages:quantResearch.method.items.2.fix" } ] }, { "id": "3", "source": "messages:quantResearch.method.items.3", "title": "An idea seemed to hold on one pair.", "eyebrow": "REPLICATION", "blocks": [ { "type": "paragraph", "text": "We rebuilt the same test from scratch on another pair. Nothing that failed to hold on both counted as a finding.", "source": "messages:quantResearch.method.items.3.fix" } ] } ], "source": "messages:quantResearch.method.items" }, { "type": "heading", "text": "Correction log", "level": 4, "source": "messages:quantResearch.method.logTitle" }, { "type": "definitions", "items": [ { "label": "resolved", "value": "resolved", "source": "messages:quantResearch.method.resolved" }, { "label": "count", "value": "{fixed} / {total} resolved", "source": "messages:quantResearch.method.count" }, { "label": "schematic", "value": "schematic", "source": "messages:quantResearch.method.schematic" }, { "label": "show traps", "value": "Show first glance", "source": "messages:quantResearch.method.showTraps" }, { "label": "show fixes", "value": "Apply corrections", "source": "messages:quantResearch.method.showFixes" } ], "source": "messages:quantResearch.method.resolved" }, { "type": "group", "key": "figures", "blocks": [ { "type": "definitions", "items": [ { "label": "random", "value": "random lines", "source": "messages:quantResearch.method.figures.distance.random" }, { "label": "matched", "value": "matched lines", "source": "messages:quantResearch.method.figures.distance.matched" }, { "label": "levels", "value": "levels", "source": "messages:quantResearch.method.figures.distance.levels" }, { "label": "distance", "value": "distance to price", "source": "messages:quantResearch.method.figures.distance.distance" } ], "source": "messages:quantResearch.method.figures.distance" }, { "type": "list", "title": "touch rates", "style": "tags", "items": [ "41", "40", "39", "42", "44" ], "source": "messages:quantResearch.method.figures.touchRates" }, { "type": "cards", "items": [ { "id": "touchStates", "source": "messages:quantResearch.method.figures.touchStates", "title": "3 months of data", "blocks": [ { "type": "paragraph", "text": "7 years of data", "source": "messages:quantResearch.method.figures.touchStates.fix" } ] } ], "source": "messages:quantResearch.method.figures.touchStates" }, { "type": "definitions", "items": [ { "label": "bug: sign(dist)", "value": "100", "source": "messages:quantResearch.method.figures.signBug.0" }, { "label": "fixed", "value": "41", "source": "messages:quantResearch.method.figures.signBug.1" }, { "label": "matched control", "value": "40", "source": "messages:quantResearch.method.figures.signBug.2" }, { "label": "eur", "value": "EUR 55", "source": "messages:quantResearch.method.figures.replication.eur" }, { "label": "gbp", "value": "GBP 54", "source": "messages:quantResearch.method.figures.replication.gbp" }, { "label": "start", "value": "0m", "source": "messages:quantResearch.method.figures.replication.start" }, { "label": "end", "value": "30m", "source": "messages:quantResearch.method.figures.replication.end" } ], "source": "messages:quantResearch.method.figures.signBug" } ], "source": "messages:quantResearch.method.figures" }, { "type": "labels", "items": [ { "label": "trapLabel", "value": "At first glance", "source": "messages:quantResearch.method.trapLabel" }, { "label": "fixLabel", "value": "Actually", "source": "messages:quantResearch.method.fixLabel" }, { "label": "open", "value": "open", "source": "messages:quantResearch.method.open" } ], "source": "messages:quantResearch.method" } ] }, { "id": "cta", "anchor": "cta", "url": "https://oxarus.com/en/quant/research#cta", "kind": "cta", "component": "StudioCta", "sources": [ "messages:quantResearch.cta" ], "eyebrow": "RESEARCH", "title": "let data answer your question.", "lead": "If you'd like us to run measurements or hypothesis tests on market data for your organization, or build its research infrastructure, get in touch.", "demo": false, "placeholder": false, "blocks": [ { "type": "actions", "items": [ { "label": "Send a research request", "action": "start_project_brief", "args": { "topic": "quant" }, "href": "/en/contact?start=quant", "source": "messages:quantResearch.cta.button" }, { "label": "info@oxarus.com", "action": "contact", "args": { "subject": "Research request" }, "href": "mailto:info@oxarus.com?subject=Research%20request", "source": "messages:quantResearch.cta.subject" } ], "source": "messages:quantResearch.cta.button" } ] } ], "entities": [ "org", "unit:quant", "service:quant-research" ], "actions": [ { "label": "Institutional research", "action": "open_page", "args": { "path": "/quant/research", "anchor": "cta-heading" }, "href": "/en/quant/research#cta-heading", "source": "messages:quantResearch.hero.primary" }, { "label": "Findings", "action": "open_page", "args": { "path": "/quant/research", "anchor": "studies" }, "href": "/en/quant/research#studies", "source": "messages:quantResearch.hero.secondary" }, { "label": "Send a research request", "action": "start_project_brief", "args": { "topic": "quant" }, "href": "/en/contact?start=quant", "source": "messages:quantResearch.cta.button" }, { "label": "info@oxarus.com", "action": "contact", "args": { "subject": "Research request" }, "href": "mailto:info@oxarus.com?subject=Research%20request", "source": "messages:quantResearch.cta.subject" }, { "label": "Türkçe", "action": "switch_locale", "args": { "locale": "tr", "path": "/quant/research" }, "href": "/tr/quant/research" } ], "related": [ { "label": "Oxarus Quant", "href": "/quant" } ], "notices": [ { "kind": "representative", "text": "Interface data marked as representative is illustrative; it is not a real client, result or measurement." }, { "kind": "not-advice", "text": "Not investment advice. Trading in financial markets carries a risk of losing capital.", "source": "messages:quantRobots.honest.note" } ], "translation": { "locale": "en", "identicalToSource": 0, "pending": false }, "stats": { "sections": 6, "blocks": 108, "strings": 527 } }, "tokens": { "markdown": 3375, "text": 2749, "json": 9271, "jsonLd": 1526 }, "endpoints": [ { "id": "page-md", "path": "/machine/en/quant/research.md", "format": "markdown", "scope": "page", "locale": "en" }, { "id": "page-json", "path": "/machine/en/quant/research.json", "format": "json", "scope": "page", "locale": "en" }, { "id": "page-jsonld", "path": "/machine/en/quant/research.jsonld", "format": "jsonld", "scope": "page", "locale": "en" }, { "id": "page-txt", "path": "/machine/en/quant/research.txt", "format": "text", "scope": "page", "locale": "en" }, { "id": "llms", "path": "/llms.txt", "format": "text", "scope": "site" }, { "id": "llms-full", "path": "/llms-full.txt?locale=en", "format": "text", "scope": "site", "locale": "en" }, { "id": "index", "path": "/index.md?locale=en", "format": "markdown", "scope": "site", "locale": "en" }, { "id": "services", "path": "/services.md?locale=en", "format": "markdown", "scope": "site", "locale": "en" }, { "id": "agents", "path": "/agents.md?locale=en", "format": "markdown", "scope": "site", "locale": "en" }, { "id": "sitemap", "path": "/sitemap.md", "format": "markdown", "scope": "site" }, { "id": "manifest-tr", "path": "/machine/tr/index.json", "format": "json", "scope": "site", "locale": "tr" }, { "id": "manifest-en", "path": "/machine/en/index.json", "format": "json", "scope": "site", "locale": "en" }, { "id": "search", "path": "/machine/search.json?q={query}&locale={locale}&unit={unit}", "format": "json", "scope": "site" }, { "id": "agent-api", "path": "/api/agent/v1", "format": "json", "scope": "site" }, { "id": "openapi", "path": "/openapi.json", "format": "json", "scope": "site" }, { "id": "mcp", "path": "/api/mcp", "format": "json", "scope": "site" }, { "id": "mcp-server-card", "path": "/.well-known/mcp.json", "format": "json", "scope": "site" }, { "id": "api-catalog", "path": "/.well-known/api-catalog", "format": "json", "scope": "site" } ] }