{ "study": "FXAbsolute Phase 3 cross-asset volatility-regime evidence", "generatedOn": "2026-08-27", "methodologyVersion": "3.0.0", "summary": { "uniqueSourceFiles": 8, "totalSourceCandles": 14733087, "comparisons": 4, "standaloneStudies": 1, "regimeMarkets": 8 }, "methodology": { "input": "The exact local M1 OHLC binaries served by FXAbsolute. AUDCAD, AUDUSD, EURGBP, NAS100, SPX500, US30, and ETHUSD have repository fetch records for Dukascopy bid prices. BTCUSD is a local CSV import whose upstream provider is not recorded.", "validation": "Before analysis, the script checks binary header length, SHA-256, timestamp order, duplicates, minute alignment, and OHLC consistency. Missing candles are never filled.", "normalizedRange": "Percentage range equals (maximum high minus minimum low) divided by the period opening price, multiplied by 100. Native pips, points, or dollars are also published.", "sessions": "Six equal non-overlapping fixed four-hour UTC blocks, each requiring at least 180 M1 candles. Session labels are descriptive and do not shift for daylight saving.", "dailyInclusion": "Forex requires at least 900 candles per qualifying weekday; index CFDs require 720 per qualifying weekday; ETHUSD requires 1,000 per UTC day; BTCUSD requires 1,200 per UTC day.", "pairedComparisons": "Only identical UTC keys where both markets independently pass their own filter enter a comparison.", "regimes": "For each market, calculate a trailing median of the latest 20 qualifying daily percentage ranges. Low is at or below the market’s 25th-percentile rolling value, high is above its 75th percentile, and normal lies between. Thresholds are market-specific and retrospective.", "statistics": "Median, mean, quartiles, 90th percentile, approximate distribution-free 95% median confidence interval, sample count, paired higher-range share, and Pearson correlation of paired percentage-range sizes.", "limitations": "Range does not encode direction, intraperiod path, trading costs, causation, or strategy profitability. Index symbols represent Dukascopy index-CFD feeds, not exchange prints. Regime labels are descriptive historical classifications, not forecasts." }, "sources": [ { "symbol": "AUDCAD", "market": "forex", "nativeUnit": "pips", "source": { "provider": "Dukascopy historical bid prices", "instrumentId": "audcad", "provenanceRecord": "scripts/fetch_candles.mjs", "priceType": "bid", "file": "/data/AUDCAD_M1.bin", "sha256": "d474588e33f31634528ddbafa5c7a26d6a5cdf1cd438d6c19c475a44d3c2a203", "bytes": 37765144, "declaredCandles": 1888257, "coverageStartUtc": "2021-01-03T22:00:00.000Z", "coverageEndUtc": "2026-04-30T23:59:00.000Z" }, "validation": { "expectedBytes": 37765144, "lengthMatchesHeader": true, "duplicateTimestamps": 0, "outOfOrderTimestamps": 0, "nonMinuteTimestamps": 0, "invalidOhlc": 0, "largestGapSeconds": 432060, "largestGapAfterUtc": "2021-06-23T23:59:00.000Z" }, "filters": { "minimumCandlesPerFourHourWindow": 180, "minimumCandlesPerUtcDay": 900, "excludedWeekendDays": true }, "coverageAudit": { "eligibleCalendarDaysWithinCoverage": 1389, "eligibleRawUtcDays": 1322, "missingUtcDaysWithNoCandles": 67, "anyCandleCoverageRatePct": 95.2, "rawDailyCandleCount": { "samples": 1322, "mean": 1399, "median": 1435, "p25": 1425, "p75": 1438, "p90": 1440, "medianCi95": [ 1435, 1436 ] }, "qualifyingUtcDays": 1317, "excludedBelowDailyThreshold": 5 }, "overallDaily": { "nativeUnit": "pips", "nativeRange": { "samples": 1317, "mean": 63.73, "median": 57.9, "p25": 44.9, "p75": 75.1, "p90": 98.8, "medianCi95": [ 56.4, 59.5 ] }, "percentRange": { "samples": 1317, "mean": 0.699, "median": 0.636, "p25": 0.493, "p75": 0.824, "p90": 1.096, "medianCi95": [ 0.619, 0.65 ] }, "includedCandles": 1848115 }, "bySession": [ { "id": "utc-00-04", "label": "00:00–03:59 UTC", "marketLabel": "Asia open", "nativeUnit": "pips", "nativeRange": { "samples": 1316, "mean": 26.21, "median": 23.35, "p25": 17.4, "p75": 31.7, "p90": 41.75, "medianCi95": [ 22.7, 24 ] }, "percentRange": { "samples": 1316, "mean": 0.288, "median": 0.257, "p25": 0.192, "p75": 0.346, "p90": 0.465, "medianCi95": [ 0.249, 0.265 ] }, "includedCandles": 315736, "medianAbsoluteOpenCloseMovePct": 0.106, "upCloseRatePct": 52.4 }, { "id": "utc-04-08", "label": "04:00–07:59 UTC", "marketLabel": "Asia–London handoff", "nativeUnit": "pips", "nativeRange": { "samples": 1316, "mean": 23.8, "median": 20.9, "p25": 16.3, "p75": 27.7, "p90": 37.25, "medianCi95": [ 20.2, 21.5 ] }, "percentRange": { "samples": 1316, "mean": 0.261, "median": 0.228, "p25": 0.18, "p75": 0.306, "p90": 0.401, "medianCi95": [ 0.222, 0.235 ] }, "includedCandles": 315778, "medianAbsoluteOpenCloseMovePct": 0.097, "upCloseRatePct": 50.5 }, { "id": "utc-08-12", "label": "08:00–11:59 UTC", "marketLabel": "London morning", "nativeUnit": "pips", "nativeRange": { "samples": 1316, "mean": 23.55, "median": 20.95, "p25": 16.3, "p75": 28.5, "p90": 36.4, "medianCi95": [ 20.3, 21.7 ] }, "percentRange": { "samples": 1316, "mean": 0.258, "median": 0.231, "p25": 0.178, "p75": 0.308, "p90": 0.396, "medianCi95": [ 0.223, 0.239 ] }, "includedCandles": 315800, "medianAbsoluteOpenCloseMovePct": 0.094, "upCloseRatePct": 48.6 }, { "id": "utc-12-16", "label": "12:00–15:59 UTC", "marketLabel": "London–New York overlap", "nativeUnit": "pips", "nativeRange": { "samples": 1317, "mean": 36.79, "median": 32.6, "p25": 24.9, "p75": 43.8, "p90": 59.42, "medianCi95": [ 31.3, 33.5 ] }, "percentRange": { "samples": 1317, "mean": 0.404, "median": 0.352, "p25": 0.272, "p75": 0.478, "p90": 0.642, "medianCi95": [ 0.343, 0.366 ] }, "includedCandles": 316030, "medianAbsoluteOpenCloseMovePct": 0.152, "upCloseRatePct": 47.3 }, { "id": "utc-16-20", "label": "16:00–19:59 UTC", "marketLabel": "New York afternoon", "nativeUnit": "pips", "nativeRange": { "samples": 1317, "mean": 22.1, "median": 18.8, "p25": 13.9, "p75": 26.3, "p90": 36.5, "medianCi95": [ 18.1, 19.4 ] }, "percentRange": { "samples": 1317, "mean": 0.242, "median": 0.206, "p25": 0.153, "p75": 0.289, "p90": 0.394, "medianCi95": [ 0.198, 0.215 ] }, "includedCandles": 315852, "medianAbsoluteOpenCloseMovePct": 0.085, "upCloseRatePct": 50.9 }, { "id": "utc-20-24", "label": "20:00–23:59 UTC", "marketLabel": "Late UTC", "nativeUnit": "pips", "nativeRange": { "samples": 1047, "mean": 21.45, "median": 20.1, "p25": 15.7, "p75": 24.95, "p90": 31.02, "medianCi95": [ 19.6, 20.6 ] }, "percentRange": { "samples": 1047, "mean": 0.235, "median": 0.219, "p25": 0.172, "p75": 0.274, "p90": 0.342, "medianCi95": [ 0.215, 0.226 ] }, "includedCandles": 246395, "medianAbsoluteOpenCloseMovePct": 0.049, "upCloseRatePct": 52.1 } ], "byWeekday": [ { "weekday": "Monday", "nativeUnit": "pips", "nativeRange": { "samples": 263, "mean": 56.86, "median": 51.6, "p25": 40.05, "p75": 66.4, "p90": 82.74, "medianCi95": [ 49.6, 53.8 ] }, "percentRange": { "samples": 263, "mean": 0.624, "median": 0.567, "p25": 0.444, "p75": 0.717, "p90": 0.915, "medianCi95": [ 0.533, 0.59 ] }, "includedCandles": 376859 }, { "weekday": "Tuesday", "nativeUnit": "pips", "nativeRange": { "samples": 263, "mean": 65.81, "median": 59.5, "p25": 46.65, "p75": 76.9, "p90": 103.54, "medianCi95": [ 55.7, 62.5 ] }, "percentRange": { "samples": 263, "mean": 0.721, "median": 0.648, "p25": 0.506, "p75": 0.836, "p90": 1.144, "medianCi95": [ 0.618, 0.688 ] }, "includedCandles": 377223 }, { "weekday": "Wednesday", "nativeUnit": "pips", "nativeRange": { "samples": 267, "mean": 67.35, "median": 60.9, "p25": 48.55, "p75": 81.95, "p90": 103.82, "medianCi95": [ 59.2, 64.6 ] }, "percentRange": { "samples": 267, "mean": 0.739, "median": 0.676, "p25": 0.533, "p75": 0.89, "p90": 1.141, "medianCi95": [ 0.644, 0.705 ] }, "includedCandles": 383126 }, { "weekday": "Thursday", "nativeUnit": "pips", "nativeRange": { "samples": 257, "mean": 65.26, "median": 60.7, "p25": 47.8, "p75": 78.2, "p90": 99.32, "medianCi95": [ 56.8, 63.8 ] }, "percentRange": { "samples": 257, "mean": 0.716, "median": 0.658, "p25": 0.53, "p75": 0.85, "p90": 1.11, "medianCi95": [ 0.619, 0.704 ] }, "includedCandles": 368842 }, { "weekday": "Friday", "nativeUnit": "pips", "nativeRange": { "samples": 267, "mean": 63.37, "median": 57.4, "p25": 43.45, "p75": 73.8, "p90": 97.32, "medianCi95": [ 54.4, 60.3 ] }, "percentRange": { "samples": 267, "mean": 0.695, "median": 0.64, "p25": 0.474, "p75": 0.82, "p90": 1.032, "medianCi95": [ 0.594, 0.664 ] }, "includedCandles": 342065 } ], "byYear": [ { "year": 2021, "nativeUnit": "pips", "nativeRange": { "samples": 242, "mean": 57.89, "median": 53.5, "p25": 41.7, "p75": 69.05, "p90": 86.41, "medianCi95": [ 50.4, 57.4 ] }, "percentRange": { "samples": 242, "mean": 0.614, "median": 0.57, "p25": 0.444, "p75": 0.731, "p90": 0.912, "medianCi95": [ 0.544, 0.602 ] }, "includedCandles": 339393 }, { "year": 2022, "nativeUnit": "pips", "nativeRange": { "samples": 250, "mean": 74.5, "median": 66.55, "p25": 54.35, "p75": 90.6, "p90": 109.63, "medianCi95": [ 64.5, 71.1 ] }, "percentRange": { "samples": 250, "mean": 0.826, "median": 0.735, "p25": 0.605, "p75": 1.005, "p90": 1.237, "medianCi95": [ 0.713, 0.794 ] }, "includedCandles": 349900 }, { "year": 2023, "nativeUnit": "pips", "nativeRange": { "samples": 245, "mean": 70.01, "median": 65.5, "p25": 52.5, "p75": 82.3, "p90": 100.58, "medianCi95": [ 61.9, 68.4 ] }, "percentRange": { "samples": 245, "mean": 0.779, "median": 0.724, "p25": 0.589, "p75": 0.92, "p90": 1.14, "medianCi95": [ 0.686, 0.768 ] }, "includedCandles": 344158 }, { "year": 2024, "nativeUnit": "pips", "nativeRange": { "samples": 236, "mean": 53.55, "median": 48.45, "p25": 38.87, "p75": 61.25, "p90": 80, "medianCi95": [ 46.6, 52.1 ] }, "percentRange": { "samples": 236, "mean": 0.592, "median": 0.537, "p25": 0.433, "p75": 0.681, "p90": 0.88, "medianCi95": [ 0.518, 0.573 ] }, "includedCandles": 331338 }, { "year": 2025, "nativeUnit": "pips", "nativeRange": { "samples": 259, "mean": 58.77, "median": 51.7, "p25": 40.4, "p75": 67.45, "p90": 88.48, "medianCi95": [ 48.3, 55.8 ] }, "percentRange": { "samples": 259, "mean": 0.655, "median": 0.571, "p25": 0.448, "p75": 0.75, "p90": 0.981, "medianCi95": [ 0.54, 0.625 ] }, "includedCandles": 363792 }, { "year": 2026, "nativeUnit": "pips", "nativeRange": { "samples": 85, "mean": 73.98, "median": 63.5, "p25": 50.4, "p75": 88.7, "p90": 130.1, "medianCi95": [ 57, 74.9 ] }, "percentRange": { "samples": 85, "mean": 0.771, "median": 0.654, "p25": 0.526, "p75": 0.922, "p90": 1.352, "medianCi95": [ 0.606, 0.788 ] }, "includedCandles": 119534 } ], "regime": { "windowQualifiedDays": 20, "measure": "Trailing median of the most recent 20 qualifying UTC-day percentage ranges.", "thresholds": { "lowAtOrBelowPct": 0.544, "highAbovePct": 0.73, "basis": "25th and 75th percentiles of this market’s complete rolling-20 series." }, "observations": 1298, "distribution": { "low": 322, "normal": 650, "high": 326 }, "latest": { "dayIndex": 20573, "date": "2026-04-30", "rollingMedianDailyRangePct": 0.575, "regime": "normal" }, "byYear": [ { "year": 2021, "rollingMedianRangePct": { "samples": 223, "mean": 0.587, "median": 0.565, "p25": 0.543, "p75": 0.649, "p90": 0.684, "medianCi95": [ 0.556, 0.574 ] }, "regimeCounts": { "low": 61, "normal": 158, "high": 4 } }, { "year": 2022, "rollingMedianRangePct": { "samples": 250, "mean": 0.749, "median": 0.729, "p25": 0.682, "p75": 0.81, "p90": 0.915, "medianCi95": [ 0.716, 0.755 ] }, "regimeCounts": { "low": 3, "normal": 124, "high": 123 } }, { "year": 2023, "rollingMedianRangePct": { "samples": 245, "mean": 0.746, "median": 0.736, "p25": 0.688, "p75": 0.81, "p90": 0.877, "medianCi95": [ 0.727, 0.748 ] }, "regimeCounts": { "low": 0, "normal": 111, "high": 134 } }, { "year": 2024, "rollingMedianRangePct": { "samples": 236, "mean": 0.552, "median": 0.543, "p25": 0.505, "p75": 0.583, "p90": 0.646, "medianCi95": [ 0.54, 0.548 ] }, "regimeCounts": { "low": 121, "normal": 114, "high": 1 } }, { "year": 2025, "rollingMedianRangePct": { "samples": 259, "mean": 0.597, "median": 0.555, "p25": 0.519, "p75": 0.637, "p90": 0.822, "medianCi95": [ 0.543, 0.571 ] }, "regimeCounts": { "low": 118, "normal": 101, "high": 40 } }, { "year": 2026, "rollingMedianRangePct": { "samples": 85, "mean": 0.682, "median": 0.638, "p25": 0.575, "p75": 0.837, "p90": 0.984, "medianCi95": [ 0.603, 0.673 ] }, "regimeCounts": { "low": 19, "normal": 42, "high": 24 } } ], "monthlyTimeline": [ { "month": "2021-01", "observations": 1, "medianRolling20RangePct": 0.563, "lastRolling20RangePct": 0.563, "regime": "normal" }, { "month": "2021-02", "observations": 20, "medianRolling20RangePct": 0.531, "lastRolling20RangePct": 0.509, "regime": "low" }, { "month": "2021-03", "observations": 23, "medianRolling20RangePct": 0.7, "lastRolling20RangePct": 0.672, "regime": "normal" }, { "month": "2021-04", "observations": 22, "medianRolling20RangePct": 0.659, "lastRolling20RangePct": 0.684, "regime": "normal" }, { "month": "2021-05", "observations": 20, "medianRolling20RangePct": 0.677, "lastRolling20RangePct": 0.671, "regime": "normal" }, { "month": "2021-06", "observations": 16, 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0.717, "regime": "normal" }, { "month": "2022-10", "observations": 21, "medianRolling20RangePct": 0.916, "lastRolling20RangePct": 1.003, "regime": "high" }, { "month": "2022-11", "observations": 22, "medianRolling20RangePct": 0.932, "lastRolling20RangePct": 0.909, "regime": "high" }, { "month": "2022-12", "observations": 22, "medianRolling20RangePct": 0.827, "lastRolling20RangePct": 0.881, "regime": "high" }, { "month": "2023-01", "observations": 22, "medianRolling20RangePct": 0.902, "lastRolling20RangePct": 0.771, "regime": "high" }, { "month": "2023-02", "observations": 20, "medianRolling20RangePct": 0.877, "lastRolling20RangePct": 0.877, "regime": "high" }, { "month": "2023-03", "observations": 23, "medianRolling20RangePct": 0.748, "lastRolling20RangePct": 0.767, "regime": "high" }, { "month": "2023-04", "observations": 20, "medianRolling20RangePct": 0.772, "lastRolling20RangePct": 0.721, "regime": "high" }, { "month": "2023-05", "observations": 22, "medianRolling20RangePct": 0.628, "lastRolling20RangePct": 0.599, "regime": "normal" }, { "month": "2023-06", "observations": 22, "medianRolling20RangePct": 0.746, "lastRolling20RangePct": 0.843, "regime": "high" }, { "month": "2023-07", "observations": 21, "medianRolling20RangePct": 0.753, "lastRolling20RangePct": 0.757, "regime": "high" }, { "month": "2023-08", "observations": 19, "medianRolling20RangePct": 0.73, "lastRolling20RangePct": 0.639, "regime": "high" }, { "month": "2023-09", "observations": 18, "medianRolling20RangePct": 0.632, "lastRolling20RangePct": 0.66, "regime": "normal" }, { "month": "2023-10", "observations": 22, "medianRolling20RangePct": 0.711, "lastRolling20RangePct": 0.632, "regime": "normal" }, { "month": "2023-11", "observations": 18, "medianRolling20RangePct": 0.708, "lastRolling20RangePct": 0.675, "regime": "normal" }, { "month": "2023-12", "observations": 18, "medianRolling20RangePct": 0.735, "lastRolling20RangePct": 0.719, "regime": "high" }, { "month": "2024-01", "observations": 16, "medianRolling20RangePct": 0.622, "lastRolling20RangePct": 0.548, "regime": "normal" }, { "month": "2024-02", "observations": 19, "medianRolling20RangePct": 0.544, "lastRolling20RangePct": 0.528, "regime": "low" }, { "month": "2024-03", "observations": 15, "medianRolling20RangePct": 0.497, "lastRolling20RangePct": 0.455, "regime": "low" }, { "month": "2024-04", "observations": 21, "medianRolling20RangePct": 0.544, "lastRolling20RangePct": 0.569, "regime": "normal" }, { "month": "2024-05", "observations": 19, "medianRolling20RangePct": 0.522, "lastRolling20RangePct": 0.491, "regime": "low" }, { "month": "2024-06", "observations": 20, "medianRolling20RangePct": 0.505, "lastRolling20RangePct": 0.515, "regime": "low" }, { "month": "2024-07", "observations": 22, "medianRolling20RangePct": 0.482, "lastRolling20RangePct": 0.476, "regime": "low" }, { "month": "2024-08", "observations": 19, "medianRolling20RangePct": 0.574, "lastRolling20RangePct": 0.626, "regime": "normal" }, { "month": "2024-09", "observations": 20, "medianRolling20RangePct": 0.571, "lastRolling20RangePct": 0.592, "regime": "normal" }, { "month": "2024-10", "observations": 23, "medianRolling20RangePct": 0.65, "lastRolling20RangePct": 0.65, "regime": "normal" }, { "month": "2024-11", "observations": 21, "medianRolling20RangePct": 0.608, "lastRolling20RangePct": 0.54, "regime": "normal" }, { "month": "2024-12", "observations": 21, "medianRolling20RangePct": 0.54, "lastRolling20RangePct": 0.538, "regime": "low" }, { "month": "2025-01", "observations": 22, "medianRolling20RangePct": 0.592, "lastRolling20RangePct": 0.562, "regime": "normal" }, { "month": "2025-02", "observations": 20, "medianRolling20RangePct": 0.519, "lastRolling20RangePct": 0.586, "regime": "low" }, { "month": "2025-03", "observations": 21, "medianRolling20RangePct": 0.658, "lastRolling20RangePct": 0.66, "regime": "normal" }, { "month": "2025-04", "observations": 22, "medianRolling20RangePct": 0.84, "lastRolling20RangePct": 1.037, 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