Forex 6-Pair 1D Quant — EURUSD 35% GBPUSD 25% USDJPY 20% AUDUSD 10% USDCAD 10%

Edges: EURUSD mean reversion, GBPUSD vol clustering, USDJPY vol+carry, AUDUSD mean reversion, USDCAD oil beta. Tail risk USDTRY/ZAR excluded. Do NOT trade USDHKD/EURDKK.

Training: 5y yfinance (6150 rows, 1300 per pair), Voting XGB+LGBM, 3 folds, 1d embargo. Result: Mean IC -0.012, Ann -6.94% to -1.89% — negative (worse than random). Status: Experimental, NOT production. Needs longer history (2004 Kaggle daily) + proper session features + FinBERT.

Live test 2026-09-09:

EURUSD 1.16387 DOWN P_up 0.297 exp -0.034%
GBPUSD 1.35553 DOWN 0.213 -0.026%
USDJPY 153.54 DOWN 0.398 +0.115%
AUDUSD 0.72218 DOWN 0.348 +0.018%
USDCAD 1.3806 DOWN 0.429 +0.047%

Kaggle: https://www.kaggle.com/code/maxvwede/forex-6pair-1d-quant-eur-gbp-jpy Portfolio: 35/25/20/10/10 weighted daily rets, 1bp spread.

Next: Retrain with 2004-2026 Kaggle daily (20y) + London/Tokyo session + oil beta for USDCAD.

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