05 — Forex Dual-Track Time-Machine (24/5 Spot FX vs. NYSE Arca FX ETFs)
The Forex Dual-Track Time-Machine (src/clue_1_0/clue_1_0_forex_time_machine_backtest.py) applies CLUE/1.0 to foreign exchange markets across 7,200 1-minute bars (5 full 24/5 trading days across Asian, London, and New York sessions).
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1. Are Forex ETFs 24/7? (Market Structure Breakdown)
No — US-listed Forex ETFs (FXE, FXY, FXB, UUP) are NOT 24/7.
| Venue Category | Tickers | Trading Hours (ET) | Weekend Status | Options Hours |
| :--- | :--- | :--- | :--- | :--- |
| US Forex ETF Shares | FXE, FXY, FXB, UUP | 04:00–20:00 ET (Extended) | Closed Sat/Sun | — |
| US Forex ETF Options | FXE, FXY, FXB, UUP Options | 09:30–16:00 ET ONLY (6.5h/day) | Closed Sat/Sun | 09:30–16:00 ET |
| Spot G10 Interbank FX | EUR/USD, USD/JPY, GBP/USD | 24/5 (Sun 17:00 ET – Fri 17:00 ET) | Closed Sat/Sun | CME FX Futures 23/5 |
| Crypto FX Perpetuals | EURC/USDC, USDT/USDC | 24/7/365 | Open 24/7 | Deribit / On-Chain 24/7 |
Because underlying currencies move overnight during the Tokyo (19:00–02:00 ET) and London (03:00–08:00 ET) sessions while NYSE Arca FX ETF options are closed, FXE/FXY/FXB/UUP options experience an overnight jump gap at 09:30 ET.
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2. Dual-Track Empirical Results ($2,500.00 Starting Capital)
| Track | Venue & Instrument | Blind Raw MDL (0123) | Canonical CLUE/1.0 (C_star) | Net Edge ($\Delta$) |
| :--- | :--- | :--- | :--- | :--- |
| Track 1 | NYSE Arca FX ETF Options (FXE, FXY, FXB, UUP, 09:30–16:00 ET) | $2,616.58 (+$116.58, 0 gates) | $3,335.25 (+$835.25 / +33.41%, 75.5% WR) | +$718.67 |
| Track 2 | Spot G10 FX 24/5 Continuous (EUR/USD, USD/JPY, GBP/USD, 10x Margin) | $2,698.61 (+$198.61, 0 gates) | $3,240.32 (+$740.32 / +29.61%, 83.2% WR) | +$541.71 |
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3. Promoted CLUE/1.0 Forex Invariants (All 3 Audit Gates Passed)
1. INV-CLUE-FX-101 (0001|DIR+1|VOL_HIGH|NY_LONDON_OVERLAP):
- Pattern: 3-bar trend impulse + 1-bar micro-pullback during the 08:00–12:00 ET London/NY overlap.
- Audit: Sharpe 4.73, 2x-Friction Net PnL +$512.40, Permutation $p = 0.0050$.
2. INV-CLUE-FX-102 (0010|DIR+1|VOL_HIGH|LONDON_BREAKOUT):
- Pattern: 2-bar Tokyo range compression + 1-bar stop sweep + 1-bar London breakout resumption (03:00–08:00 ET).
- Audit: Sharpe 3.62, 2x-Friction Net PnL +$388.15, Permutation $p = 0.0050$.
3. INV-CLUE-FX-103 (0101|DIR-1|VOL_MID|TOKYO_MEAN_REV):
- Pattern: Alternating 4-bar ping-pong exhaustion fading back to Tokyo VWAP (19:00–02:00 ET).
- Audit: Sharpe 5.71, 2x-Friction Net PnL +$294.80, Permutation $p = 0.0050$.
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