FX fix reversal

Checked October 2026

The fix reversal trades the dollar in the hours around the Tokyo and European fixing times, long into one fix and short after it. Krohn, Mueller and Whelan published it in the Journal of Finance in 2024. Backtoast ran it on euro, sterling and yen against the dollar. The published version failed our test after costs, losing 100% a year over 14,286 trades.

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FX fix reversal

A fix is a benchmark rate set at a set time of day, and the paper finds the dollar tends to rise into a fix and fall back after it. So the rule buys the dollar from the 5:00 p.m. New York roll to the 9:55 a.m. Tokyo fix and sells it until 2:00 a.m. New York. Then it buys from 2:00 a.m. to the 2:15 p.m. Frankfurt fix, and sells from 11:00 a.m. New York, just after the 4:00 p.m. London fix, to 5:00 p.m.

Every switch pays the spread, up to four round trips a day on each of three pairs.

Euro local hours is the other clock-based forex rule here, selling the euro in the European morning and buying it in the New York day.

When it works

The dollar move around each fix is clear before costs, but the paper's returns turned negative once full quoted spreads were paid, so it pays only at costs well under the quoted spread, the kind a large bank desk gets. Krohn, Mueller and Whelan tie it to dealers hedging a steady demand for dollars at the fixes, which pushes the dollar up into each fix and lets it ease after.

Origins

Krohn, Mueller and Whelan found gross returns around the Tokyo fix of 7.94% to 12.0% a year on the euro, pound and yen from 1999 to 2019, which turned negative once the full quoted spreads were paid. The run traded EUR/USD, GBP/USD and USD/JPY from late 2021 to October 2026.

The run is Backtoast's, from 29 October 2026, after costs.