Exploiting the impact of news release surprise on FX markets
This study investigates whether macroeconomic announcement surprises generate persistent and exploitable patterns in foreign exchange markets. Using ten years of macroeconomic releases and M15 price data from 2016 to 2026, we examine the relationship between the difference between actual and forecast values and subsequent price dynamics in EUR/USD and USD/CAD. The results reveal two distinct effects. In EUR/USD, ISM manufacturing prices exhibit a persistent mean-reversion pattern following the initial market reaction, particularly when the magnitude of the surprise is moderate. In contrast, ISM non-manufacturing PMI on USD/CAD exhibits significant price continuation, with the exchange rate tending to move in the direction implied by the surprise for several hours after the release. A simple strategy entering after the first M15 candle and holding for 24 hours achieved a 64.2% win rate and a Profit Factor of 2.30 over the 2016-2026 sample. In general, the findings indicate that macroeconomic surprises do not produce a homogeneous response across FX markets. Rather, the empirical response appears to depend jointly on the type of announcement, the currency pair, and the post-release horizon.