Author: forexgoodies

British Pound vs Australian Dollar Seasonal Pattern

Buy Dec 04 British Pound(IMM) / Sell Dec 04 Australian Dollar(IMM)
Enter on approximately 08/16 – Exit on approximately 10/24
Cont
Year		 Entry
Date		 Entry
Price		 Exit
Date		 Exit
Price		 Profit
Amount		 Best
Equity
Date		 Best
Equity
Amount		 Worst
Equity
Date		 Worst
Equity
Amount
2003 08/18/03 33495 10/24/03 36061 2566.25 09/29/03 2982.50 09/16/03 -625.00
2002 08/16/02 41378 10/24/02 41480 102.50 09/30/02 2365.00 08/27/02 -1022.50
2001 08/16/01 37588 10/24/01 38340 752.50 09/27/01 5632.50 08/17/01 -1045.00
2000 08/16/00 34810 10/24/00 38102 3292.50 10/12/00 3910.00 09/11/00 -2777.50
1999 08/16/99 35040 10/22/99 38645 3605.00 10/21/99 4932.50 09/13/99 -227.50
1998 08/17/98 41020 10/23/98 43445 2425.00 08/28/98 6912.50 08/18/98 -290.00
1997 08/18/97 26228 10/24/97 32570 6342.50 10/24/97 6342.50 08/21/97 -2320.00
1996 08/16/96 18565 10/24/96 20425 1860.00 10/22/96 2067.50 09/10/96 -1172.50
1995 08/16/95 23195 10/24/95 24105 910.00 09/21/95 1927.50 09/13/95 -2842.50
1994 08/16/94 21883 10/24/94 28448 6565.00 10/20/94 7020.00 08/30/94 -435.00
1993 08/16/93 24760 10/22/93 24840 80.00 09/10/93 6907.50
1992 08/17/92 45983 10/23/92 29045 -16937.50 09/08/92 6287.50 10/21/92 -17732.50
1991 08/16/91 25050 10/24/91 27843 2792.50 10/03/91 4315.00 08/19/91 -2030.00
1990 08/16/90 37763 10/24/90 43972 6210.00 10/18/90 7825.00 09/21/90 -6332.50
1989 08/16/89 23805 10/24/89 24208 402.50 10/24/89 402.50 10/11/89 -4505.00
Percentage Correct 93 Protective Stop (1817)
Average Profit on Winning Trades 2707.59 Winners 14
Average Loss on Trades -16937.50 Losers 1
Average Net Profit Per Trade 1397.92 Total trades 15

Canadian Dollar Seasonal Pattern

Canadian Dollar (IMM): (High: Jan or Nov//Low: Dec) Currency has often been weak at contract expiries. Fifteen-year pattern implies general bear market, with tendency to be lower at end of each successive year.

Canadian Dollar(IMM)-September
Buy on approximately 05/28 – Exit on approximately 07/02 Contract Size: 100,000 Canadian Dollars
Cont
Year		 Buy
Date		 Buy
Price		 Exit
Date		 Exit
Price		 Profit Profit
Amount		 Best
Equity
Date		 Best
Equity
Amount		 Worst
Equity
Date		 Worst
Equity
Amount
2004 05/28/04 73.12 07/02/04 75.48 2.36 2360.00 07/02/04 2360.00 06/16/04 -560.00
2003 05/28/03 71.79 07/02/03 74.45 2.66 2660.00 06/13/03 2730.00
2002 05/28/02 65.17 07/02/02 65.39 0.22 220.00 06/27/02 780.00 06/17/02 -710.00
2001 05/29/01 64.95 07/02/01 65.98 1.03 1030.00 06/29/01 1050.00 05/30/01 -330.00
2000 05/30/00 66.53 06/30/00 67.67 1.14 1140.00 06/19/00 1870.00
1999 05/28/99 67.90 07/02/99 68.42 0.52 520.00 06/16/99 690.00 06/01/99 -440.00
1998 05/28/98 68.88 07/02/98 68.24 -0.64 -640.00 06/02/98 150.00 06/15/98 -910.00
1997 05/28/97 72.82 07/02/97 72.96 0.14 140.00 06/03/97 440.00 06/25/97 -720.00
1996 05/28/96 72.80 07/02/96 73.67 0.87 870.00 06/25/96 920.00
1995 05/30/95 72.62 06/30/95 72.72 0.10 100.00 06/30/95 100.00 06/06/95 -510.00
1994 05/31/94 71.93 07/01/94 72.13 0.20 200.00 06/07/94 630.00 06/17/94 -500.00
1993 05/28/93 78.19 07/02/93 77.41 -0.78 -780.00 06/02/93 120.00 07/01/93 -840.00
1992 05/28/92 82.58 07/02/92 82.84 0.26 260.00 06/12/92 1000.00 06/01/92 -10.00
1991 05/28/91 86.50 07/02/91 87.06 0.56 560.00 06/28/91 620.00
1990 05/29/90 83.37 07/02/90 85.16 1.79 1790.00 07/02/90 1790.00
Percentage Correct 87
Average Profit on Winning Trades 0.91 911.54 Winners 13
Average Loss on Trades -0.71 -710.00 Losers 2
Average Net Profit Per Trade 0.70 695.33 Total trades 15

Japanese Yen Seasonal Pattern

Japanese Yen (IMM): (High: Oct or Dec//Low: Jan-Mar) Japan’s fiscal year begins Apr 1, with mid-year Oct 1 also important to balance sheets.

Japanese Yen Seasonal

The prime example is August, the month in which the market has been down every year since 1999. During that time, USD/JPY fell for the month at least 137 pips each time around, with most of the declines coming in at better than 200 pips. The average has been 320 pips, which translates to a move of 2.80%.

In the case of EUR/JPY, as one might expect, August is a consistent down month, though there has been one up month since 1999. The average decline has been over 300 pips. November has been equally biased to the upside in terms of the 6:1 ratio, but the average rise is only 77 pips. The really interesting month, however, is December. The market rose every year from 2000 to 2004. Even though it fell in 2005, the cross has averaged a 350+ pip increase each year.

Weekday patterns filtered by month (1999-2005)

Weekday Month Up:Down Up/Down % Avg. Pips Avg. %
Tuesday August 9:22 Down 71% -27 -0.23%
Thursday August 11:20 Down 65% -13 -0.10%
Friday August 11:20 Down 65% -12 -0.10%
Monday January 11:20 Down 62% -30 -0.26%
Tuesday May 12:18 Down 60% -22 -0.18%
Wednesday November 20:9 Up 69% 15 0.15%
Friday September 19:10 Up 65% 26 0.24%
Thursday January 19:10 Up 65% 20 0.18%
Wednesday February 18:10 Up 64% 33 0.30%
Tuesday December 18:11 Up 62% 15 0.13%
Source: Anduril Analytics

British Pound Seasonal Pattern

British Pound (IMM): (High: Nov-Jan//Low: Feb-Mar or Sep) UK fiscal year begins Apr 1. Currency has tended to be weakest at end of fiscal year (Feb-Mar) and at mid-point (Sep), strongest in first month of each calendar quarter.

GBP/USD Seasonal

Against the USD, the Pound has two months in which it has shown a notable directional tendency. They are September and December, as can be seen below. In the case of the former, GBP/USD has risen six of the last seven years, averaging an increase of over 230 pips for the month in that span. Actually, 2005 broke a string of twelve consecutive September gains in the pair.


Source: Anduril Analytics

Swiss Franc Seasonal Pattern

Swiss Franc (IMM): (High: Oct or Dec//Low: Feb-Mar or May-Jun) Franc has regularly declined from beginning of new calendar year into Feb through early Aug. Powerful rise into October has often carried into year end.

CHF/USD Seasonal

December too has been more CHF positive than EUR positive. The ratio of up to down years is 5 to 2, but it is the way in which that has developed which is very interesting. The average loss for USD/CHF over that span is more than 360 pips, but a great deal of that came in the form of two years during which the market dropped more than 1000 pips, and there was another one when the December decline was better than 500 pips. The remaining years were all significantly less volatility, including those when the CHF was weaker.


Source: Anduril Analytics

Euro Seasonal Pattern

Seasonal rise in euro, starting on August 11 and ending on October 17. The increase was observed in 25 of 31 years, resulting in an average profit of +4%. But there were also 6 years, where the price of the euro fell during this period of the year. The average loss then was -3.7%. The overall rise during all 31 years was +2.5% p.a.

EUR/USD Seasonal

Data from 4 Jan 1971 to 21 July 2006.