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Tuesday, February 5, 2013

EURUSD Average Monthly Gain

I've been a little interested in foreign exchange pairs recently. They have a different flavor of trading from equities or derivatives. In any case, I ran the following test on data going back to 1990 November 1998. It looks at the opening of the month compared to the month's close (log changes).

I highlighted some of the more interesting months. Looks like December has a nice strong long bias to it; much more consistent direction than any of the other months at 80% positive. Of course, I wouldn't trade any of this by itself.

EDIT: (new chart using IMF.org's data found here. Assumes purchase at first day of listed month and sale at first day of following month. This data goes back to November 1998 rather than 1990. Many thanks to Sanz Prophet for pointing at the mistake! Currently getting my hands on some better forex data! :D)

The above is not meant to be trading advice. Furthermore, past results are not necessarily indicative of future returns. And, as seen in the earlier version of this post, there is no guarantee that the data is accurate.

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8 comments:

  1. implied volatilityFebruary 6, 2013 at 1:10 PM

    I like the Cognitum Updater. I've been meaning to get more historical data...I'll have to give the Wave-Explorer a try soon too.

    ReplyDelete
  2. UnknownFebruary 6, 2013 at 3:42 PM

    Does the table translate to 'buy' first day of month "sell" last day of month? It looks like it should be shifted by 1 month (i.e., Dec is 'good', Jan is 'bad' for the eur).

    ReplyDelete
  3. implied volatilityFebruary 6, 2013 at 4:40 PM

    Looks like you're right, Sanz Prophet. I should've checked my data against another source before publishing. I think the data has a few other errors in it as well. I'll convert some tried and true minute data to monthly data and go from there.

    Thank you.

    ReplyDelete
  4. UnknownFebruary 6, 2013 at 11:57 PM

    I enjoy you site, a lot by the way. Especially the Python and python/IB code is extremely helpful. Not many examples out there.Keep up the good work.

    ReplyDelete
  5. implied volatilityFebruary 7, 2013 at 1:54 PM

    Thank you for the compliments Sanz Prophet! Anyway, I got some data from IMF.org. Hopefully the above chart is a more accurate representation of EURUSD seasonal price movement.

    ReplyDelete
  6. UnknownMay 16, 2014 at 9:54 AM

    Nice :) You should backtest this on a longer period I think. There are 6 years of FX pairs on https://www.QuantConnect.com so you could find some correlations with longer term market conditions

    ReplyDelete
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