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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'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.