Today is the 100th trading day (TD) of 2020, so I thought I would run numbers to give perspective on seasonal tendencies for the balance of the year based on an historical back test.
Since 1983 (N=37), there have been 20 years when USDCAD as strengthened in the first 100 TDs. Of those years, 13 (65%) have seen USDCAD strengthen even further throughout the balance of the year (chart below). Below are return stats for the balance of the year in these cases:
- Average = +3.9%
- Median = +2.1%
The takeaway: YTD USDCAD returns for 2020 are positive, so there is a 65% chance we continue to see further strength throughout the balance of 2020.
Until next time…
Alexander Grant, FRM is Olympia Trust CGP’s Head of FX Options Trading. He can be reached at firstname.lastname@example.org if you have questions.