06/30/2014
Copyright 2014 Arbor Research & Trading, Inc. All rights reserved. This material is for your private information, and we are not soliciting any action based
upon it. This material should not be redistributed or replicated in any form without the prior consent of Arbor. The material is based upon information that
we consider reliable, but we do not represent that it is accurate or complete, and it should not be relied upon as such.
July Seasonality Major Currency Pairs
Changes since the End of June
Seasonal biases are bullish in July for GBPUSD,
EURUSD and EURJPY.
GBPUSD has seen strength mostly later in the
month, closing higher in 65% of years since
1971. The average gain was 0.65%.
EURUSD and EURJPY also saw second half
strength, closing up 0.33% and 0.32%
respectively.
5 Day Holding Periods
Five day holding period analysis suggests positioning for the second half rallies in EURUSD, EURJPY and GBPUSD. All
saw the strongest interval begin after day 10.
GBPUSD rallied in 65% of years since 1971 with an average gain of 0.43%.
EURUSD rose in 64% of years since 1975 by an average of 0.45%
EURJPY saw gains in 64% of years since 1986 and rose 0.45% on average.
USDNOK saw a notably weak period following day 10. The pair fell in 70% of years since 1971 by -0.41% on average.
The charts (below) highlight the average change and instance of positive changes for the five days after each trading day.
See the tables on the bottom of page 2 for details.
Copyright 2013 Arbor Research & Trading, Inc. All rights reserved. This material is for your private information, and we are not soliciting any action based
upon it. This material should not be redistributed or replicated in any form without the prior consent of Arbor. The material is based upon information that
we consider reliable, but we do not represent that it is accurate or complete, and it should not be relied upon as such.
August14,2013
Average Changes from Previous Monthly Close
Average Cumulative % Change
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
EURUSD 0.06 -0.04 -0.08 -0.18 -0.19 -0.14 -0.10 -0.05 -0.07 -0.07 -0.08 0.09 0.29 0.32 0.37 0.28 0.24 0.42 0.43 0.33
GBPUSD 0.09 0.06 0.11 0.02 0.01 0.00 0.04 0.11 0.16 0.10 0.14 0.26 0.40 0.48 0.53 0.54 0.61 0.65 0.72 0.65
USDJPY -0.07 0.05 0.07 0.13 0.07 0.06 -0.01 -0.11 -0.11 -0.18 -0.09 -0.21 -0.27 -0.21 -0.26 -0.26 -0.21 -0.23 -0.17 -0.13
AUDUSD 0.04 -0.04 -0.16 -0.11 -0.01 -0.12 -0.13 -0.09 -0.02 0.03 0.09 0.14 0.00 0.24 0.25 0.22 0.18 0.20 0.04 -0.02
USDCAD -0.05 -0.07 -0.08 -0.09 -0.12 -0.12 -0.14 -0.13 -0.19 -0.20 -0.18 -0.16 -0.20 -0.24 -0.17 -0.08 -0.09 -0.09 -0.02 0.06
EURJPY -0.01 0.05 0.06 0.05 -0.04 0.02 -0.08 -0.15 -0.19 -0.21 -0.12 -0.05 0.08 0.22 0.22 0.03 0.06 0.29 0.40 0.32
USDNOK -0.03 0.07 0.05 0.11 0.10 0.06 0.15 0.14 0.10 0.16 0.15 0.04 -0.12 -0.27 -0.25 -0.15 -0.16 -0.27 -0.20 -0.11
% Positive - Average Cumulative % Change
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
EURUSD 56% 41% 36% 36% 38% 38% 41% 38% 44% 46% 51% 56% 56% 62% 64% 59% 54% 59% 56% 56%
GBPUSD 49% 56% 51% 53% 47% 49% 42% 42% 51% 44% 42% 47% 51% 63% 63% 58% 58% 58% 56% 65%
USDJPY 44% 42% 58% 60% 49% 51% 47% 47% 49% 44% 51% 40% 44% 42% 44% 47% 44% 44% 49% 44%
AUDUSD 51% 58% 37% 49% 51% 47% 40% 49% 49% 49% 47% 47% 49% 56% 58% 58% 53% 53% 49% 48%
USDCAD 33% 35% 35% 33% 49% 42% 40% 42% 35% 37% 37% 40% 33% 37% 40% 44% 44% 49% 53% 56%
EURJPY 57% 54% 54% 57% 54% 57% 61% 61% 54% 61% 57% 54% 57% 57% 57% 61% 57% 61% 64% 57%
USDNOK 51% 51% 47% 53% 53% 60% 58% 58% 53% 51% 49% 51% 42% 44% 44% 53% 53% 47% 51% 47%
Average Changes over Following 5 Trading Days
5 Day Holding Period - Average % Change
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
EURUSD -0.20 -0.07 0.02 0.10 0.12 0.06 0.19 0.34 0.39 0.45 0.36 0.15 0.14 0.11 -0.05 -0.06 -0.10 -0.26 -0.24 -0.10
GBPUSD -0.09 -0.02 0.01 0.14 0.10 0.13 0.23 0.28 0.32 0.43 0.40 0.34 0.25 0.23 0.12 0.11 -0.08 -0.06 -0.25 -0.27
USDJPY 0.13 -0.06 -0.18 -0.25 -0.25 -0.14 -0.20 -0.16 -0.09 -0.09 -0.17 0.00 0.04 0.04 0.14 0.19 0.04 0.02 0.12 0.22
AUDUSD -0.16 -0.09 0.07 0.09 0.03 0.22 0.27 0.09 0.26 0.22 0.12 0.03 0.19 -0.20 -0.27 -0.17 -0.19 -0.22 -0.17 -0.11
USDCAD -0.07 -0.07 -0.05 -0.09 -0.08 -0.05 -0.02 -0.07 -0.05 0.03 0.10 0.06 0.11 0.22 0.23 0.14 0.16 0.14 0.00 0.00
EURJPY 0.04 -0.14 -0.21 -0.25 -0.18 -0.14 0.03 0.24 0.41 0.45 0.16 0.12 0.21 0.18 0.09 0.28 0.02 -0.18 -0.13 0.18
USDNOK 0.09 0.09 0.09 -0.02 0.06 0.09 -0.12 -0.26 -0.36 -0.41 -0.30 -0.19 -0.15 0.07 0.14 0.07 0.06 0.12 0.05 0.07
% Positive - 5 Day Holding Period Avg % Change
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
EURUSD 41% 49% 38% 49% 49% 54% 56% 62% 59% 64% 64% 56% 56% 59% 56% 56% 49% 41% 44% 46%
GBPUSD 40% 44% 42% 49% 56% 47% 53% 63% 60% 65% 63% 65% 65% 63% 58% 53% 51% 44% 44% 49%
USDJPY 53% 47% 37% 35% 47% 42% 44% 42% 49% 53% 44% 51% 56% 56% 65% 63% 60% 51% 49% 51%
AUDUSD 42% 44% 49% 53% 44% 49% 53% 49% 56% 58% 49% 56% 56% 44% 47% 42% 44% 42% 40% 43%
USDCAD 49% 35% 42% 47% 49% 53% 49% 51% 47% 58% 56% 56% 58% 60% 65% 60% 60% 51% 49% 42%
EURJPY 64% 50% 46% 43% 50% 39% 46% 61% 61% 64% 54% 54% 57% 50% 50% 61% 57% 46% 46% 50%
USDNOK 53% 58% 56% 49% 40% 49% 44% 35% 42% 30% 37% 47% 49% 49% 49% 49% 47% 56% 49% 49%
06/30/2014
Copyright 2014 Arbor Research & Trading, Inc. All rights reserved. This material is for your private information, and we are not soliciting any action based
upon it. This material should not be redistributed or replicated in any form without the prior consent of Arbor. The material is based upon information that
we consider reliable, but we do not represent that it is accurate or complete, and it should not be relied upon as such.
Arbor Quantitative Analytics ('AQA') offer clients a set of tools to measure market momentum and evaluate the
persistence of trends. An unbiased and consistent methodology sets AQA apart from other forms of technical analysis.
The multiple time frame nature of AQA's approach appeals to both the day trader and long term investor alike. AQA
uses a unique pattern recognition approach to calculate how often support and resistance zones were tested and held
under similar conditions. This concise of record of what happened in past comparable situations offers clients a unique
trading edge.
AQA offers coverage of a broad range of global interest rates, spreads, equities, currencies, commodities and credit
markets. Daily reports highlight support and resistance zones for multiple time frames. Daily market commentaries offer
unfiltered conclusions and actionable trading opportunities.
For more information about the contents contained in these reports:
Benjamin Breitholtz - [Link]@[Link]
Peter Forbes - [Link]@[Link]
Jared Tryon [Link]@[Link]
Phone (847) 756-3575
Arbor Research & Trading, Inc.
1000 Hart Road, Suite 260 Barrington IL 60010
Phone (847) 304-1560 Fax (847) 304-1595
e-mail inforequest@[Link]
[Link]
For subscription/service Information:
Arbor Research & Trading, Inc. Director of Sales
& Marketing
(800) 606-1872 Fritz Handler
[Link]@[Link]
Domestic - For more information about Arbor
Research & Trading and its services:
New York Sales Office
The Chrysler Building, 405 Lexington Ave New York,
NY 10174
Edward T. McElwreath
[Link]@[Link]
Phone (212) 867-5326 Fax (212) 370-1218
International - For more information about
Arbor Research & Trading and its services:
London Sales Office
4 Broadgate, 2nd Floor, Room 57 London England
EC2M 2QY
Phone 44-207-965-4784 Fax 44-207-965-4787
Neil Tritton [Link]@[Link]
Ben Gibson [Link]@[Link]
Chicago Sales Office
James L. Perry [Link]@[Link]
Phone (847) 304-1560 Fax (847) 304-1595
Geneva Sales Office
Rich Kleinbauer [Link]@[Link]
Phone (41) 22 363-9229