# Seasonal Trends of the AUDUSD Currency Pair

04 February 2022 303 3

In this article we determine seasonal trends in changes of quotes of the Australian dollar with respect to the US dollar.

Hypothesis

The AUDUSD currency pair has a well-pronounced seasonality in various weeks of the year.

To determine seasonality, we will use the following criteria:

1. The share of cases of unidirectional increments of daily deltas within one week for a period of at least 10 years must be higher than 53%.
2. The ratio between the average value of positive daily increments and the average value of negative daily increments must comply with the direction of week-long price increments. So, this condition is met if this value is more than 1.
3. The linear trend of the distribution of values of week-long deltas must have the direction towards growth of unidirectional increments.

Only if all the three listed conditions are met, we can talk about seasonality of the AUDUSD quotes.

Data used

As source data, we will use the following:

Historical data of quotes of the AUDUSD currency pair.

The timeframe is 1D.

The history covers the period since December 1979 until May 2019.

The sample is 10 256 values.

For a clear vision of the detection of seasonal trends, we will introduce the consistence of our actions in the following diagrams.

Step 1. We will estimate the share of cases when quotes mostly rise or fall. Green weeks are a rise. Red weeks are a fall.

32 weeks of the year meet the 1st criterion: 1, 2, 4, 5, 6, 7, 9, 12, 13, 15, 16, 18, 20, 23, 29, 30, 31, 32, 33, 34, 37, 38, 40, 41, 45, 46, 47, 48, 50, 51, 52, 53.

Step 2. We calculate the ratio between average positive and average negative changes of quotes.

As the result of the 2nd step, 14 weeks were filtered out: 1, 7, 16, 18, 23, 33, 34, 38, 40, 41, 45, 46, 47, 50.

18 weeks of the year (2, 4, 5, 6, 9, 12, 13, 15, 20, 29, 30, 31, 32, 37, 48, 51, 52, 53) meet two of three criteria of seasonality.

﻿While weeks 2, 5, 9, 12, 13, 15, 29, 37, 48, 51, 52, 53 are characterized by growth of quotes and weeks 4, 6, 20, 30, 31, 32 are characterized by a decline.

Now we test these weeks against the 3rd criterion of a linear trend of the distribution of week-long changes of quotes for the last 10 years.

Step 3. According to the filtration based on the last condition for selection, we obtain the following final picture of weeks with a well-pronounced seasonality.

11 weeks meet all the three conditions: 2, 5, 6, 12, 15, 30, 31, 48, 51, 52, 53.

Conclusion

So, we have confirmed that there are manifestations of seasonality of quotes of the Australian dollar with respect to the US dollar.

The quotes of this currency pair are characterized by growth during the 2nd, 5th, 12th, 15th, 48th, 51st, 52nd, 53rd weeks of the year and experience a decline during the 6th, 30th, and 31st weeks.

The influence of seasonality on the AUDUSD currency pair has been identified.

Detailed results are presented in the appendix:

﻿XLSX (0.26 MB)Seasonal trends of the AUDUSD﻿.xlsx﻿