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Canadian Dollar vs Japanese Yen (CADJPY) Seasonality

Over 1993 to 2025 (33 years of data), CADJPY has tended to move short between 08.07 and 02.08, closing higher in 75.8% of those years for an average +0.77% move and an annualized Sharpe of 0.68.

Average seasonal curve

CADJPY average seasonal curve, 1993 to 2025
Index	Value
1	100
2	100.0042
3	100.001
4	100.2433
5	100.2977
6	100.2606
7	100.2373
8	100.171
9	100.1736
10	100.11
11	100.0705
12	99.7927
13	99.6553
14	99.4967
15	99.2226
16	99.3207
17	99.3673
18	99.3939
19	99.316
20	99.3448
21	99.0544
22	98.9938
23	98.9671
24	99.1282
25	99.0413
26	99.2223
27	99.2034
28	99.1692
29	99.2036
30	99.0594
31	99.1629
32	99.3156
33	99.1548
34	99.4589
35	99.3033
36	99.236
37	99.281
38	99.2724
39	99.3188
40	99.5364
41	99.356
42	99.5741
43	99.6866
44	99.817
45	99.7474
46	99.6739
47	99.656
48	99.8364
49	99.7951
50	99.8357
51	99.8229
52	99.9003

Strongest recurring windows

Window	Dir	Win rate	Avg return	Sharpe	Years
08.07 → 02.08	Short	75.8%	+0.77%	0.68	33
13.07 → 18.08	Short	69.7%	+1.09%	0.75	33
09.07 → 03.08	Short	69.7%	+0.87%	0.75	33
13.07 → 04.08	Short	69.7%	+0.76%	0.79	33
08.07 → 01.08	Short	69.7%	+0.67%	0.62	33
13.07 → 28.07	Short	69.7%	+0.33%	0.59	33
07.07 → 21.08	Short	66.7%

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