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New Zealand Dollar vs Canadian Dollar (NZDCAD) Seasonality

Over 2002 to 2025 (24 years of data), NZDCAD has tended to move short between 09.07 and 27.08, closing higher in 70.8% of those years for an average +1.09% move and an annualized Sharpe of 0.91.

Average seasonal curve

NZDCAD average seasonal curve, 2002 to 2025
Index	Value
1	100
2	99.8899
3	99.8493
4	99.7977
5	99.5622
6	99.7358
7	99.7617
8	99.7902
9	99.9644
10	100.1313
11	100.2938
12	100.2637
13	100.2103
14	100.184
15	100.241
16	100.0687
17	100.0444
18	100.151
19	99.9172
20	99.7441
21	99.7703
22	99.9972
23	100.0248
24	99.9507
25	100.0425
26	99.9061
27	99.808
28	99.7883
29	99.6376
30	99.4679
31	99.4914
32	99.6375
33	99.5988
34	99.4089
35	99.4837
36	99.5865
37	99.6268
38	99.6533
39	99.5955
40	99.6275
41	99.5779
42	99.509
43	99.4269
44	99.4055
45	99.5832
46	99.6506
47	99.7389
48	99.592
49	99.674
50	99.7852
51	99.8252
52	99.7511

Strongest recurring windows

Window	Dir	Win rate	Avg return	Sharpe	Years
09.07 → 27.08	Short	70.8%	+1.09%	0.91	24
08.07 → 26.08	Short	70.8%	+1.03%	0.93	24
10.07 → 31.08	Short	70.8%	+1.00%	0.74	24
09.07 → 29.08	Short	70.8%	+0.92%	0.73	24
10.07 → 31.07	Short	70.8%	+0.22%	0.50	24
13.07 → 05.09	Short	66.7%	+1.47%	0.89	24
10.07 → 05.09	Short	66.7%

Explore further

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