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New Zealand Dollar vs Japanese Yen (NZDJPY) Seasonality

Over 1998 to 2025 (28 years of data), NZDJPY has tended to move short between 13.07 and 24.08, closing higher in 77.8% of those years for an average +2.45% move and an annualized Sharpe of 1.34.

Average seasonal curve

NZDJPY average seasonal curve, 1998 to 2025
Index	Value
1	100
2	99.84
3	99.7086
4	100.36
5	100.3986
6	100.4871
7	100.5806
8	100.3601
9	100.3893
10	100.3079
11	100.3102
12	100.1924
13	100.0044
14	99.879
15	99.7535
16	99.663
17	99.837
18	99.8415
19	99.8446
20	100.4098
21	100.3272
22	100.5959
23	100.7028
24	100.6448
25	100.3885
26	100.4204
27	100.0407
28	100.1711
29	100.2274
30	100.0466
31	99.9602
32	100.1367
33	99.7419
34	100.2348
35	100.0489
36	99.9317
37	100.0833
38	99.9488
39	100.3322
40	100.5614
41	100.2013
42	100.1185
43	100.1533
44	100.3443
45	100.4049
46	100.4493
47	100.6198
48	100.4706
49	100.423
50	100.4477
51	100.5398
52	100.4221

Strongest recurring windows

Window	Dir	Win rate	Avg return	Sharpe	Years
13.07 → 24.08	Short	77.8%	+2.45%	1.34	27
12.07 → 24.08	Short	77.8%	+2.11%	1.09	27
09.07 → 02.08	Short	77.8%	+1.29%	1.26	27
13.07 → 02.08	Short	77.8%	+1.20%	1.43	27
07.07 → 02.08	Short	77.8%	+1.16%	1.08	27
13.07 → 01.08	Short	77.8%	+1.14%	1.58	27
07.07 → 01.08	Short	77.8%

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