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New Zealand Dollar vs US Dollar (NZDUSD) Seasonality

Over 1991 to 2025 (35 years of data), NZDUSD has tended to move short between 17.08 and 24.08, closing higher in 71.4% of those years for an average +0.47% move and an annualized Sharpe of 2.06.

Average seasonal curve

NZDUSD average seasonal curve, 1991 to 2025
Index	Value
1	100
2	99.7471
3	99.4084
4	99.4971
5	99.4151
6	99.7025
7	99.7829
8	99.6473
9	99.5144
10	99.3061
11	99.4008
12	99.8401
13	99.8998
14	99.7243
15	99.668
16	99.4968
17	99.4014
18	99.4326
19	99.4169
20	100.0147
21	99.887
22	100.0621
23	100.3418
24	100.4169
25	100.3819
26	100.2628
27	100.1283
28	100.1018
29	100.2859
30	99.9558
31	99.8801
32	100.3719
33	99.6807
34	99.682
35	99.4406
36	99.3557
37	99.6741
38	99.7537
39	99.8382
40	100.0843
41	99.8999
42	99.9395
43	99.7783
44	99.881
45	99.9863
46	99.9294
47	99.9992
48	100.0675
49	99.7342
50	99.7397
51	100.1205
52	99.958

Strongest recurring windows

Window	Dir	Win rate	Avg return	Sharpe	Years
17.08 → 24.08	Short	71.4%	+0.47%	2.06	35
17.08 → 23.08	Short	68.6%	+0.44%	2.13	35
17.08 → 30.08	Short	65.7%	+0.59%	1.63	35
18.08 → 24.08	Short	65.7%	+0.43%	2.12	35
18.08 → 23.08	Short	65.7%	+0.39%	2.20	35
21.08 → 19.09	Long	65.7%	+0.15%	0.18	35
16.08 → 13.09	Long	65.7%

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