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US Dollar vs Japanese Yen (USDJPY) Seasonality

Over 1986 to 2025 (40 years of data), USDJPY has tended to move short between 27.08 and 07.09, closing higher in 65.0% of those years for an average +0.30% move and an annualized Sharpe of 0.88.

Average seasonal curve

USDJPY average seasonal curve, 1986 to 2025
Index	Value
1	100
2	100.1027
3	100.3114
4	100.8302
5	100.9061
6	100.7612
7	100.9331
8	100.8406
9	100.8555
10	101.0221
11	100.9249
12	100.3181
13	99.953
14	100.0961
15	99.9653
16	100.1198
17	100.4239
18	100.4205
19	100.3903
20	100.2988
21	100.302
22	100.4244
23	100.6096
24	100.4846
25	100.3286
26	100.5604
27	100.6705
28	100.7602
29	100.6854
30	100.637
31	100.6681
32	100.323
33	100.5873
34	101.0436
35	101.0686
36	100.9834
37	100.7701
38	100.5811
39	100.8393
40	100.8139
41	100.8624
42	100.8953
43	101.1809
44	101.3448
45	101.3481
46	101.4828
47	101.605
48	101.3874
49	101.4326
50	101.3368
51	101.0598
52	101.1464

Strongest recurring windows

Window	Dir	Win rate	Avg return	Sharpe	Years
27.08 → 07.09	Short	65.0%	+0.30%	0.88	40
26.08 → 07.09	Short	65.0%	+0.20%	0.54	40
24.08 → 05.10	Long	65.0%	+0.12%	0.10	40
23.08 → 05.10	Long	65.0%	-0.01%	-0.01	40
25.08 → 12.10	Long	65.0%	-0.19%	-0.11	40
22.08 → 12.10	Long	65.0%	-0.26%	-0.14	40
23.08 → 12.10	Long	65.0%

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