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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 07.07 and 02.09, closing higher in 67.5% of those years for an average +1.12% move and an annualized Sharpe of 0.69.

Average seasonal curve

USDJPY average seasonal curve, 1986 to 2025
Index	Value
1	100
2	99.9382
3	100.0992
4	100.3086
5	100.2998
6	100.2555
7	100.2117
8	100.255
9	100.174
10	100.1567
11	100.1506
12	99.8857
13	99.6746
14	99.8042
15	99.5766
16	99.7027
17	99.8552
18	100.0161
19	100.0159
20	100.0543
21	99.953
22	99.9738
23	99.7964
24	99.877
25	99.7813
26	99.8528
27	99.9451
28	99.9017
29	100.0006
30	99.8607
31	99.8051
32	99.7464
33	99.8488
34	99.8784
35	99.8952
36	99.9303
37	99.9824
38	99.9537
39	99.8547
40	99.9665
41	99.9436
42	100.1465
43	100.2075
44	100.1565
45	100.1475
46	100.254
47	100.2403
48	100.2866
49	100.2162
50	100.2978
51	100.3055
52	100.3271

Strongest recurring windows

Window	Dir	Win rate	Avg return	Sharpe	Years
07.07 → 02.09	Short	67.5%	+1.12%	0.69	40
07.07 → 04.09	Short	67.5%	+1.09%	0.63	40
07.07 → 31.08	Short	67.5%	+1.04%	0.65	40
07.07 → 20.08	Short	67.5%	+0.98%	0.74	40
07.07 → 01.09	Short	67.5%	+0.97%	0.59	40
11.07 → 09.09	Short	67.5%	+0.94%	0.51	40
13.07 → 06.09	Short	67.5%

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