AUD Futures: Last-days-of-the-month bias

In this analysis we will present a bias identified in the AUD futures, an inefficiency that recurs in the market with a certain regularity linked to specific days of the month. More specifically, let’s look at the futures’ behaviour in its last days of the month, namely the trading days in the period from the 21st to the 31st of each month.

The analysis made since 2002 shows a slight tendency for AUD to have a positive performance in this part of the month with a win ratio of 56%.

Figure 1 – AUD chart (source: https://it.tradingview.com/symbols/CME-6A1!/).

As we can see from the graph, the Aud future has not been characterised by a constant trend since 2002. An initial bullish part was followed by an up and down in price, only to find stability in the latter part.

A closer look at the data for the last few days of the month reveals a bias linked to particular months, first and foremost June, with a win ratio of 67%.

In fact, out of a period of 21 years, in 14 of them the last days of June have a positive performance.

2002	-0,0074
2003	0,0062
2004	0,0069
2005	-0,0157
2006	0,0058
2007	0,005
2008	0,0064
2009	0,0029
2010	-0,0344
2011	0,0166
2012	0,0064
2013	-0,0039
2014	0,0053
2015	-0,0045
2016	-0,0006
2017	0,0103
2018	0,0033
2019	0,0093
2020	0,0077
2021	0,0013
2022	-0,0025

Table 1 – Tick movements by year in last days of June.

Bias such as the one presented is often originated by fundamental economic causes. Used alone it gives good results, but can be integrated with other techniques to form patterns that are in line with the market trend.