CAD futures monthly bias

In this analysis, we will consider the CAD futures. Dividing the time series starting in 2002, we will look for the existence of a correlation between the various months.

Figure 1 – CAD chart (source: https://it.tradingview.com/symbols/CME-6C1!/)

The correlation in question is characterized by a positive return in the previous month t-1, accompanied by an appreciation of the futures price in the following month t.

This correlation becomes apparent by distinguishing the months. We thus find March as the month in which the positive return in t-1 (February) occurs 14 times out of the 21 years observed.

2002	March	0,0105
2003	March	0,0071
2005	March	0,0165
2006	March	-0,0248
2007	March	0,0117
2008	March	-0,0390
2010	March	0,0344
2011	March	0,0032
2012	March	-0,0073
2014	March	0,0034
2015	March	-0,0091
2016	March	0,0318
2021	March	0,0187
2022	March	-0,0140

Table 1 – List of March tick movements in years when it is preceded by a positive February.

Over these 14 years, the positive February return has been followed by a positive March return 9 times, thus with a Win Ratio of 65% and an average tick movement of 0.0025.

As in all biases based on specific seasonal dynamics, researching, optimising and flanking other biases, even of a different type, will allow one to obtain exit signals that will guarantee better performance.