USDCAD: Hurst Cycles - 20th December 2022

The recent move up in USDCAD is befitting an 80 day component, a low of which we explored in the last report. Did the time frequency analysis prove to be correct?

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Analysis Summary

In our last report into USDCAD we speculated on the position of the most recent 80 day component after it was seemingly attenuated by the strong move up in September this year. Interestingly though the time frequency analysis, which allows an objective and entirely mathematically evidenced based approach to be viewed, suggested the low was forming (or had recently formed) early November.

This is now likely the case with the deviation from the component average (78 days) only around 10 days. The 40 day margin of error we mentioned can now be dismissed as we once again marvel at the wonderful stationarity of this 80 day component, spanning a duration of nearly one and a half years and 8 iterations!

The 80 day component as analysed in our last report. The modulation (to a slightly longer wavelength) in wavelength is …