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AUD/USD statistical and technical analysis

The current price of the AUD/USD exchange rate is 0.7757 (June 01, 2021). This pair is trading sideways and has tested an important level in recent weeks. The Australian Dollar is highly correlated with commodities. Let’s now look at statistical and technical analyzes.

Based on a long-term analysis of historical data, the average positive and negative daily returns are approximately 0.54% and -0.58% , respectively. The estimated daily return in both directions based on their probability of occurrence is 0.28% and -0.27% . Yesterday´s return was 0.43% , which is still below the first standard deviation. Our scoring is currently negative (-1 ) for the month-on-month change and -3 for price indexation. This means that we are in the last negative phase of the cycle. Both scorings range from -3 up to 3 . The development of the estimated cycles based on our analytical systems is shown in the following chart.

AUD/USD daily price indextaion Source: WALFIR

Different moving averages (MAs) help us better identify trends across multiple time frames. We use 3 basic MAs to find out which sentiment dominates each horizon. The purple line represents the monthly , the green line the 6 months and the yellow line the annual moving average. According to all MAs, AUD/USD is in bearish sentiment, after falling below it last week. As we can see in the chart below, the 6 months and annual MAs are still in bullish sentiment. In the event of a decline, the 6-month MA can be an important support for the exchange rate.

AUD/USD daily price development Source: WALFIR

Since our last analysis, there have been more upward trends. Last summer reached a maximum of 7 consecutive days. Downward trends did not also exceed more than 3 days in the same period. However, the maximum in the measured period is 11 days. We could use the average long-term ATR (Average True Range) obtained from daily data (1.03% ) to estimate Stop Loss orders for our positions. The current value is 0.54% . Approximately 90% confidence interval (return between -1.2% and 1.2% ) is shown in the histogram below by a red rectangle.

AUD/USD daily return distribution Source: WALFIR

We could use the last decile of low to high returns (1.75% ) to estimate Profit Targets, as shown in the chart below.

AUD/USD dialy low to high distribution Source: WALFIR

Basic technical analysis still supports longer-term bullish sentiment, as the exchange rate creates higher highs and higher lows. This pair traded sideways with the support of a short-term moving average and a psychological level of 0.7700 . However, we can also clearly see a bullish divergence between the market price and the RSI. AUD/USD volumes were also above average in mid-May. In the event of a decline, the longer-term moving average and the psychological level of 0.7600 could be a strong support for bulls.

AUD/USD basic technical analysis Source: TradingView

WALFIR Technologies is one of the three divisions of WALFIR s.r.o., which is based in Slovakia. The primary interests of this division are analytical, quantitative, and algorithmic...

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