0.68 1.51%
    132.42 -0.28%
    0.63 0.67%
    0.91 -0.26%
    1.34 -0.6%
    144.37 0.26%
    0.88 -0.16%
    1.09 0.55%
    1.24 0.71%

EUR/USD statistical and technical analysis

This week, the testimony of Jerome Powell caused higher volatility in major currency pairs, mainly due to the risk of Omicron and higher inflation. The current price of the EUR/USD exchange rate is 1.1330 (December 02, 2021). The currency pair is again in a critical support zone. Let us, therefore, look at statistical and technical analyzes.

Based on a long-term analysis of historical data, the average positive and negative daily returns are approximately 0.44% and -0.44% , respectively. The estimated daily return in both directions based on their probability of occurrence is 0.22% and -0.21% . Yesterday´s return was -0.16% , well below the first standard deviation. Our scoring is currently positive (2 ) for the month-on-month change and 2 for price indexation. That is, we are at the beginning of a growing 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.

EUR/USD daily price indexation 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, EUR/USD is in bearish sentiment because it is below them. In the event of a rebound, the monthly MA may be exchange rate resistance.

EUR/USD daily price development Source: WALFIR

Since our last analysis, there have been more declining trends, with a maximum of 5 consecutive days. This level has been tested several times in the last 3 years. Uptrends did not exceed more than 2 days. The maximum in the measured period is 5 days in a declining trend and 7 days in an uptrend. We could use the average long-term ATR (Average True Range) obtained from daily data (0.55% ) to estimate Stop Loss orders for our positions. The current value is 0.44% , which is close to the average. Approximately 90% confidence interval (return between -1.0% and 1.0% ) is shown in the histogram below by a red rectangle.

EUR/USD daily return distribution Source: WALFIR

We could use the last decile of low to high returns (1.50% ) to estimate Profit Targets, as shown in the chart below.

EUR/USD daily low to high distribution Source: WALFIR

Basic technical analysis still supports bearish sentiment this year. However, we are currently witnessing a recovery in the exchange rate after falling into an important zone of demand (green rectangle), where is also the Fibonacci retracement level of 61.80% . In addition, we can see a bullish divergence between the market price and the RSI, which has been evolving since October. Volumes on positive days are also above average compared to previous months.

EUR/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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