April end-of-month close, Spot vs USD. USD measured in BBDXY Spot
Measure of momentum on different timeframes (1,2,3,6-months), the model applies a quality filter, FRG Filter. Model shorts negative momentum and goes long positive momentum
The FRG Filter allows ranking momentum not only by how negative or positive currencies have been performing but by the amount of periods these have been outperforming or underperforming
The results coming into May showed the next: CAD is top momentum and has the highest quality in the group. NZD has the lowest momentum and with the highest quality (to the downside) in the group. JPY had a higher negative momentum ranking than the NZD, but the model will ignore this as it does not show a quality pattern to justify a short
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