Testing EUR/USD Returns Around Non-Farm Payroll Releases

Summary

The article examines whether EUR/USD shows a repeatable return pattern around the US non-farm payroll release, scheduled for the first Friday of each month. It describes plotting average cumulative returns across the morning window from 6:00 to 11:00 Eastern time using five-minute bars, then conditioning the results on whether EUR/USD rose during the hour after the announcement.

The initial analysis finds little average movement before the release and a small decline afterward, which the author cautions may simply reflect EUR/USD’s broader market bias during the sample. Conditioning on the post-release direction produces a more interesting comparison, but the excerpt does not provide its results or a complete trading rule. The analysis uses historical data from 2009 through 2018 and relies on future bars to classify the post-announcement move, so that direction can only serve as a filter after the hour has elapsed. No transaction costs, risk controls, or out-of-sample validation are reported in the supplied text.

Key ideas

• The analysis tracks cumulative EUR/USD returns during the morning of each first-Friday payroll release.
• The initial average pattern shows little movement before the release and a slight decline afterward.
• The article then separates observations by the direction of the first post-release hour.
• The apparent decline may reflect the pair’s general bias over the sample rather than an event effect.
• The excerpt omits the conditional results and does not establish a fully evaluated trading strategy.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.