📝 Momentum Signals Flagged Negative For GBP/USD After BoE: MUFG Strategy

This week our analysis answers the question, following central bank policy decisions, does price action across major currency pairs continue in the following week?’. We use our rolling momentum signals (5, 21, 63 day) to capture conditions prior to the central bank decision, comparing like-for-like. Forward looking return is calculated as price action over a defined period. Short-term momentum is computed as the average lagged spot return divided by the standard deviation of the time-series.

The chart below identifies GBP/USD price action in the subsequent 7-day period following a BoE policy decision. The chart is filtered to include returns which replicate our current conditions and therefore only include instances where the 1-day forward looking return was negative and all trailing momentum signals flagged negative. - MUFG Strategy