I always liked boxplots. I think they provide a great and very visual way to position current data relative to their history whilst highlighting outliers. This is particularly useful as it helps to put recent moves in context of their past opportunities and possibly highly reversals and/or opportunities. To illustrate this I wrote a quick script in R to grab the BOE G10 Trade weighted indices from the website of the bank of England and posititon the most recent one week move relative to its history of weekly move going back to 1990.
The blue dots represent the most recent observations, the orange dots are the outliers over the period 1990 to date. The boxes emcompasses the observations that fall between the 25% and 75% quantiles. The Blue lines in the box are the median value over the sample and the “wiskers” represent an interval of close to 95%.
Trade Weighted Currency Indices Report
Tue Jul 04 20:51:00 2017
The following report aims to provide a gauge to the current strenght of major currencies. For doing so I use the Bank of England Trade weighted Exchange rate indices and a standardised statistical measures of price deviation to provide an estimate of how stretched major currencies are on a trade weighted perspective.
I first calculate the T-stat of the mean price deviations over a rolling period of 61 days. The charts below show the results for each currency over the last 500 days. The purple line represents the median value since 1990-01-03 and the red lines represent the 95% confidence intervals. Therefore if the value is above or below those the deviation of the given currency would be deemed as atypical relative to what #would be expected under a normal distribution and therefore overbought/oversold.
The following Map chart shows how stretched the currencies are over time horizons ranging from 1-month to 1-year. The bigger the square the most significant the upside (green) or downside (red) of currencies over the given period.
The charts below show how the daily changes in the Trade weighted indices have correlated since January 1990 and since the begining of 2015.
Finally, the following provide an ARIMA forecast for each of the trade weighted indices. My script selects the best ARIMA fit over the previous 250-day to generate a forecast for the next 21 days.
It also shows the forecast confidence intervals.