Fx quant what fx signals are winning
中文标题
外汇量化：哪些外汇信号正在胜出
Core conclusion · Tlines extraction
MUFG's FX quant framework tests 26 strategies across momentum, value, carry, risk and volatility over 3-, 6- and 9-week horizons, scoring 78 configurations for persistence and risk-adjusted robustness. Carry is flagged as the standout systematic signal, and winning strategies carry a broadly bearish G10 bias versus the dollar, concentrated in JPY and CAD. Recommended trades: short EUR/GBP (3 weeks), long USD/JPY (9 weeks) and long USD/CAD (9 weeks).
- Institution
- MUFG
- Published
- 10/22/2026
- Research topic
- US Dollar (DXY) · USD/JPY · Inflation
- Time horizon
- 2025 · 2026
Key arguments
- Carry has re-emerged as a leading strategy family this year, with leadership rotating around macro disruptions such as the 2025 tariff shock and the 2026 US-Iran conflict.
- JPY shows unanimous bearish conviction across all strategy families and all three holding horizons, as rate differentials, valuation and risk reinforce one signal.
- CAD holds the next broadest bearish conviction, supported by weak growth, tariff headwinds and an inflation-constrained central bank.
- GBP and AUD stay neutral because signals are genuinely divided between hawkish central banks and fiscal, commodity and valuation offsets.
Key numbers
- Strategy configurations tested
- 78
- Winning score threshold
- 0.5
- Short EUR/GBP horizon
- 3 weeks
- Long USD/JPY and USD/CAD horizon
- 9 weeks
- Japan machine tool orders, September YoY
- 60.4%
Main risks
- Systematic signals are regime-dependent; leadership rotation around macro disruptions can invalidate current winners.
- CHF bearishness is less certain, as residual safe-haven demand and resilient growth offset the structural carry drag.
- US inflation has re-accelerated, with housing, consumer and financial-condition risks rising alongside elevated rates.
Corresponding source evidence
• JPY and CAD show the strongest bearish conviction vs. USD, supported by signals across valuation, carry and volatility strategies.
The “Liberation Day” tariff shock in April-2025 coincided with higher FX volatility and a deterioration in Carry performance, before the initial market reaction faded and carry positions were rebuilt to pre-event levels.
· 2025The US-Iran conflict in early 2026 marked another shift in the systematic backdrop, as the energy shock and changing policy expectations generated stronger directional moves across G10 FX, this created a more supportive environment for momentum.
· 2026
Context: the conclusion is Tlines' automated extraction, not the institution's wording. Quoted evidence is publisher wording. Scope and date must travel with the conclusion.
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AI analysis
Cross-institution comparison · DXY
How this page was produced
Tlines extracted the conclusion, arguments, numbers and risks above from the report published by MUFG on 10/22/2026, then structured them for comparison. The publisher's own wording is reachable through the source link on this page and is displayed in full above. Last updated 10/23/2026. Methodology · Source policy · AI usage · Request a correction