TD Research discusses the latest readings from its MRSI basket into year-end.
"The FX market is less confident, though again, one of the major trading themes right now revolves around positioning and valuation. We have seen some important changes to MRSI, which now likes a long basket of AUD, NOK, CAD versus EUR, JPY, CHF. It looks pro-risk but also captures the mini-reflation theme that has started to emerge recently.
It reinforces some of our core views like downside in EURNOK and maintaining short exposure to EUR, CHF versus AUD, NZD. Elsewhere, MRSI's neutral on GBP, but our positioning indicators argue the path of least resistance runs lower. For reference, GBPUSD HFFV sits at 1.275 just ahead of the 200dm," TD notes.
"MRSI's backtests only applies to "baskets", but we think it offers a strong case to sell EURNOK and consider a short EUR/CHF, long AUD/NZD basket ahead of the new year," TD adds.