I don't have a quantitative way of measuring this but I disagree Europe and Canada are closer in values. Canada has some "Europe" in it but a lot more "North America". If you put a random American and a random Canadian in one room they'll have a lot more common than a random Canadian and a random European. Random examples are suburbia and gun ownership.
Many Canadians are dual-citizens. About a million US citizens live in Canada. Many Canadians work and travel to the US. Business, personal, family relationships etc. Similarly about a million Canadians live in the US.
I've worked a lot with Europeans and Americans (I still do, I work for a large American company with offices in both). I've traveled to the US and to Europe. If you've done that a lot then you know the difference in feeling and culture.