Euro in Yen - Depreciating Further?   Wednesday, January 9, 2008
By Pratik Shah
 The value of a Euro in Japanese Yen (EURJPY) has bounced back and forth from the ¥160 to ¥165 level since the 2nd week of November. During Tuesday's day trading in New York, a -0.1% change put EURJPY at ¥160.178 (below the 200-day moving average). The loss resulted in the 10-day moving average crossing below the 50-day moving average. The five day change (as of the close in New York) was -1.7%, considered 'large' because the move was more than 1 standard deviation away from the 30 day mean. Q: How has EURJPY performed in the past when it remains below the 200-day moving average after its 10-day moving average crosses below the 50-day moving average while posting a 'large' five day decline? A: According to the 8 previous occurrences of this event, omitting any repeat occurrences within 10 trading days, EventEdge indicates that EURJPY has shown a very strong bearish edge that peaks 5 trading days after the event. Thus, the projected date for the peak of the bearish edge relative to the most recent occurrence of the event (Tuesday, 8 January 2008) is Tuesday, 15 January 2008.
EURJPY declines in 88% of the cases (7 of 8) by an average of -2.1% relative to the close on the event date. The average of the 1 rally is 0.1%. The overall return of the 8 cases is -1.8%, which, based on the close of EURJPY on the event date (¥160.178), provides a target price of ¥157.2948. Click here to get into EventEdge and change the parameters of the original query. Pratik Shah is an analyst with Markethistory.com.
 |
| | Let variable values:
@ = EURJPY
theEvent = IF
Date is first quarter
AND
5 value percent_move of @ is less than
(30 day average of 5 value percent_move of @ -
(1 * 30 day std_dev of 5 value percent_move of @
)
)
AND
10 value average of @ crosses below 50 value average of @
AND
@ is less than 200 value average of @
THEN 1
ENDIF
Date Day t+3 t+4 t+5 t+6 t+7
02/15/1985 Fri -0.78 -1.17 -2.99 -2.47 -0.71
02/05/1986 Wed -1.31 -1.17 -1.23 -2.96 -3.11
01/15/1992 Wed -1.90 -1.56 -1.96 -2.79 -1.75
02/02/1993 Tue -1.19 -1.64 -3.43 -3.75 -3.83
02/20/1997 Thu -0.23 -0.73 -1.82 -2.42 -1.96
03/18/1999 Thu -0.02 -0.36 -0.67 0.59 0.19
03/07/2000 Tue 0.57 -0.11 0.07 0.41 0.42
03/22/2004 Mon -2.10 -2.40 -2.59 -2.32 -2.44
01/08/2008 Tue NaN NaN NaN NaN NaN
Avg -0.87 -1.14 -1.83 -1.96 -1.65
AvgPos 0.57 NaN 0.07 0.50 0.30
AvgNeg -1.08 -1.14 -2.10 -2.79 -2.30
PctPos 12.50 0.00 12.50 25.00 25.00
PctNeg 87.50 100.00 87.50 75.00 75.00
Maximum 0.57 -0.11 0.07 0.59 0.42
Minimum -2.10 -2.40 -3.43 -3.75 -3.83
StdDev 0.93 0.74 1.18 1.59 1.52
ZStat -0.93 -1.54 -1.54 -1.24 -1.09
Variance 0.87 0.55 1.40 2.52 2.31
9 Occurrences | |
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EURJPY