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Crude Oil - to reach $140/bbl.? 
(1)
NYM.CLTuesday, May 6, 2008
By Anthony Kolton
Crude Oil futures (NYM.CL) rallied a second 'big' day in a row, gaining 3.1% following Friday's 3.4% gain, to close at a record $119.97 after trading as high as $120.30. Other energy futures rallied strongly as well: Natural Gas (NYM.NG) futures gained a 'big' 3.7%, Heating Oil (NYM.HO) gained a 'big' 2.7% (second 'big' gain in a row), and RBOB Gasoline futures (NYM.RB) gained 2.9%. What's the historical significance of such strength in the energy futures market across the board?
Q: How have Crude Oil futures performed in the past when Natural Gas futures gain more than 3.0%, Heating Oil gains more than 1.0%, and Gasoline futures (HU or RB.UNL) gain more than 1.0%, omitting any repeat occurrences within 3 months?
A: According to the 13 previous occurrences of this event, EventEdge indicates that NYM.CL has shown a very strong bullish edge that peaks 74 trading days after the event. Thus, the projected date for the peak of the bullish edge relative to the current event date (Monday, 5 May 2008) is Tuesday, 19 August 2008. NYM.CL rallies in 100% of the cases (13 of 13) by an average of 16.8% relative to the close on the event date. The overall return of the 13 cases is 16.8%, which, based on the close of NYM.CL on the event date ($119.97), provides a target price of $140.12.
Anthony Kolton2 is president of Logical Information Machines3 and Markethistory.com, Inc.
Related Ideas:
- Crude Oil Futures - Fed Pulling it Further off the Highs4 - May 1, 2008
- NYMEX Crude Oil: "The" crowded energy trade5 - April 30, 2008
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Let variable values:
@ = CL
theEvent = IF
Date is second quarter
AND
1 value percent_move of NG is more than 3
AND
1 value percent_move of HO is more than 1
AND {
1 value percent_move of HU is more than 1
OR
1 value percent_move of RB.UNL is more than 1 }
THEN 1
ENDIF
Date Day t+15 t+30 t+45 t+66 t+74
06/27/1991 Thu 8.2 4.8 7.3 8.0 12.3
04/21/1992 Tue 2.6 8.7 11.0 7.6 3.7
04/04/1994 Mon 12.3 14.6 23.8 35.2 33.4
06/27/1996 Thu 1.8 8.6 17.8 22.8 30.3
06/22/1998 Mon 6.7 -1.1 -2.9 12.3 8.7
05/13/1999 Thu -4.2 1.0 12.4 17.5 13.6
05/08/2000 Mon 7.6 17.2 20.1 22.7 26.2
04/01/2002 Mon -2.3 5.1 -2.9 1.0 5.0
05/05/2003 Mon 14.1 20.6 24.9 33.3 26.9
04/26/2004 Mon 12.4 1.2 0.2 19.6 22.3
06/01/2005 Wed 6.1 5.6 9.8 20.8 15.6
04/17/2006 Mon -3.4 -1.2 -5.6 -0.0 1.9
04/10/2007 Tue 2.9 3.8 5.0 16.3 19.1
05/05/2008 Mon NaN NaN NaN NaN NaN
Avg 5.0 6.8 9.3 16.7 16.8
AvgPos 7.5 8.3 13.2 18.1 16.8
AvgNeg -3.3 -1.2 -3.8 -0.0 NaN
PctPos 76.9 84.6 76.9 92.3 100.0
PctNeg 23.1 15.4 23.1 7.7 0.0
Maximum 14.1 20.6 24.9 35.2 33.4
Minimum -4.2 -1.2 -5.6 -0.0 1.9
StdDev 6.1 6.9 10.3 10.9 10.5
ZStat 0.8 1.0 0.9 1.5 1.6
Variance 36.6 47.9 106.8 118.3 109.7
14 Occurrences |
Comments:
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2 http://www.markethistory.com/staff/detail.html?s=kolton
3 http://www.lim.com/
4 http://www.markethistory.com/content/content.html/13995.html
5 http://www.markethistory.com/content/content.html/13993.html