Japan Small-cap Fund: The Rising Sun   Tuesday, May 27, 2008
By Jay Pasch
 Japan Small-cap Fund (JOF) sank another 13 cents, or 1.3%, down for a fifth straight session on Friday, closing at $9.52 recording a 'very large' five-day decline of -6.7%. The history of this event suggests a pending rise... Q: How has Japan Small-cap Fund (JOF) performed in the past after recording a 'very large' five-day decline during the second quarter? A: According to the 9 previous occurrences of this event, JOF has shown a very strong bullish edge that peaks 12 trading days after the event. JOF rallies in 100% of the cases (9 of 9) by an average of 7.2% relative to the close on the event date, providing a target price of $10.21 by Wednesday, 11 June 2008. Given last week's bearish turn away from the 200-period moving average by the S&P-500 futures contract, and 400-period moving average by the S&P-500 index, consider a more defensive entry than Friday's close if price continues to decline on Tuesday, looking for an eventual retest of the 2008 base breakout area at $9.25 as depicted on the candlestick chart below. Mr. Jay Pasch is a private futures and equities trader based in Minnesota. He may hold positions in the instruments mentioned in his trading ideas.
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| | Let variable values:
@ = GII.JOF.NYSE
theEvent = IF
5 value percent_move of @ is less than
(30 day average of 5 value percent_move of @ -
(2 * 30 day std_dev of 5 value percent_move of @
)
)
AND
@ is less than 200 value average of @
AND
Date is second quarter
THEN 1
ENDIF
Date Day t+10 t+11 t+12 t+13 t+15
04/07/1992 Tue 7.0 9.9 7.0 5.6 4.2
06/10/1992 Wed 2.7 2.7 4.0 6.7 8.0
06/18/1993 Fri 10.0 11.4 10.0 10.0 12.9
04/16/1997 Wed 6.4 8.5 8.5 10.6 14.9
06/03/1998 Wed 3.8 3.8 6.4 5.1 2.6
04/14/2000 Fri 11.7 11.0 9.7 10.3 11.0
05/10/2004 Mon 8.5 12.8 12.2 14.2 15.5
04/15/2005 Fri 2.5 2.4 3.4 4.6 5.6
05/17/2007 Thu 5.2 6.4 3.8 2.8 3.6
05/23/2008 Fri NaN NaN NaN NaN NaN
Avg 6.4 7.7 7.2 7.8 8.7
AvgPos 6.4 7.7 7.2 7.8 8.7
AvgNeg NaN NaN NaN NaN NaN
PctPos 100.0 100.0 100.0 100.0 100.0
PctNeg 0.0 0.0 0.0 0.0 0.0
Maximum 11.7 12.8 12.2 14.2 15.5
Minimum 2.5 2.4 3.4 2.8 2.6
StdDev 3.2 4.0 3.1 3.7 5.0
ZStat 2.0 1.9 2.3 2.1 1.7
Variance 10.4 15.9 9.6 13.5 25.1
10 Occurrences | |
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