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 Pasch³ is a private futures and equities trader based in Minnesota. He may hold positions in the instruments mentioned in his trading ideas.

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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Web Address of this trading idea:

http://www.markethistory.com/subscribe/best_of/content.html/14129.html

Links:

¹ http://www.lim.com
² http://www.markethistory.com/content/analog/analog.html?ticker=JOF
³ http://www.markethistory.com/staff/detail.html?s=pasch

Japan Small-cap Fund: The Rising Sun

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