NCI Building Systems - Constructing Gains   Wednesday, June 4, 2008
By Jay Pasch
 Supplier to the non-residential construction industry, NCI Building Systems (NCS) recorded an unusual volume-price rally on Tuesday, gaining $3.25, an 'extra big' (a three standard deviation move) 10.8%, to close the day at $33.40 on increased guidance. History provides a bullish tell given yesterday's move. Q: How has NCS performed after being up 'very big' (a two standard deviation move), recording an 'unusual volume-price rally' on the same day? We define the 'unusual volume-price rally' as a period when trading volume on the rally is more than four times the average volume over the last 20 trading days. A: According to the 9 previous occurrences of this event, NCS has shown a strong bullish edge that peaks 15 trading days after the event. NCS rallies in 100% of the cases (9 of 9) by an average of 5.5% relative to the close on the event date, projecting a target price of $35.24 by Monday, 23 June 2008. Gold and Platinum subscribers can see more about this trading idea in our EventEdge analysis tool. 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.NCS.NYSE
theEvent = IF
1 value percent_move of @ is more than
(30 day average of 1 value percent_move of @ +
(2 * 30 day std_dev of 1 value percent_move of @
)
)
AND
@ is up
AND
Volume of @ is more than (4 * 20 value average of volume of @ 1 value ago )
THEN 1
ENDIF
Date Day t+8 t+9 t+14 t+15 t+16
11/13/1992 Fri 9.3 14.0 7.0 14.0 16.3
04/12/1996 Fri 1.2 -1.9 2.3 4.0 4.0
11/17/1997 Mon 3.0 5.7 4.0 4.7 4.7
03/26/1998 Thu 6.9 10.0 11.0 12.7 12.1
12/17/2001 Mon 4.5 8.3 11.6 7.8 8.7
04/14/2004 Wed 9.4 11.4 5.2 3.8 2.4
08/13/2004 Fri 8.0 7.0 1.3 0.7 5.8
07/13/2005 Wed 1.7 3.6 5.3 5.2 4.0
02/22/2006 Wed 0.1 0.3 2.1 2.1 2.4
06/03/2008 Tue NaN NaN NaN NaN NaN
Avg 4.9 6.5 5.5 6.1 6.7
AvgPos 4.9 7.5 5.5 6.1 6.7
AvgNeg NaN -1.9 NaN NaN NaN
PctPos 100.0 88.9 100.0 100.0 100.0
PctNeg 0.0 11.1 0.0 0.0 0.0
Maximum 9.4 14.0 11.6 14.0 16.3
Minimum 0.1 -1.9 1.3 0.7 2.4
StdDev 3.6 5.2 3.7 4.6 4.8
ZStat 1.4 1.3 1.5 1.3 1.4
Variance 13.0 26.7 13.8 20.7 22.7
10 Occurrences | |
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