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 tool³.

Mr. Jay Pasch⁴ 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.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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Web Address of this trading idea:

http://www.markethistory.com/subscribe/best_of/content.html/14192.html

Links:

¹ http://www.lim.com
² http://www.markethistory.com/content/analog/analog.html?ticker=NCS
³ http://www.markethistory.com/content/events/stocks/chart.html?ticker=NCS&events=UpXL0,UnusualVolGain0
⁴ http://www.markethistory.com/staff/detail.html?s=pasch

NCI Building Systems - Constructing Gains

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