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Soybean Oil Futures - September Weakness 
BO_UThursday, July 31, 2008
By Ronish Patel
Soybean Oil Futures (CBT.BO) have rallied on four of the past five trading days, but are still down -0.5% over the span. BO rallied 0.7% during Wednesday's session to close the day at 58.26. The gain came on an 'outside day' pattern, where the high was higher than the previous day's high and the low was lower than the previous day's low. This pattern can be seen as a sign of increasing volatility. BO is already trading at 50-day lows; will matters get worse?
More specifically, let's take a look at the September Contract (BO_U)...
Q: How has BO_U performed in the past, omitting repeat occurrences within 10 trading days, when, during the third quarter, it rallies by more than 0.5% on an 'outside day' pattern while trading at a 50-day low?
A: According to the 14 previous occurrences of this event, EventEdge indicates that BO_U has shown a strong bearish edge that peaks 14 trading days after the event. Thus, the projected date for the peak of the bearish edge relative to the current event date (Wednesday, 30 July 2008) is Tuesday, 19 August 2008.
BO_U declines in 93% of the cases (13 of 14) by an average of -6.3% relative to the close on the event date. The average of the 1 rally is 1.8%. The overall return of the 14 cases is -5.7%, which, based on the close of BO_U on the event date (58.53), provides a target price of 55.19.
Ronish Patel2 is an analyst with MarketHistory.com.
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Let variable values:
@ = BO_U
theEvent = IF
Date is third quarter
AND
1 value percent_move of @ is more than 0.5
AND OutsideDay ( @ )
AND
low of @ is less than 50 day lowest of low of @ 1 value ago
THEN 1
ENDIF
Date Day t+10 t+14 t+19 t+22 t+25
07/12/1977 Tue 4.3 -3.9 -2.2 -1.7 -10.5
08/18/1977 Thu -2.8 -6.4 -10.8 -8.8 -5.2
08/19/1981 Wed -3.8 -5.1 -5.9 -6.3 -6.3
07/10/1985 Wed -6.9 -9.2 -12.7 -14.9 -15.4
08/20/1985 Tue 0.4 -4.3 -2.4 -5.1 -2.0
07/25/1986 Fri -10.0 -13.7 -16.8 -14.8 -17.9
08/18/1986 Mon -8.5 -5.5 -6.2 -4.9 -2.2
07/27/1992 Mon -4.6 -3.2 -2.9 -1.3 -4.4
09/12/1995 Tue 1.2 1.8 2.8 4.1 3.1
07/09/1996 Tue -0.5 -2.7 -2.1 -0.3 1.2
07/02/1997 Wed 1.3 -0.7 0.5 0.9 -0.9
07/10/2000 Mon -2.4 -3.3 -4.8 -5.2 -4.9
09/17/2001 Mon -5.9 -7.3 -8.7 -8.0 -10.0
07/14/2004 Wed -11.8 -16.0 -13.8 -10.2 -9.6
07/30/2008 Wed NaN NaN NaN NaN NaN
Avg -3.6 -5.7 -6.2 -5.5 -6.1
AvgPos 1.8 1.8 1.7 2.5 2.2
AvgNeg -5.7 -6.3 -7.5 -6.8 -7.4
PctPos 28.6 7.1 14.3 14.3 14.3
PctNeg 71.4 92.9 85.7 85.7 85.7
Maximum 4.3 1.8 2.8 4.1 3.1
Minimum -11.8 -16.0 -16.8 -14.9 -17.9
StdDev 4.7 4.8 5.7 5.6 6.1
ZStat -0.8 -1.2 -1.1 -1.0 -1.0
Variance 22.1 22.6 32.8 31.3 36.7
15 Occurrences |
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2 http://www.markethistory.com/staff/detail.html?s=ronish