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Euro in British Pounds - Breakaway Moves 
EURGBPThursday, November 13, 2008
By Gibbons Burke
The value of one Euro in British Pounds (EURGBP) has been rising, from a low of £0.7700 in mid-October the exchange rate traded on Wednesday at an all-time high of £0.8414, during a day where the rate made a 'very big' one-day gain with a 'very large' range. The rate closed (New York close) at £0.8355.
Q: How has the EURGBP performed in the past when it has seen a 'very big' one day percentage gain that is more than two standard deviations stronger than the average one-day percentage move over the last six weeks, and this coincides with the rate trading at a new 13-week high?
A: According to the 9 previous occurrences of this event, EventEdge indicates that EURGBP has shown a very strong bullish edge that peaks 44 trading days after the event. Thus, the projected date for the peak of the bullish edge relative to the current event date (Wednesday, 12 November 2008) is Friday, 16 January 2009. EURGBP rallies in 100% of the cases (9 of 9) by an average of 2.3% relative to the close on the event date. The overall return of the 9 cases is 2.3%, which, based on the close of EURGBP on the event date (£0.8355), provides a target price of £0.8547.
If you'd like to explore this trading idea further using our EventEdge analysis tool, Gold and Platinum subscribers may click here2.
Gibbons Burke3 is editor of MarketHistory.com.
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Let variable values:
@ = EURGBP
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
high of @ is more than 13 week highest of high of @ 1 value ago
THEN 1
ENDIF
Date Day t t+10 t+20 t+26 t+44
09/11/1998 Fri 2.2 -0.6 1.5 2.3 0.8
05/03/2002 Fri 1.2 1.2 2.5 3.5 2.8
05/17/2002 Fri 0.9 1.3 1.3 2.3 1.7
03/02/2007 Fri 0.8 1.0 0.0 0.4 0.5
09/14/2007 Fri 1.0 1.0 0.9 1.1 3.5
11/14/2007 Wed 1.3 -0.2 0.6 1.1 4.0
01/02/2008 Wed 1.1 0.4 0.6 0.3 3.1
02/27/2008 Wed 1.3 0.5 3.4 2.9 3.6
03/17/2008 Mon 1.5 1.1 1.6 1.7 1.1
11/12/2008 Wed 2.6 NaN NaN NaN NaN
Avg 1.4 0.6 1.4 1.7 2.3
AvgPos 1.4 0.9 1.4 1.7 2.3
AvgNeg NaN -0.4 NaN NaN NaN
PctPos 100.0 77.8 100.0 100.0 100.0
PctNeg 0.0 22.2 0.0 0.0 0.0
Maximum 2.6 1.3 3.4 3.5 4.0
Minimum 0.8 -0.6 0.0 0.3 0.5
StdDev 0.6 0.7 1.1 1.1 1.3
ZStat 2.5 1.0 1.3 1.6 1.8
Variance 0.3 0.4 1.1 1.2 1.8
10 Occurrences |
Comments:
Web Address of this trading idea:
Links:
2 http://abeta.markethistory.com/events/chart.html?ticker=EURGBP&events=UpXL0,High13Week0
3 http://www.markethistory.com/staff/detail.html?s=gibbons