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Crude Oil Bullishness 
NYM.CLThursday, May 14, 2009
By Ronny Kraft
Crude Oil futures have slacked off a bit from their upward pace of late, which has taken prices from the low 40s to closing near $60/barrel on Wednesday. The nearby contract closed at $58.02, down -1.4% on the day in a 'bearish reversal' pattern. Two days previous to Wednesday, on Monday, it became clear that among the trader categories tracked by the CFTC and published in the Commitments of Traders report, the Small Traders have gone from being short to long.
Q: What has happened in the past when Crude Oil futures have a 'bearish reversal' pattern two days after the Small Traders shift from a net short position to net long, when the market is below its average price over the last 200 trading days?
A: According to the 8 previous occurrences of this event, EventEdge indicates that NYM.CL has shown a very strong bullish edge that peaks 53 trading days after the event. Thus, the projected date for the peak of the bullish edge relative to the current event date (Wednesday, 13 May 2009) is Wednesday, 29 July 2009. NYM.CL rallies in 88% of the cases (7 of 8) by an average of 35.0% relative to the close on the event date. The average of the 1 decline is -6.6%. The overall return of the 8 cases is 29.8%, which, based on the close of NYM.CL on the event date (58.02), provides a target price of 75.31.
Ronny Kraft2 is the Senior Managing Partner of Merchant Intercapital Corp. in Fort Lee, New Jersey.
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Let variable values:
@ = CL
theEvent = IF ReversalBear ( @ )
AND
2 values ago {{
The weekly CoTSTL of @ 2 weeks ago - The weekly CoTSTS
of @ 2 weeks ago is at most 0 }
AND {
The weekly CoTSTL of @ 1 week ago - The weekly CoTSTS of
@ 1 week ago is more than 0 }}
AND
@ is less than 200 value average of @
AND
@ is DEFINED
THEN 1
ENDIF
Date Day t+5 t+10 t+20 t+43 t+53
03/07/1986 Fri 3.6 11.6 14.7 31.1 30.7
11/15/1988 Tue 4.7 17.3 22.6 55.0 47.3
04/13/1992 Mon 0.1 0.0 2.7 8.5 7.9
03/19/1993 Fri 0.4 1.6 -1.6 -6.3 -6.6
12/21/1998 Mon 6.5 16.5 12.8 13.1 32.4
02/01/1999 Mon -5.7 -8.1 0.2 34.2 41.1
01/17/2002 Thu 7.7 9.8 16.1 37.9 41.2
02/23/2009 Mon 4.4 22.5 37.3 26.2 44.6
03/20/2009 Fri 0.6 0.9 -12.1 NaN NaN
05/13/2009 Wed NaN NaN NaN NaN NaN
Avg 2.5 8.0 10.3 25.0 29.8
AvgPos 3.5 11.4 15.2 29.4 35.0
AvgNeg -5.7 -8.1 -6.9 -6.3 -6.6
PctPos 88.9 77.8 77.8 87.5 87.5
PctNeg 11.1 11.1 22.2 12.5 12.5
Maximum 7.7 22.5 37.3 55.0 47.3
Minimum -5.7 -8.1 -12.1 -6.3 -6.6
StdDev 4.1 10.0 14.8 19.2 19.3
ZStat 0.6 0.8 0.7 1.3 1.5
Variance 16.5 99.6 218.1 368.9 370.7
10 Occurrences |
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2 http://www.markethistory.com/staff/detail.html?s=Ronny.Kraft