Alcoa - Crushed Aluminum   Wednesday, January 13, 2010
By Gibbons Burke
 Alcoa shares (AA), after gapping higher to traded to a new 52-week high at $16.25 (but, ominously closing lower than the opening price) on Monday, were crushed on Tuesday, gapping down 'extra big' and closing down an 'extra big' 11.1% on the day at $15.52. The dramatic decline brought the share price down below the 20, 10 and 5-day averages, but the 50, 100, and 200-day averages are intact. Q: How has AA performed in the past when it has seen a 'very big' one-day percentage decline on 'extra high' volume when the stock is still trading above its 200-day average price? A: According to the 10 previous occurrences of this event, EventEdge indicates that AA has shown a very strong bearish edge that peaks 40 trading days after the event. Thus, the projected date for the peak of the bearish edge relative to the current event date (Tuesday, 12 January 2010) is Tuesday, 9 March 2010. AA declines in 100% of the cases (10 of 10) by an average of -8.0% relative to the close on the event date. The overall return of the 10 cases is -8.0%, which, based on the close of AA on the event date ($15.52), provides a target price of $14.28. Click here to investigate this trading idea further in EventEdge®. Gibbons Burke is editor of MarketHistory.com.
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| | Let variable values:
@ = GII.AA.NYSE
theEvent = IF
1 value percent_move of @ is less than
(30 day average of 1 value percent_move of @ -
(2 * 30 day std_dev of 1 value percent_move of @
)
)
AND
volume of @ is more than exponential_average ( exponential_average ( volume
of @ 1 value ago, 0.33333 ), 0.064516129 ) +
(8 * 30 day std_dev of exponential_average ( volume of @ 1 value ago,
0.33333 )
)
AND
@ is more than 200 value average of @
THEN 1
ENDIF
Date Day t t+5 t+13 t+28 t+40
05/01/1969 Thu -2.4 0.6 -3.4 -6.1 -11.9
10/18/1973 Thu -2.8 0.5 -7.9 -17.8 -6.9
11/02/1973 Fri -3.4 -6.0 -18.3 -7.1 -4.3
09/25/1975 Thu -7.2 -5.7 -9.9 -13.8 -14.7
10/09/1979 Tue -4.7 -6.1 -5.9 -8.6 -5.0
10/23/1997 Thu -4.3 -6.7 -10.7 -11.5 -9.7
01/09/2004 Fri -3.6 -5.9 -10.6 -1.1 -4.3
04/07/2004 Wed -5.1 -4.8 -6.8 -14.2 -11.6
01/10/2006 Tue -3.2 -2.2 3.1 2.0 -2.7
07/11/2006 Tue -4.9 -4.3 -6.5 -10.5 -9.4
01/12/2010 Tue -11.1 NaN NaN NaN NaN
Avg -4.8 -4.1 -7.7 -8.9 -8.0
AvgPos NaN 0.5 3.1 2.0 NaN
AvgNeg -4.8 -5.2 -8.9 -10.1 -8.0
PctPos 0.0 20.0 10.0 10.0 0.0
PctNeg 100.0 80.0 90.0 90.0 100.0
Maximum -2.4 0.6 3.1 2.0 -2.7
Minimum -11.1 -6.7 -18.3 -17.8 -14.7
StdDev 2.5 2.7 5.6 6.1 4.0
ZStat -1.9 -1.5 -1.4 -1.5 -2.0
Variance 6.1 7.5 30.8 36.8 16.0
11 Occurrences | |
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