Lumber Futures - Extra Big Gains   Friday, January 15, 2010
By Gibbons Burke
 Lumber futures (CME.LB) gapped higher and rallied to the close for a 6.1% extra big gain on Thursday, which took the market to a new 20-day high, and caused it to cross above its 200 and 50-day average prices. Will the move continue higher? History says it might. Q: How have Lumber futures performed in the past when they have rallied by an 'extra big' percentage gain (a three standard deviation move) and the market also closes above its 200-day average? A: According to the 7 previous occurrences of this event, EventEdge indicates that CME.LB has shown a very strong bullish edge that peaks 28 trading days after the event. Thus, the projected date for the peak of the bullish edge relative to the current event date (Thursday, 14 January 2010) is Tuesday, 23 February 2010. CME.LB rallies in 100% of the cases (7 of 7) by an average of 9.0% relative to the close on the event date. The overall return of the 7 cases is 9.0%, which, based on the close of CME.LB on the event date (226), provides a target price of 246.30. Click here to see this trading idea in EventEdge®.
Tyler Gray contributed to this trading idea. Gibbons Burke is editor of MarketHistory.com.
Related Ideas:
| | Let variable values:
@ = LB
theEvent = IF
1 value percent_move of @ is more than
(30 day average of 1 value percent_move of @ +
(3 * 30 day std_dev of 1 value percent_move of @
)
)
AND
@ is more than 200 value average of @
AND
@ is DEFINED
THEN 1
ENDIF
Date Day t t+5 t+9 t+16 t+28
01/15/1971 Fri 6.3 1.9 1.7 11.3 12.3
01/04/1990 Thu 1.5 4.6 10.8 9.7 13.4
01/06/1992 Mon 4.0 -3.0 0.7 5.1 3.8
11/06/1992 Fri 4.1 -0.3 2.9 7.0 8.7
03/11/1997 Tue 6.5 2.5 3.6 7.0 9.8
11/13/1998 Fri 15.3 2.5 0.7 -0.2 4.1
07/15/2004 Thu 6.1 6.7 9.2 8.2 11.1
01/14/2010 Thu 6.1 NaN NaN NaN NaN
Avg 6.2 2.1 4.2 6.9 9.0
AvgPos 6.2 3.6 4.2 8.1 9.0
AvgNeg NaN -1.6 NaN -0.2 NaN
PctPos 100.0 71.4 100.0 85.7 100.0
PctNeg 0.0 28.6 0.0 14.3 0.0
Maximum 15.3 6.7 10.8 11.3 13.4
Minimum 1.5 -3.0 0.7 -0.2 3.8
StdDev 4.0 3.1 4.1 3.7 3.8
ZStat 1.6 0.7 1.0 1.9 2.4
Variance 16.1 9.9 17.0 13.7 14.5
8 Occurrences | |
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CME.LB
