© Copyright 2010-2012, MarketHistory.com
Unauthorized mirroring, photocopying, facsimile or any other
distribution of this copyrighted material is prohibited.
All rights reserved.
Crude Oil - Five Days Down 
NYM.CLWednesday, April 14, 2010
By Ryan Soudan and Gibbons Burke
Crude Oil Futures have fallen five days in a row as of Tuesday's close, falling a 'large' 3.2% over that time to close at $84.05, dropping below the 5 and 10-day averages. The MACD also went from bullish to bearish. What's next?
Q: How has Crude performed in the past when it has dropped five successive days in a row and the MACD indicator goes from a bullish reading to a bearish reading on the last day?
A: According to the 18 previous occurrences of this event, EventEdge indicates that NYM.CL has shown a weak bearish edge that peaks 13 trading days after the event. Thus, the projected date for the peak of the bearish edge relative to the current event date (Tuesday, 13 April 2010) is Friday, 30 April 2010. NYM.CL declines in 78% of the cases (14 of 18) by an average of -9.8% relative to the close on the event date. The average of the 4 rallies is 6.1%. The overall return of the 18 cases is -6.2%, which, based on the close of NYM.CL on the event date ($84.05), provides a target price of $78.84.
Click here2 to research this idea further in EventEdge®.
Ryan Soudan3 is an analyst with MarketHistory.com.
Gibbons Burke4 is editor of MarketHistory.com.
 |
Let variable values:
@ = CL
theEvent = IF
4 values ago {
1 value move of @ is less than 0 }
AND
3 values ago {
1 value move of @ is less than 0 }
AND
2 values ago {
1 value move of @ is less than 0 }
AND
1 value ago {
1 value move of @ is less than 0 }
AND
1 value move of @ is less than 0
AND
macd_osc ( @, 0.15, 0.075 ) crosses below macd ( @, 0.15, 0.075, 0.2 )
AND
@ is DEFINED
THEN 1
ENDIF
Date Day t-5 t+5 t+10 t+13 t+20
07/13/1984 Fri -2.4 -1.9 -4.6 -3.1 0.1
12/12/1984 Wed -3.5 -2.4 -2.3 -6.9 -4.2
02/25/1985 Mon -3.4 4.9 4.3 6.6 10.0
01/13/1986 Mon -5.6 -15.2 -17.8 -22.5 -34.0
02/16/1988 Tue -5.6 0.4 -4.9 -5.6 -5.1
05/23/1990 Wed -8.4 -4.1 -8.1 -3.5 -14.6
10/18/1993 Mon -3.4 -4.4 -4.9 -5.0 -8.5
02/09/1994 Wed -9.0 -4.6 0.1 -0.5 -4.2
09/15/1994 Thu -5.5 5.4 7.2 7.8 2.2
11/09/1998 Mon -6.8 -4.2 -12.6 -21.7 -22.2
01/20/1999 Wed -8.4 3.8 4.3 -1.7 1.4
07/17/2001 Tue -7.0 1.5 1.7 6.6 8.2
10/18/2001 Thu -8.7 0.9 -6.7 -8.9 -20.5
10/22/2003 Wed -6.2 -3.4 1.3 3.2 10.0
11/20/2008 Thu -14.8 10.1 -17.4 -11.9 -31.3
12/05/2008 Fri -25.0 13.4 -17.0 -34.2 -1.8
12/19/2008 Fri -26.8 -6.9 18.4 -4.5 -2.7
01/15/2010 Fri -5.7 -3.7 -4.7 -6.4 -1.4
04/13/2010 Tue -3.2 NaN NaN NaN NaN
Avg -8.4 -0.6 -3.5 -6.2 -6.6
AvgPos NaN 5.1 5.3 6.1 5.3
AvgNeg -8.4 -5.1 -9.2 -9.8 -12.5
PctPos 0.0 44.4 38.9 22.2 33.3
PctNeg 100.0 55.6 61.1 77.8 66.7
Maximum -2.4 13.4 18.4 7.8 10.0
Minimum -26.8 -15.2 -17.8 -34.2 -34.0
StdDev 6.8 6.6 9.3 10.9 13.1
ZStat -1.2 -0.1 -0.4 -0.6 -0.5
Variance 46.3 43.2 87.0 118.8 170.6
19 Occurrences |
Comments:
Web Address of this trading idea:
Links:
2 http://www.markethistory.com/content/events/futures/chart.html?ticker=NYM.CL&events=MyDown4,MyDown3,MyDown2,MyDown1,MyDown0,MACDxBelowSignal0
3 http://www.markethistory.com/staff/detail.html?s=rsoudan
4 http://www.markethistory.com/staff/detail.html?s=gibbons