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Johnson & Johnson - Flash-crash Lows 
Friday, May 21, 2010
By Jay Pasch
Johnson & Johnson (JNJ) continued its precipitous decline on Thursday, down another -2.7% at the $60.55 close for an Extra Large a five-day decline of over -6.0%. As the stock falls back to re-test the lows of the May 6th crash at the $60 round, is it buy time?
Q: What is the historical performance for JNJ after the stock records an Extra Large five-day decline below its 200-day moving average?
A: According to the 13 previous occurrences of this event, EventEdge indicates that JNJ has shown a strong bullish edge that peaks 27 trading days after the event. Thus, the projected date for the peak of the bullish edge relative to the current event date (Thursday, 20 May 2010) is Monday, 28 June 2010. JNJ rallies in 100% of the cases (13 of 13) by an average of 11.7% relative to the close on the event date. The overall return of the 13 cases is 11.7%, which, based on the close of JNJ on the event date ($60.55), provides a target price of $67.63.
With the long side of the market offering nothing but pain since the beginning of May, consider an entry-point as close as possible to $60.00 with stops set on a daily close under $58.72.
To view and modify the event parameters defining this study, click here3 to launch the EventEdge® tool.
Mr. Jay Pasch4 is a private futures and equities trader based in Minnesota. He may hold positions in the instruments mentioned in his trading ideas.
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Let variable values:
@ = GII.JNJ.NYSE
theEvent = IF
5 value percent_move of @ is less than
(30 day average of 5 value percent_move of @ -
(3 * 30 day std_dev of 5 value percent_move of @
)
)
AND
@ is less than 200 value average of @
THEN 1
ENDIF
Date Day t+9 t+12 t+13 t+25 t+27
05/25/1970 Mon 14.3 14.3 16.6 17.2 19.1
12/03/1975 Wed 1.7 1.8 0.4 3.5 3.8
03/08/1982 Mon 9.2 12.7 13.5 18.8 17.3
10/05/1982 Tue 11.2 13.5 11.9 19.6 21.2
10/19/1987 Mon 24.0 20.5 23.3 22.1 21.5
11/16/1988 Wed 6.3 5.7 7.1 4.9 4.6
04/22/1992 Wed 4.4 2.6 3.9 4.6 5.4
10/25/1996 Fri 9.0 7.7 7.7 11.9 10.1
08/31/1998 Mon 14.5 10.5 11.2 15.3 9.9
12/07/1999 Tue -1.6 2.3 4.7 0.1 0.3
07/19/2002 Fri 22.9 22.1 25.5 31.0 30.8
06/28/2006 Wed 2.3 2.8 2.3 6.5 6.8
10/07/2008 Tue 3.1 -0.1 -2.7 -4.7 0.7
05/20/2010 Thu NaN NaN NaN NaN NaN
Avg 9.3 9.0 9.6 11.6 11.7
AvgPos 10.3 9.7 10.7 13.0 11.7
AvgNeg -1.6 -0.1 -2.7 -4.7 NaN
PctPos 92.3 92.3 92.3 92.3 100.0
PctNeg 7.7 7.7 7.7 7.7 0.0
Maximum 24.0 22.1 25.5 31.0 30.8
Minimum -1.6 -0.1 -2.7 -4.7 0.3
StdDev 7.9 7.3 8.5 10.1 9.4
ZStat 1.2 1.2 1.1 1.1 1.2
Variance 62.7 53.1 72.1 102.4 89.2
14 Occurrences |
Comments:
Web Address of this trading idea:
Links:
2 http://www.markethistory.com/content/analog/analog.html?ticker=JNJ
3 http://www.markethistory.com/content/events/stocks/chart.html?ticker=JNJ&events=DownBigXL5day0,BelowSMA2000
4 http://www.markethistory.com/staff/detail.html?s=pasch