The TLT³ exchange traded fund, which tracks the The Long Term U.S. Treasury Bond market, is entering a period where it often rallies, according to its history. The ETF closed on Friday at 100.48 after gaining a 'big' 1.6% on the day and closing the week with a 0.7% gain.

Q: How has the TLT performed in the past after July 30th in the eight years the ETF has been in existence?

A: TLT has shown a strong bullish edge that peaks 21 trading days after July 30th. Thus, the projected date for the peak of the bullish edge relative to the current event date (Friday, 30 July 2010) is Monday, 30 August 2010. TLT rallies in 88% of the cases (7 of 8) by an average of 3.1% relative to the close on the event date. The average of the 1 decline is -0.4%. The overall return of the 8 cases is 2.6%, which, based on the close of TLT on the event date (100.48), provides a target price of 103.09.

If you look farther out on the holding period curve, say, 29 days later the TLT has rallied in all cases by an average of 3.5% (see table below).

Click here⁴ to see this trading idea in our SeasonalEdge analysis tool. If you'd like to see it in EventEdge, click here⁵.

Let variable values:
@	=	GII.TLT.ARCA
theEvent	=	IF
   Date is 7/30/_
THEN 1
ENDIF


      Date   Day            t+5           t+15           t+21           t+29           t+43

07/30/2002   Tue            2.4            5.8            5.3            7.6           10.9
07/30/2003   Wed           -0.7           -1.2           -0.4            0.5            4.8
07/30/2004   Fri            2.2            2.3            3.1            3.0            4.3
07/29/2005   Fri           -1.6            0.7            1.6            1.0           -0.6
07/28/2006   Fri            0.7            1.2            2.1            1.9            4.5
07/30/2007   Mon            0.3           -0.2            1.6            4.5            2.1
07/30/2008   Wed           -0.5            2.8            3.8            6.0            4.5
07/30/2009   Thu           -1.9            2.9            3.8            3.4            6.1
07/30/2010   Fri            NaN            NaN            NaN            NaN            NaN

             Avg            0.1            1.8            2.6            3.5            4.6
          AvgPos            1.4            2.6            3.1            3.5            5.3
          AvgNeg           -1.2           -0.7           -0.4            NaN           -0.6
          PctPos           50.0           75.0           87.5          100.0           87.5
          PctNeg           50.0           25.0           12.5            0.0           12.5
         Maximum            2.4            5.8            5.3            7.6           10.9
         Minimum           -1.9           -1.2           -0.4            0.5           -0.6
          StdDev            1.6            2.2            1.8            2.5            3.3
           ZStat            0.1            0.8            1.5            1.4            1.4
        Variance            2.5            4.8            3.1            6.1           10.8


9 Occurrences

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Web Address of this trading idea:

http://www.markethistory.com/subscribe/best_of/content.html/16996.html

Links:

¹ http://www.lim.com
² http://www.markethistory.com/content/analog/analog.html?ticker=TLT
³ http://quote.morningstar.com/stock/s.aspx?t=tlt
⁴ http://www.markethistory.com/content/seasonal/stocks/edge.html?mt=GII.TLT.ARCA&t=TLT&d=2010-07-30&v=a
⁵ http://admin.markethistory.com/events/chart.html?ticker=TLT
⁶ http://www.markethistory.com/staff/detail.html?s=gibbons

Treasuries - Bullish Seasonal

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