December Copper traded on Comex has been extremely volatile over the past five days, with three days witnessing moves of greater than 17¢ per pound. This equates to two extremely large range days, and switches from large five-day declines to gains and back again. Now Copper is slightly higher than $2.98 per pound, down about 4% for the week and is at a 13-week low. Will it continue to rust?
Q: In November, what happens when Comex Copper is down 'big' today, and was down 'big' two days ago?
A: There have been eight instances of the above pattern with all but one marching higher over the next 15 days. Copper has typically gained 6.75%, with the one loser a paltry -0.88%. The trade's Sharpe is 1.34 while the t-stat, measured at a +2% return, comes in at 2.66.
If you would like to see more details of this historical edge, go to www.markethistory.com
Jason Thompson is a Chicago-based speculator focusing on electronically traded derivatives and their underlying instruments.
