Sweet December Sugar futures traded at ICE Futures U.S. (formerly New York Board of Trade) shot up a 'very big'* 2.2% during Monday’s session to close the day at 10.12¢. After rallying on each of the last five trading days, sugar recorded a 'very large'* five day gain. Due to such strong recent performance, sugar also crossed and closed above its upper Bollinger band**. Is it to late to cash in on Sugar's sweet performance?
* Percentage gain is more than two standard deviations above the average percentage change measured over the last 30 trading days.
** The Bollinger band indicator used here is defined by a two standard deviation bandwidth measured over the last 20 trading days.
Q: How has Nybot sugar performed in the past, omitting repeat occurrences within five trading days, when it has recorded a 'very large' five day gain while closing above its upper Bollinger band?
A: According to the eight previous occurrences of this event, EventEdge indicates that sugar has shown a very strong bullish edge that peaks 20 trading days after the event. Thus, the projected date for the peak of the bullish edge relative to the most recent occurrence of the event (Monday, Dec. 10, 2007) is Wednesday, Jan. 9, 2008.
Nybot sugar rallies in 100% of the cases (8 of 8) by an average of 21.7% relative to the close on the event date. The overall return of the eight cases is 21.7%, which, based on the close on the event date (10.12¢), provides a target price of 12.32¢.
The last time this event occurred was 20 years ago.
If you would like to see more details of this historical edge, go to www.markethistory.com Note: there is a slight difference between the graph on the link and the one shown above; the later has a 5-day skip versus a 10-day and thus has one more occurrence.
Ronish Patel is an analyst with MarketHistory.com.
