In the most recent Commitment of Traders Report, commercial hedgers in the British Pound futures market traded at the CME Group shifted their net position from short to long. Pound futures have been beaten down since the middle of November, and have traded at a 13-week low for three consecutive days. With six consecutive declines and a price of $196.55, is it time for the pound to bounce back?
Q: How has the British pound futures market performed in the past when it is trades to an 11-week low when commercial hedgers shift their net position from short to long in the most recent Commitment of Traders report?
A: According to the 12 previous occurrences of this event, omitting repeat occurrences within 10 trading days, the pound has shown a strong bullish edge that peaks nine 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, Jan. 7, 2008) is Friday, Jan. 18, 2008.
The pound rallies in 92% of the cases (11 of 12) by an average of 1.4% relative to the close on the event date. The size of the one decline is 0.7%. The overall return of the 12 cases is 1.2%, which, based on the close on the event date (196.55), provides a target price of 198.91.
If you would like to see more details of this historical edge, go to www.markethistory.com
To view a similar event in EventEdge using the 13-week low, click here.
HYPERLINK "http://www.markethistory.com/staff/detail.html?s=rsoudan" Ryan Soudan is an analyst with MarketHistory.com.
