Q: How has TSE.JGB performed in the past, omitting repeat occurrences within 10 trading days, when it has gapped higher after dropping down 'big' the day before?
A: According to the 19 previous occurrences of this event, EventEdge indicates that TSE.JGB has shown a strong bullish edge that peaks seven trading days after the event. Thus, the projected date for the peak of the bullish edge relative to the current event date (Monday, June 9, 2008) is Wednesday, June 18, 2008.
TSE.JGB rallies in 89% of the cases (17 of 19) by an average of 0.8% relative to the close on the event date. The average of the two declines is 0.3%. The overall return of the 19 cases is 0.7%, which, based on the close of TSE.JGB on the event date (135.05), provides a target price of 136.
We get a much stronger edge, with fewer occurrences, when we add the fact that the U.S. Dollar Index (DXY) rallied on the day to the event above. This is depicted in the second graph below.
In this case, according to the eight previous occurrences of this event, TSE.JGB has shown a very strong bullish edge that peaks 22 trading days after the event. TSE.JGB rallies in 100% of the cases (8 of 8) by an average of 1.9%, providing a target price of 137.62 and projected peak date of Thursday, July 10, 2008.
Note the first graph measures its strength by using the T-stat rather than the usual Z-stat, as it takes into account the rather large number of occurrences. To see these ideas in our EventEdge® analysis tool click either 1st Graph or 2nd Graph.
Ronish Patel is an analyst with MarketHistory.com.
