Sugar Futures (ICE Futures U.S.SB) rallied 2% on Tuesday to close the session at 12.9¢ per lb. Sugar recorded a 'very large'* five day gain of 12.9% through Tuesday. Sugar also crossed above its upper Bollinger band (20-day, 2 standard deviation bandwidth) on Tuesday. These bullish indicators have proven to be incorrect in June.
* Five-day percentage gain is more than two standard deviations stronger than the average five-day percentage change measured over the last 30 trading days.
Q: How has ICE Futures U.S. sugar performed in the past when, during June, it crosses above its upper Bollinger band and records a 'very large' five day gain on the same day?
A: According to the six previous occurrences of this event, EventEdge indicates that sugar has shown a very strong bearish edge that peaks six trading days after the event. Thus, the projected date for the peak of the bearish edge relative to the current event date (Tuesday, June 17, 2008) is Wednesday, June 25, 2008.
SB declines in 100% of the cases (6 of 6) by an average of 3.1% relative to the close on the event date. Which, based on the close on the event date (11.06¢), provides a target price of 10.72¢.
To view this idea in our EventEdge® analysis tool click here.
Ronish Patel is an analyst with MarketHistory.com.
