U.K. Long Gilt futures (LIF.G) have both risen and then dropped precipitously over the past month. Long Gilt futures stopped a six-day slide, gaining 0.3% Wednesday after trading up $0.38 to close at $109.94. Long Gilts also crossed above the 100-day moving average; what is the historical reaction to this crossing in the month of October?
Q: What has happened in the past when, in the month of October, U.K. Long Gilt futures cross above their 100-day moving average, omitting any repeat occurrences within 10 trading days?
A: According to the 10 previous occurrences of this event, EventEdge indicates that LIF.G has shown a strong bullish edge that peaks 24 trading days after the event. Thus, the projected date for the peak of the bullish edge relative to the current event date (Wednesday, Oct. 15, 2008) is Tuesday, Nov. 18, 2008.
LIF.G rallies in 100% of the cases (10 of 10) by an average of 1.6% relative to the close on the event date. The overall return of the 10 cases is 1.6%, which, based on the close of LIF.G on the event date ($109.94), provides a target price of $111.7.
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Jeffrey Garceau is an analyst with MarketHistory.com.
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