Three-month Eurodollar futures (CME ED) rallied by 0.1% Tuesday, closing at 97.915. The Bernstein's Daily Sentiment Index has risen above 70 in the last three trading days. On Monday, Eurodollar futures’ five-day moving average crossed below its 20-day moving average and experienced a very large five-day decline. Good news is approaching for Eurodollars since history shows a rally 89% of the time when the Bernstein's Daily Sentiment Index is more than 70 in December.
Q: How have Eurodollars performed in the past when the Bernstein's Daily Sentiment Index is more than 70 in the month of December?
A: According to the 19 previous occurrences of this event, EventEdge indicates that CME.ED has shown a strong bullish edge that peaks 21 trading days after the event. Thus, the projected date for the peak of the bullish edge relative to the current event date (Monday, Dec. 1, 2008) is Wednesday, Dec. 31, 2008.
CME.ED rallies in 89% of the cases (17 of 19) by an average of 0.4% relative to the close on the event date. The average of the two declines is minimal. The overall return of the 19 cases is 0.3%, which, based on the close of CME.ED on the event date (97.8525), provides a target price of $98.1461.
Click here to analyze this trading idea further in EventEdge.
Robert Kolton is an intern analyst at MarketHistory.com.
