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| The following examples show how the research tools of LIM coupled with DTN data were used to predict big moves in the market before they occurred:
Example 1:
November Soybean futures always decline over the next 20 trading days if, in March, DTN’s National Bid has increased more than 5% in one week and the basis has declined.
Query:
LET ATTR NatBid = BidAvg of DTN.SOYBEANS_SPOT_NATL_AVG ATTR NatBasis = BidAvg of DTN.SOYBEANS_SPOT_NATL_AVG - S_K / 100
SHOW 1: percent_move from today to 20 values later of S_X WHEN Date is March AND 1 week percent_move of NatBid is more than 5 AND 1 week move of NatBasis is less than -0.01
Results:
Date Day 1
03/10/1997 Mon -6.0861 03/11/1997 Tue -4.6227 03/22/1999 Mon -0.2878 03/17/2000 Fri -0.1343 03/17/2004 Wed -5.0331 03/18/2004 Thu -4.5292 03/19/2004 Fri -4.4199 03/22/2004 Mon -6.5798 03/23/2004 Tue -8.5606 03/02/2005 Wed -2.9647 03/03/2005 Thu -3.1464 03/11/2005 Fri -3.4673 03/15/2005 Tue -5.2795 03/16/2005 Wed -4.6420
Avg -4.2681 AvgPos NaN AvgNeg -4.2681 PctPos 0.0000 PctNeg 100.0000 Maximum -0.1343 Minimum -8.5606 StdDev 2.2458 ZStat -1.9005 Variance 5.0437
14 Occurrences
Example 2:
May Soybean futures are up almost 95% of the time over the next 20 trading days if, in February, DTN’s National Bid is up more than 2%, and the national basis is down more than 1 cent (per bushel).
Query:
LET ATTR NatBid = BidAvg of DTN.SOYBEANS_SPOT_NATL_AVG ATTR NatBasis = BidAvg of DTN.SOYBEANS_SPOT_NATL_AVG - S_H / 100 SHOW 1: percent_move from today to 20 values later of S_K WHEN Date is February AND 1 week percent_move of NatBid is more than 2 AND 1 week move of NatBasis is less than -0.01
Results:
Date Day 1
02/13/1997 Thu 11.0095 02/14/1997 Fri 8.4100 02/17/1997 Mon 8.4100 02/18/1997 Tue 6.6752 02/21/1997 Fri 7.2565 02/14/2003 Fri -0.8290 02/09/2004 Mon 11.5758 02/20/2004 Fri 15.9027 02/25/2004 Wed 10.2909 02/11/2005 Fri 24.5964 02/14/2005 Mon 26.9930 02/15/2005 Tue 25.7703 02/16/2005 Wed 25.5727 02/17/2005 Thu 17.3599 02/18/2005 Fri 12.7305 02/22/2005 Tue 7.5901 02/23/2005 Wed 6.9957 02/25/2005 Fri 3.5153 02/28/2005 Mon 0.3215
Avg 12.1130 AvgPos 12.8320 AvgNeg -0.8290 PctPos 94.7368 PctNeg 5.2632 Maximum 26.9930 Minimum -0.8290 StdDev 8.4974 ZStat 1.4255 Variance 72.2061
19 Occurrences
Example 3:
July Soybean futures always decline over the next 5 trading days if, in April, the national basis is down more than 3 cents (per bushel), and the spread between May Soybean futures and July Soybean futures loses at least a penny.
Query:
LET ATTR NatBasis = BidAvg of DTN.SOYBEANS_SPOT_NATL_AVG - S_K / 100
SHOW 1: percent_move from today to 5 values later of S_N WHEN Date is April AND 1 week move of NatBasis is more than 0.03 AND move ( S_K - S_N, 1 week ) is less than -1
Results:
Date Day 1
04/29/1999 Thu -0.2064 04/01/2004 Thu -3.7235 04/02/2004 Fri -7.3533 04/05/2004 Mon -5.0342 04/08/2004 Thu -2.3256 04/09/2004 Fri -2.3256 04/13/2004 Tue -2.3160 04/01/2005 Fri -0.6415 04/06/2005 Wed -0.0397 04/20/2005 Wed -0.8216
Avg -2.4787 AvgPos NaN AvgNeg -2.4787 PctPos 0.0000 PctNeg 100.0000 Maximum -0.0397 Minimum -7.3533 StdDev 2.3369 ZStat -1.0607 Variance 5.4610
10 Occurrences
Example 4:
July Corn futures always decline over the next 10 trading days if, in May, the national corn basis declines and July Corn futures gain more than 5% in one week.
Query:
LET ATTR NatBasis = BidAvg of DTN.CORN_YELLOW_SPOT_NATL_AVG - C_N / 100
SHOW 1: percent_move from today to 10 values later of C_N WHEN Date is May AND 1 week move of NatBasis is less than 0 AND 1 week percent_move of C_N is more than 5
Results:
Date Day 1
05/03/2000 Wed -6.0818 05/04/2000 Thu -4.8951 05/05/2000 Fri -3.3233 05/13/2002 Mon -3.4884 05/14/2002 Tue -1.8561 05/15/2002 Wed -1.7341 05/09/2003 Fri -3.2738 05/12/2003 Mon -4.0634 05/13/2003 Tue -4.5500 05/15/2003 Thu -4.4966 05/23/2005 Mon -1.8931 05/24/2005 Tue -2.3729 05/25/2005 Wed -3.2548 05/26/2005 Thu -6.6667
Avg -3.7107 AvgPos NaN AvgNeg -3.7107 PctPos 0.0000 PctNeg 100.0000 Maximum -1.7341 Minimum -6.6667 StdDev 1.5253 ZStat -2.4327 Variance 2.3267
14 Occurrences
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