20161024-法国巴黎银行-FX_STRATEGY__BNP_Paribas_STEER_14页_664kb

BNP Paribas STEER™ FX Strategy Summary - 24 October 2016

Core Content

BNP Paribas STEER™ is a quantitative model used to generate FX trading signals based on short-term value (FV) and z-score analysis. The model evaluates currency pairs against their fair value and provides trading recommendations with target and stop loss levels. The summary includes both new and existing signals, along with the current deviation from short-term values across different regions.

Main Trading Signals

New Signals

• USDJPY: Short position initiated at 103.81, targeting 100.47 with a stop loss at 105.54. The pair has broken out of its 1.5 z-score corridor, indicating overvaluation.
• EURCHF: Long position initiated at 1.0810, targeting 1.0924 with a stop loss at 1.0753. The model suggests the recent decline is unjustified, as EURCHF remains stable and positively correlated with oil prices.

Closed Signals

• USDRUB: Long position closed at 62.2036 (23-Oct-16), resulting in a return of -0.44%. The pair had a fair value of 63.4197, and the z-score was -1.91.

Existing Signals

• GBPUSD: Long position initiated on 10-Oct-16, targeting 1.2812 with a stop loss at 1.2059. The current return is -1.28%.
• EURGBP: Short position initiated on 10-Oct-16, targeting 0.8793 with a stop loss at 0.9031. The return is 1.35%.
• USDZAR: Long position initiated on 19-Oct-16, targeting 14.2020 with a stop loss at 13.7811. The return is 0.01%.
• USDMYR: Short position initiated on 20-Oct-16, targeting 4.1331 with a stop loss at 4.2042. The return is 0.04%.
• USDKRW: Short position initiated on 21-Oct-16, targeting 1125.7848 with a stop loss at 1139.5326. The return is 0.31%.

Regional Analysis (G10)

Deviation from Short-Term Value (z-score)

Notes:

• The dotted line indicates when the model does not pass the co-integration filter.
• STEER™ continues to signal GBP as undervalued and EUR as overvalued.

Regional Analysis (CEEMEA)

Notes:

• STEER™ remains long USDZAR, short USDMYR, and short USDKRW.
• The model continues to monitor these pairs for potential trades based on their deviation from fair value.

Regional Analysis (Asia)

Notes:

• STEER™ remains long USDZAR, short USDMYR, and short USDKRW.
• The model highlights the relationship between EURCHF and oil prices as a key factor in its assessment.

Regional Analysis (Latin America)

Notes:

• STEER™ remains long USDZAR, short USDMYR, and short USDKRW.
• The model evaluates these currencies based on their deviation from short-term value.

Key Points

• The model provides daily trading signals based on fair value and z-score deviations.
• The current signals include both long and short positions across various currency pairs.
• The model considers factors such as oil prices and economic indicators in its analysis.
• It is important to note that this document is a marketing communication and not independent investment research.
• The model may have conflicts of interest due to its interaction with sales and trading.
• BNP Paribas may have financial interests in the currencies mentioned and may have previously provided services to the entities referenced.

Disclaimer

This document is not an exhaustive analysis and may be subject to conflicts of interest. It is intended for professional clients and eligible counterparties. BNP Paribas does not accept responsibility for the accuracy or completeness of the information provided. The information should not be relied upon as a basis for investment decisions. BNP Paribas may have acted upon or used the information before publication and may receive compensation for investment banking services. The document is not a solicitation or offer to buy or sell any financial instruments.