20161107-法国巴黎银行-Model-Trading_Signals_14页_744kb

报告摘要

FX STRATEGY | FX QUANT INSIGHT - BNP Paribas STEER™

Core Content Overview

BNP Paribas STEER™ is a proprietary model used to generate trading signals for foreign exchange (FX) pairs. It assesses the fair value (FV) of currency pairs and identifies deviations from short-term value through a z-score metric. The model provides both entry and exit points based on these deviations and is used to guide trading decisions in the G10, CEEMEA, Asia, Latin America, and other regions.

Key Trading Signals

New Signals

07-Nov-16: SHORT AUDUSD
- Entry Rate: 0.7677
- Target: 0.7508
- Stop Loss: 0.7763
- Return: 0.00% (open)

Closed Signals

10-Oct-16: LONG GBPUSD
- Entry Rate: 1.2374
- Close Rate: 1.2425 (07-Nov-16)
- Return: 0.41%
25-Oct-16: SHORT USDCAD
- Entry Rate: 1.3336
- Close Rate: 1.3446 (04-Nov-16)
- Return: -0.82%
04-Nov-16: SHORT USDMXN
- Entry Rate: 19.1827
- Close Rate: 18.9919 (04-Nov-16)
- Return: 0.99%

Existing Signals

04-Nov-16: SHORT NZDUSD
- Entry Rate: 0.7308
- Target: 0.7074
- Stop Loss: 0.7396
- Return: 0.11%
28-Oct-16: SHORT EURSEK
- Entry Rate: 9.9016
- Target: 9.5533
- Stop Loss: 10.0676
- Return: -0.46%
24-Oct-16: LONG EURCHF
- Entry Rate: 1.0810
- Target: 1.0937
- Stop Loss: 1.0753
- Return: 0.03%
03-Nov-16: LONG USDTWD
- Entry Rate: 31.4510
- Target: 31.6216
- Stop Loss: 31.3657
- Return: 0.19%

Key Market Observations

The USD has seen narrowing overvaluations, with EURUSD and GBPUSD showing undervaluation while USDJPY and USDCAD are overvalued.
The risky currencies (AUD & NZD) have appeared too rich, leading to short signals for both AUDUSD and NZDUSD.
The GBPUSD pair has deviated from its STEER value for an extended period (20 days), which is longer than the typical 1-2 weeks, indicating a misalignment.
The USDCAD pair hit the stop-loss after the NFP report, suggesting that the pair has now returned to fair value.
In the G10, the highest deviation is observed in NZDUSD (z-score = 2.07), followed by AUDUSD (z-score = 1.78), and EURSEK (z-score = 2.94).

Regional Analysis

G10

EURSEK: Targeting 9.5533, current spot is 9.9480, z-score = 2.94
AUDUSD: Targeting 0.7508, current spot is 0.7680, z-score = 1.78
NZDUSD: Targeting 0.7074, current spot is 0.7300, z-score = 2.07
EURCHF: Targeting 1.0937, current spot is 1.0810, z-score = -1.65
GBPUSD: Targeting 1.2724, current spot is 1.2420, z-score = -1.01
EURUSD: Targeting 1.1256, current spot is 1.1060, z-score = -1.19
USDCAD: Targeting 1.3411, current spot is 1.3390, z-score = -0.15
USDJPY: Targeting 103.63, current spot is 104.40, z-score = 0.41

CEEMEA

EURSEK: Targeting 9.5533, current spot is 9.9480, z-score = 2.94
EURHUF: Targeting 308.42, current spot is 306.40, z-score = -1.36
EURCZK: Targeting 27.0327, current spot is 27.0220, z-score = -0.71
USDCAD: Targeting 1.3411, current spot is 1.3390, z-score = -0.15
USDZAR: Targeting 13.6409, current spot is 13.5360, z-score = -0.41
EURGBP: Targeting 0.8846, current spot is 0.8910, z-score = 0.36
USDTWD: Targeting 31.6216, current spot is 31.5110, z-score = -0.78

Asia

USDINR: Targeting 67.0178, current spot is 66.7350, z-score = -1.31
USDTHB: Targeting 35.1571, current spot is 35.0250, z-score = -1.06
USDTWD: Targeting 31.6428, current spot is 31.5110, z-score = -0.78
USDIDR: Targeting 13237, current spot is 13174, z-score = -0.66
USDSGD: Targeting 1.3928, current spot is 1.3900, z-score = -0.39
USDPHP: Targeting 48.5654, current spot is 48.5900, z-score = 0.05
USDKRW: Targeting 1135, current spot is 1143, z-score = 0.85
USDMYR: Targeting 4.1732, current spot is 4.2120, z-score = 0.88

Latin America

USDMXN: Targeting 18.7515, current spot is 18.6150, z-score = -0.71
USDCOP: Targeting 3057, current spot is 3060, z-score = 0.13
USDBRL: Targeting 3.2291, current spot is 3.2360, z-score = 0.22
USDCLP: Targeting 654.99, current spot is 657.50, z-score = 0.64
USDPEN: Targeting 3.3703, current spot is 3.3880, z-score = 0.88

Driving Factors

GBPUSD: The long signal was closed due to the pair being misaligned for an unusually long period.
AUDUSD: A short signal was triggered due to a decline in global equities, which are the main driver of the pair.
NZDUSD: A short signal was also triggered, as NZD appears overvalued relative to USD.
USDCAD: The pair hit the stop-loss following the NFP report, suggesting it had corrected to fair value.
EURSEK: The pair shows a significant deviation, with a z-score of 2.94.
USDJPY, USDCAD, EURUSD, and GBPUSD: These pairs have shown narrowing deviations, indicating they are approaching fair value.
EURCHF, USDTWD, and others: These pairs have shown slight deviations, with EURCHF and USDTWD being slightly undervalued.

Contact Information

Cross Asset Strategy

Michael Sneyd, CFA: Macro Quantitative Strategist, London, Tel: 44 20 7595 1307, Email: michael.sneyd@uk.bnpparibas.com
Steven Saywell: Global Head of FX Strategy, London, Tel: 44 20 7595 8487, Email: steven.saywell@uk.bnpparibas.com
Sam Lynton-Brown: FX Strategist, London, Tel: 44 20 7595 8467, Email: sam.lynton-brown@uk.bnpparibas.com
Clara Leonard: FX Strategist, London, Tel: 44 20 7595 1424, Email: clara.leonard@uk.bnpparibas.com
Natalie Rickard: Graduate, London, Tel: 44 20 7595 8270, Email: natalie.rickard@uk.bnpparibas.com
Daniel Katzive, CFA: Head of FX Strategy North America, New York, Tel: 1 212 841 2408, Email: daniel.katzive@us.bnpparibas.com
Vasilis Koutsaftis: FX Options Strategist, New York, Tel: 1 212 471 7973, Email: vasilis.koutsaftis@americas.bnpparibas.com

Emerging Markets FX & IR Strategy

Wike Groenenberg: Global Head of EM Strategy, London, Tel: 44 20 7595 8746, Email: wike.groenenberg@uk.bnpparibas.com
Piotr Chwiejczak: FX & IR CEEMEA Strategist, London, Tel: 44 20 7595 8715, Email: piotr.chwiejczak@uk.bnpparibas.com
Erkin Isik, CFA: FX & IR CEEMEA Strategist, Istanbul, Tel: 90 216 635 2987, Email: erkin.isik@teb.com.tr
Mirza Baig: Head of FX & IR Asia Strategy, Singapore, Tel: 65 6210 3262, Email: mirza.s.baig@asia.bnpparibas.com
Jennifer Kusuma: FX & IR Asia Strategist, Singapore, Tel: 65 6210 3263, Email: jennifer.kusuma@asia.bnpparibas.com
Altaz Daga: AU/NZ IR Strategist, Singapore, Tel: 65 6210 4994, Email: altaz.dagha@asia.bnpparibas.com
Kun Shan: China Strategist, Shanghai, Tel: 86 21 2896 2773, Email: kun.shan@asia.bnpparibas.com
Tianhe Ji: China Strategist, Shanghai, Tel: 86 21 2896 2785, Email: tianhe.ji@asia.bnpparibas.com
Gabriel Gersztein: Head FX & IR Latam Strategy, Sao Paulo, Tel: 55 11 3841 3421, Email: gabriel.gersztein@br.bnpparibas.com
Samuel Castro: FX & IR Latam Strategist, Sao Paulo, Tel: 55 11 3841 3492, Email: samuel.castro@br.bnpparibas.com
Gustavo Mendonca: FX & IR Latam Strategist, Sao Paulo, Tel: 55 11 3841 3445, Email: gustavo.mendonca@br.bnpparibas.com

Disclaimer

This document is non-independent research and is intended as a marketing communication.
It is not investment research for the purpose of MiFID.
The information is not verified independently and may not be accurate or complete.
It is not an offer to buy or sell any financial instrument.
It is for the use of intended recipients only and may not be reproduced or transmitted without permission.
BNP Paribas may have financial interests in the currencies or entities mentioned and may have provided the information to verify its factual accuracy.
The document does not constitute a prospectus and is not subject to any legal requirements for investment research independence.
The model, STEER™, is a trade mark of BNP Paribas.

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