20160819-法国巴黎银行-BNP_PARIBAS_STEER_MODEL__TRADING_SIGNALS_11页_293kb

报告摘要

BNP Paribas STEERTM Model Summary

Core Content

The BNP Paribas STEERTM Model provides trading signals and analysis for various currency pairs across different regions, including G10, CEEMEA, Asia, and Latin America. It uses a co-integration filter to assess the statistical confidence of potential price movements and generates entry, target, stop loss, and close rates for each signal. Additionally, it includes z-scores to measure deviation from short-term value and provides insights into the driving factors behind the model's recommendations.

Main Trading Signals

New Signals (19-Aug-16)

SHORT USDMYR: Entry rate at 4.0155, target at 3.9712, stop loss at 4.0376. Return: 0.00%.
SHORT USDKRW: Entry rate at 1117.5100, target at 1105.3622, stop loss at 1123.5839. Return: 0.00%.
SHORT USDBRL: Entry rate at 3.2392, target at 3.2030, stop loss at 3.2573. Return: 0.00%.

Closed Signals (19-Aug-16)

LONG USDZAR: Opened on 18-Aug-16, closed on 19-Aug-16 at 13.4729. Return: 1.62%.

Existing Signals (19-Aug-16)

SHORT NZDUSD: Opened on 17-Aug-16, target at 0.7184, stop loss at 0.7347. Return: -0.14%.
SHORT USDJPY: Opened on 02-Aug-16, target at 97.7127, stop loss at 103.8500. Return: 1.98%.
SHORT EURSEK: Opened on 17-Aug-16, target at 9.3458, stop loss at 9.5542. Return: 0.07%.
LONG EURGBP: Opened on 26-Jul-16, closed on 19-Aug-16 at 0.8768. Return: 2.70%.
LONG USDSGD: Opened on 01-Aug-16, closed on 19-Aug-16 at 1.3507. Return: 0.42%.

Recently Closed Signals

LONG USDTWD: Opened on 11-Aug-16, closed on 16-Aug-16 at 31.2467. Return: -0.26%.
SHORT USDMXN: Opened on 16-Aug-16, closed on 16-Aug-16 at 17.9302. Return: 0.83%.
LONG EURNOK: Opened on 12-Aug-16, closed on 17-Aug-16 at 9.2736. Return: 1.09%.
SHORT USDMYR: Opened on 17-Aug-16, closed on 18-Aug-16 at 3.9925. Return: 0.15%.

Key Information by Region

G10 Currencies

EURGBP: STEER at 0.8768, Spot at 0.8630, z-score -0.77(-1.56%).
AUDUSD: STEER at 0.7695, Spot at 0.7620, z-score -0.60(-0.91%).
EURCHF: STEER at 1.0864, Spot at 1.0840, z-score -0.36(-0.25%).
USDCAD: STEER at 1.2819, Spot at 1.2830, z-score 0.07(0.07%).
EURUSD: STEER at 1.1313, Spot at 1.1330, z-score 0.13(0.16%).
EURNOK: STEER at 9.2579, Spot at 9.2760, z-score 0.23(0.20%).
NZDUSD: STEER at 0.7184, Spot at 0.7270, z-score 0.71(1.13%).
GBPUSD: STEER at 1.2903, Spot at 1.3130, z-score 0.95(1.70%).
USDJPY: STEER at 97.7127, Spot at 100.10, z-score 1.22(2.42%).
EURSEK: STEER at 9.3458, Spot at 9.4840, z-score 1.53(1.46%).

CEEMEA Currencies

EURHUF: STEER at 313.11, Spot at 310.50, z-score -1.70(-0.83%).
EURRON: STEER at 4.4859, Spot at 4.4700, z-score -1.41(-0.36%).
EURPLN: STEER at 4.3158, Spot at 4.2930, z-score -0.77(-0.53%).
USDZAR: STEER at 13.6661, Spot at 13.5050, z-score -0.75(-1.19%).
USDTRY: STEER at 2.9586, Spot at 2.9420, z-score -0.58(-0.57%).
EURCZK: STEER at 27.0255, Spot at 27.0220, z-score -0.18(-0.01%).
USDILS: STEER at 3.7748, Spot at 3.7710, z-score -0.11(-0.09%).
USDRUB: STEER at 63.3938, Spot at 64.0290, z-score 0.88(0.99%).

Asia Currencies

USDTHB: STEER at 34.8340, Spot at 34.6320, z-score -1.21(-0.58%).
USDPHP: STEER at 46.6852, Spot at 46.4150, z-score -0.71(-0.58%).
USDSGD: STEER at 1.3473, Spot at 1.3440, z-score -0.26(-0.21%).
USDTWD: STEER at 31.6695, Spot at 31.6380, z-score -0.18(-0.10%).
USDIDR: STEER at 13162, Spot at 13196, z-score 0.31(0.26%).
USDINR: STEER at 66.8571, Spot at 66.9860, z-score 0.53(0.19%).
USDKRW: STEER at 1099, Spot at 1118, z-score 1.56(1.70%).
USDMYR: STEER at 3.9379, Spot at 4.0150, z-score 1.74(1.92%).

Latin America Currencies

USDCOP: STEER at 2887, Spot at 2880, z-score -0.26(-0.22%).
USDPEN: STEER at 3.3039, Spot at 3.3040, z-score 0.02(0.02%).
USDCLP: STEER at 654.39, Spot at 656.30, z-score 0.52(0.29%).
USDBRL: STEER at 3.1661, Spot at 3.2390, z-score 2.02(2.26%).
USDMXN: STEER at 17.8273, Spot at 18.3360, z-score 3.24(2.78%).

Driving Factors

USDMYR: The pair is considered overvalued due to the strength of Malaysia equities and recent oil price rises. It has passed the co-integration filter, indicating higher statistical confidence for a downward move.
USDKRW and USDBRL: Recent upward moves are deemed overdone according to STEER, as short-term fundamentals do not support the current price levels.
G10: STEER continues to signal short positions in NZDUSD, USDJPY, EURSEK and long in EURGBP.
CEEMEA: EURHUF, EURRON, and USDTRY are overvalued, while USDRUB is undervalued.
Asia: USDTHB, USDPHP, USDSGD, and USDTWD are overvalued, while USDINR and USDIDR are undervalued.
Latin America: USDMXN is overvalued, while USDCOP is slightly undervalued.

Contacts and Strategy Team

Global FX Strategy

Steven Saywell: Global Head of FX Strategy, London, steven.saywell@uk.bnpparibas.com
Michael Sneyd: FX Strategist & Lead Quant Strategist, London, michael.sneyd@uk.bnpparibas.com
Sam Lynton-Brown: FX Strategist, London, sam.lynton-brown@uk.bnpparibas.com
Daniel Katzive: Head of FX Strategy North America, New York, daniel.katzive@us.bnpparibas.com
Vasilis Koutsaftis: FX Options Strategist, New York, vasilis.koutsaftis@americas.bnpparibas.com

Emerging Markets FX & IR Strategy

Wike Groenenberg: Global Head of EM Strategy, London, wike.groenenberg@uk.bnpparibas.com
Piotr Chwiejczak: FX & IR CEEMEA Strategist, London, piotr.chwiejczak@uk.bnpparibas.com
Erkin Isik: FX & IR CEEMEA Strategist, Istanbul, erkin.isik@teb.com.tr
Mirza Baig: Head of FX & IR Asia Strategy, Singapore, mirza.s.baig@asia.bnpparibas.com
Jennifer Kusuma: FX & IR Asia Strategist, Singapore, jennifer.kusuma@asia.bnpparibas.com
Altaz Daga: AU/NZ IR Strategist, Singapore, altaz.dagha@asia.bnpparibas.com
Kun Shan: China Strategist, Shanghai, kun.shan@asia.bnpparibas.com
Gabriel Gersztein: Head FX & IR Latam Strategy, Sao Paulo, gabriel.gersztein@br.bnpparibas.com
Samuel Castro: FX & IR Latam Strategist, Sao Paulo, samuel.castro@br.bnpparibas.com
Gustavo Mendonca: FX & IR Latam Strategist, Sao Paulo, gustavo.mendonca@br.bnpparibas.com

Disclaimer

This document is a marketing communication and not independent investment research.
It is not intended to be an exhaustive analysis and may be subject to conflicts of interest.
BNP Paribas may have financial interests in the securities mentioned.
No liability is accepted for any direct or consequential loss arising from reliance on the content.
The information and opinions are based on public sources and may be subject to change without notice.
The document is for professional clients only and not for retail clients.
It is not an offer or solicitation to buy or sell any securities or investment.
Some information may have been previously published on the BNP Paribas website.

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