20180605-法国巴黎银行-BNP_Paribas_STEER_18页_972kb

FX STRATEGY | FX QUANT INSIGHT - BNP Paribas STEER™ Summary

Core Content

This document provides an overview of the BNP Paribas STEER™ model's current trading signals and market analysis as of 4 June 2018. The model generates short-term trading signals based on statistical analysis, particularly focusing on the co-integration filter and fair value (FV) levels. It includes signals for various currency pairs across G10, CEEMEA, and Latin America, along with the associated entry rates, targets, stop losses, and returns.

Main Trading Signals

New Signals

• 04-Jun-18: LONG EURUSD

  • Entry Rate: 1.1685
  • Target: 1.1985
  • Stop Loss: 1.1535
  • Return: 0.00%

• 04-Jun-18: SHORT USDINR

  • Entry Rate: 67.0612
  • Target: 66.4489
  • Stop Loss: 67.3673
  • Return: 0.00%

• 04-Jun-18: LONG USDBRL

  • Entry Rate: 3.7661
  • Target: 3.7927
  • Stop Loss: 3.7528
  • Return: 0.00%
  • Note: This is an indicative signal, which may be cancelled if USDBRL opens within the +/-1.5 z-score corridor (above 3.7820).

Closed Signals

• 29-May-18: LONG AUDUSD

  • Entry Rate: 0.7534
  • Close Rate: 0.7608
  • Return: 0.98%

• 31-May-18: LONG USDIDR

  • Entry Rate: 13910
  • Close Rate: 13869
  • Return: -0.29%

Existing Signal

• 16-May-18: LONG EURSEK
  • Entry Rate: 10.2815
  • Target: 10.3709
  • Stop Loss: 10.1782
  • Return: 0.07%

Key Market Insights

G10 Currencies

• EURUSD: The EURUSD pair has shown a decline over the past month, but the model now has statistical confidence in the long signal targeting 1.1985. EURUSD is currently trading in line with its fair value, which has slightly declined due to the flattening of the eurozone yield curve relative to the US.
• AUDUSD: The long AUDUSD signal was closed with a return of 0.98%, as the pair is now trading in line with its fair value.
• USDINR: A short signal was initiated due to a decline in USDINR over the past two weeks, attributed to falling oil prices. The INR has not yet strengthened enough to invalidate the model.
• USDBRL: A long signal was added, as the fair value continues to rise with the decline in Brazilian equities, suggesting potential for further BRL weakness.
• EURSEK: The existing long EURSEK signal remains active, with a target of 10.3709 and a stop loss at 10.1782.

Z-Score Analysis

• The z-score for each currency pair indicates the deviation from the short-term fair value.
• A negative z-score suggests the currency is trading below its fair value, while a positive z-score indicates it is trading above.
• The co-integration filter is used to assess the statistical robustness of the relationships, with dotted lines indicating where the model does not pass this filter.

Driving Factors

• EURUSD: Decline in EURUSD was seen as overdone, but fair value has slightly decreased due to the flattening of the eurozone yield curve.
• USDINR: Decline is linked to falling oil prices and insufficient INR strength.
• USDBRL: Fair value increases due to the decline in Brazilian equities, indicating possible further BRL weakness.
• AUDUSD: Closed with a positive return as it aligned with fair value.
• USDIDR: The long signal was closed due to a small loss, suggesting the model's confidence in USDIDR had waned.

Additional Information

• The STEER™ model is a trade mark of BNP Paribas.
• The document contains information that may be subject to legal and regulatory disclosures, particularly in the UK and EU under MiFID II.
• The document is a marketing communication and not investment research, and is intended for Professional Clients and Eligible Counterparties.
• The information provided is for informational purposes only and not to be relied upon as authoritative.
• It is important to note that the indicative prices and signals are based on internal models and may not reflect actual transaction terms.

FX Strategy Contacts

Legal and Disclaimer Notes

• The document is non-independent research and may be subject to conflicts of interest.
• It is not investment research and may not be used for investment decisions unless the firm is in scope of the MiFID II unbundling rules and has signed up to a relevant research package.
• No guarantees are made regarding the accuracy or completeness of the information.
• All indicative prices and signals are based on internal models and assumptions and may vary significantly from other sources.
• The document may contain simulated performance data and is not a prospectus or public offering.
• It is provided on a strictly confidential basis and may not be copied or distributed without prior consent.

Additional Resources

• BNP Paribas Global Markets Website: www.globalmarkets.bnpparibas.com

• Bloomberg References:

  • Fixed Income Research BPFR
  • G10 Interest Rate Research BPBS
  • Emerging Markets Research BPFR
  • Market Economics BPEC

• www.baogaoba.xyz: This site is noted as the exclusive collector of the content, with daily updates and free sharing.

Conclusion

The STEER™ model is actively generating and managing trading signals based on a combination of statistical analysis, fair value, and market conditions. The model is particularly focused on the EURUSD, USDINR, and USDBRL pairs, with EURUSD and USDBRL showing potential for further moves. The document is a marketing communication and is not intended to be used as investment advice without proper legal and financial understanding.