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ScenarioSM Study for March Cotton(ICE) as of Jan 01, 2014 | ||||||||||||
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Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | ||||||||||||
Tested Month | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
Tested Years | 44 | 44 | 44 | 44 | 44 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 25 | 22 | 24 | 18 | 19 | 18 | 23 | 21 | 29 | 22 | 26 | |
Exceeded High | 19 | 17 | 18 | 14 | 13 | 14 | 13 | 18 | 25 | 16 | 18 | |
Scenario Percentage | 76% | 77% | 75% | 78% | 68% | 78% | 57% | 86% | 86% | 73% | 69% | |
Avg Max Increase | 7.84% | 10.57% | 10.30% | 12.09% | 14.01% | 12.44% | 9.96% | 11.93% | 10.30% | 7.68% | 3.74% | |
Max Increase | 27.66% | 33.40% | 54.34% | 43.69% | 47.88% | 51.25% | 32.10% | 25.60% | 45.72% | 29.29% | 16.96% | |
Avg Days To Max Increase | 21 | 17 | 20 | 21 | 16 | 19 | 19 | 21 | 18 | 7 | 3 | |
Avg Max Decline | -2.55% | -2.33% | -1.90% | -2.04% | -2.72% | -2.60% | -2.03% | -2.32% | -2.80% | -3.08% | -0.52% | |
Max Decline | -9.75% | -8.56% | -10.52% | -6.21% | -11.15% | -10.44% | -7.74% | -6.83% | -11.97% | -7.71% | -7.38% | |
Avg Days to Max Decline | 14 | 5 | 8 | 6 | 5 | 8 | 8 | 6 | 13 | 8 | 1 | |
2013 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | No | Yes | Yes | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.