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ScenarioSM Study for March Cotton(ICE) as of Jun 08, 2020 | ||||||||||||
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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 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 27 | 20 | 23 | 19 | 19 | 17 | 26 | 22 | 31 | 22 | 26 | |
Exceeded High | 20 | 16 | 17 | 16 | 12 | 14 | 17 | 18 | 27 | 15 | 17 | |
Scenario Percentage | 74% | 80% | 74% | 84% | 63% | 82% | 65% | 82% | 87% | 68% | 65% | |
Avg Max Increase | 7.03% | 9.74% | 8.34% | 8.78% | 14.80% | 11.39% | 8.43% | 10.35% | 10.11% | 8.56% | 4.91% | |
Max Increase | 27.66% | 30.15% | 28.56% | 43.20% | 47.88% | 51.25% | 32.10% | 25.12% | 45.72% | 34.77% | 16.96% | |
Avg Days To Max Increase | 19 | 16 | 18 | 19 | 15 | 19 | 18 | 20 | 17 | 9 | 5 | |
Avg Max Decline | -2.40% | -2.60% | -1.82% | -2.15% | -2.01% | -2.66% | -1.90% | -2.48% | -2.86% | -3.17% | -0.42% | |
Max Decline | -9.75% | -8.56% | -10.52% | -6.21% | -5.29% | -10.44% | -7.74% | -6.83% | -11.97% | -7.71% | -7.38% | |
Avg Days to Max Decline | 15 | 4 | 7 | 6 | 5 | 8 | 9 | 7 | 12 | 9 | 1 | |
2020 Contract Condition | Yes | Yes | Yes | Yes | ||||||||
Action | No | Yes | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.