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ScenarioSM Study for June Eurodollars(CME) as of Jan 01, 2009 | ||||||||||||
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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 | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May |
Tested Years | 26 | 26 | 26 | 26 | 26 | 26 | 26 | 26 | 27 | 27 | 27 | |
Closed Higher | 15 | 17 | 20 | 17 | 13 | 16 | 14 | 12 | 10 | 14 | 12 | |
Exceeded High | 14 | 17 | 18 | 13 | 12 | 16 | 9 | 10 | 7 | 11 | 8 | |
Scenario Percentage | 93% | 100% | 90% | 76% | 92% | 100% | 64% | 83% | 70% | 79% | 67% | |
Avg Max Increase | 0.86% | 0.86% | 0.73% | 0.71% | 0.84% | 0.52% | 0.46% | 0.40% | 0.69% | 0.52% | 0.21% | |
Max Increase | 2.01% | 3.61% | 2.75% | 1.62% | 1.91% | 1.11% | 0.85% | 1.41% | 2.24% | 1.69% | 0.40% | |
Avg Days To Max Increase | 16 | 17 | 15 | 18 | 16 | 17 | 15 | 17 | 20 | 13 | 8 | |
Avg Max Decline | -0.09% | -0.17% | -0.14% | -0.07% | -0.12% | -0.19% | -0.11% | -0.12% | -0.12% | -0.10% | -0.02% | |
Max Decline | -0.29% | -0.55% | -0.55% | -0.27% | -0.47% | -0.76% | -0.27% | -0.43% | -0.30% | -0.64% | -0.15% | |
Avg Days to Max Decline | 7 | 8 | 7 | 4 | 6 | 7 | 6 | 5 | 6 | 3 | 1 | |
2008 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | Yes | Yes | No |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.