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ScenarioSM Study for May Orange Juice(ICE) as of Jan 01, 2008 | |||||||||||
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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 |
Tested Years | 34 | 39 | 39 | 40 | 40 | 40 | 40 | 40 | 40 | 40 | 40 |
Closed Higher | 12 | 22 | 21 | 23 | 21 | 25 | 12 | 18 | 17 | 23 | 13 |
Exceeded High | 11 | 17 | 17 | 19 | 18 | 18 | 9 | 8 | 14 | 16 | 7 |
Scenario Percentage | 92% | 77% | 81% | 83% | 86% | 72% | 75% | 44% | 82% | 70% | 54% |
Avg Max Increase | 7.59% | 7.02% | 12.46% | 14.48% | 11.73% | 15.38% | 13.13% | 14.14% | 10.57% | 6.89% | 5.51% |
Max Increase | 18.06% | 18.40% | 42.70% | 43.51% | 44.49% | 62.21% | 29.47% | 21.39% | 28.32% | 16.91% | 16.03% |
Avg Days To Max Increase | 18 | 18 | 15 | 14 | 17 | 16 | 14 | 24 | 15 | 9 | 6 |
Avg Max Decline | -1.99% | -1.46% | -3.23% | -0.81% | -1.47% | -2.52% | -2.82% | -4.04% | -1.88% | -2.73% | -0.95% |
Max Decline | -8.84% | -7.37% | -17.46% | -6.46% | -8.42% | -11.34% | -10.80% | -10.03% | -8.38% | -12.78% | -1.91% |
Avg Days to Max Decline | 10 | 10 | 16 | 3 | 11 | 14 | 4 | 11 | 6 | 9 | 2 |
2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.