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ScenarioSM Study for September Orange Juice(ICE) as of Jan 01, 2018 | ||||||||||||
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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 | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
Tested Years | 40 | 42 | 44 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 21 | 24 | 14 | 17 | 17 | 26 | 19 | 27 | 17 | 25 | 25 | |
Exceeded High | 17 | 17 | 9 | 8 | 13 | 20 | 14 | 17 | 15 | 17 | 11 | |
Scenario Percentage | 81% | 71% | 64% | 47% | 76% | 77% | 74% | 63% | 88% | 68% | 44% | |
Avg Max Increase | 8.99% | 10.26% | 11.20% | 10.38% | 9.72% | 10.41% | 12.25% | 11.30% | 10.81% | 7.57% | 6.32% | |
Max Increase | 25.83% | 31.05% | 27.04% | 17.51% | 28.55% | 29.71% | 34.95% | 28.29% | 21.34% | 22.84% | 15.65% | |
Avg Days To Max Increase | 16 | 14 | 14 | 14 | 17 | 19 | 20 | 19 | 14 | 10 | 7 | |
Avg Max Decline | -0.95% | -1.50% | -1.42% | -1.72% | -1.95% | -3.38% | -1.92% | -4.21% | -2.92% | -2.11% | 0.12% | |
Max Decline | -5.19% | -5.68% | -9.68% | -7.24% | -9.57% | -14.88% | -11.94% | -22.29% | -13.63% | -10.16% | -1.67% | |
Avg Days to Max Decline | 11 | 11 | 4 | 7 | 5 | 13 | 6 | 12 | 10 | 5 | 1 | |
2017 Contract Condition | Yes | Yes | Yes | Yes | ||||||||
Action | Yes | No | No | Yes |
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