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ScenarioSM Study for September Orange Juice(ICE) as of Nov 09, 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 | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
Tested Years | 41 | 43 | 44 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 21 | 25 | 14 | 17 | 16 | 27 | 18 | 28 | 17 | 23 | 24 | |
Exceeded High | 17 | 16 | 9 | 7 | 12 | 21 | 14 | 17 | 14 | 16 | 10 | |
Scenario Percentage | 81% | 64% | 64% | 41% | 75% | 78% | 78% | 61% | 82% | 70% | 42% | |
Avg Max Increase | 9.00% | 10.44% | 11.20% | 11.56% | 10.10% | 10.22% | 12.53% | 10.29% | 10.84% | 7.56% | 6.31% | |
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 | 17 | 14 | 14 | 15 | 16 | 19 | 21 | 17 | 13 | 10 | 7 | |
Avg Max Decline | -0.97% | -1.54% | -1.42% | -1.96% | -1.85% | -3.76% | -1.92% | -3.87% | -3.02% | -2.16% | 0.30% | |
Max Decline | -5.19% | -5.68% | -9.68% | -7.24% | -9.57% | -14.88% | -11.94% | -22.29% | -13.63% | -10.16% | -0.82% | |
Avg Days to Max Decline | 8 | 11 | 4 | 7 | 4 | 13 | 6 | 10 | 10 | 5 | 1 | |
2020 Contract Condition | Yes | Yes | Yes | Yes | ||||||||
Action | Yes | Yes | Yes | No |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.