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ScenarioSM Study for November Orange Juice(ICE) 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 | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct |
Tested Years | 33 | 37 | 39 | 41 | 42 | 42 | 42 | 42 | 42 | 42 | 42 | |
Closed Higher | 9 | 15 | 12 | 20 | 20 | 24 | 14 | 24 | 24 | 24 | 22 | |
Exceeded High | 5 | 7 | 10 | 13 | 15 | 15 | 11 | 18 | 21 | 17 | 13 | |
Scenario Percentage | 56% | 47% | 83% | 65% | 75% | 63% | 79% | 75% | 88% | 71% | 59% | |
Avg Max Increase | 13.29% | 8.52% | 10.06% | 12.37% | 11.91% | 8.68% | 9.80% | 9.72% | 13.22% | 13.22% | 5.30% | |
Max Increase | 26.07% | 15.60% | 22.94% | 28.65% | 34.71% | 18.79% | 19.25% | 39.93% | 41.81% | 40.93% | 15.03% | |
Avg Days To Max Increase | 16 | 20 | 18 | 17 | 16 | 15 | 16 | 16 | 17 | 7 | 6 | |
Avg Max Decline | -2.09% | -2.88% | -1.20% | -2.57% | -0.98% | -2.59% | -2.05% | -2.22% | -3.66% | -1.33% | -0.62% | |
Max Decline | -8.81% | -7.76% | -4.60% | -11.58% | -4.29% | -8.41% | -7.89% | -7.01% | -18.99% | -4.47% | -1.71% | |
Avg Days to Max Decline | 4 | 4 | 8 | 14 | 5 | 12 | 8 | 9 | 12 | 3 | 1 | |
2008 Contract Condition | Yes | Yes | Yes | Yes | ||||||||
Action | No | No | Yes | No |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.