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ScenarioSM Study for May Lumber(CME) 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 | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr |
Tested Years | 31 | 40 | 42 | 44 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 13 | 18 | 21 | 14 | 27 | 31 | 28 | 24 | 21 | 20 | 19 | |
Exceeded High | 8 | 13 | 16 | 13 | 21 | 24 | 25 | 20 | 15 | 14 | 13 | |
Scenario Percentage | 62% | 72% | 76% | 93% | 78% | 77% | 89% | 83% | 71% | 70% | 68% | |
Avg Max Increase | 3.97% | 8.31% | 8.27% | 8.83% | 7.90% | 9.08% | 9.87% | 10.85% | 11.73% | 13.86% | 8.62% | |
Max Increase | 7.97% | 16.32% | 22.53% | 26.86% | 16.86% | 25.69% | 50.87% | 58.10% | 26.09% | 47.03% | 17.51% | |
Avg Days To Max Increase | 18 | 18 | 17 | 15 | 23 | 20 | 17 | 15 | 21 | 11 | 11 | |
Avg Max Decline | -1.54% | -1.62% | -1.99% | -2.94% | -2.90% | -3.42% | -3.22% | -1.69% | -3.56% | -1.84% | -0.96% | |
Max Decline | -5.12% | -5.18% | -5.61% | -8.96% | -10.86% | -8.19% | -13.01% | -9.52% | -8.34% | -6.87% | -3.43% | |
Avg Days to Max Decline | 7 | 10 | 12 | 10 | 11 | 12 | 11 | 6 | 11 | 6 | 1 | |
2020 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | 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.