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ScenarioSM Study for July Lumber(CME) as of Jan 01, 2014 | ||||||||||||
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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 | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun |
Tested Years | 25 | 32 | 37 | 39 | 39 | 40 | 40 | 40 | 40 | 40 | 40 | |
Closed Higher | 10 | 14 | 23 | 27 | 25 | 22 | 19 | 20 | 17 | 21 | 17 | |
Exceeded High | 6 | 13 | 19 | 21 | 24 | 19 | 16 | 13 | 12 | 14 | 6 | |
Scenario Percentage | 60% | 93% | 83% | 78% | 96% | 86% | 84% | 65% | 71% | 67% | 35% | |
Avg Max Increase | 10.56% | 8.89% | 6.93% | 7.20% | 9.59% | 9.53% | 9.29% | 13.49% | 15.03% | 9.21% | 5.77% | |
Max Increase | 23.27% | 25.83% | 14.46% | 13.94% | 40.42% | 55.50% | 33.07% | 54.48% | 29.87% | 26.23% | 9.22% | |
Avg Days To Max Increase | 21 | 14 | 20 | 21 | 18 | 18 | 17 | 19 | 19 | 12 | 9 | |
Avg Max Decline | -1.46% | -1.66% | -2.35% | -3.00% | -2.96% | -2.26% | -2.33% | -2.25% | -1.93% | -1.92% | -1.74% | |
Max Decline | -3.55% | -3.50% | -7.04% | -8.09% | -11.69% | -8.53% | -7.31% | -7.28% | -3.69% | -9.18% | -4.12% | |
Avg Days to Max Decline | 16 | 8 | 12 | 12 | 10 | 10 | 9 | 14 | 6 | 6 | 3 | |
2013 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | Yes | No |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.