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ScenarioSM Study for May Oats(CBOT) as of Dec 31, 2010 | ||||||||||||
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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 | 29 | 34 | 34 | 36 | 36 | 36 | 36 | 36 | 36 | 36 | 36 | |
Closed Higher | 11 | 16 | 15 | 21 | 19 | 17 | 17 | 13 | 13 | 16 | 18 | |
Exceeded High | 8 | 12 | 10 | 19 | 12 | 8 | 10 | 11 | 9 | 13 | 12 | |
Scenario Percentage | 73% | 75% | 67% | 90% | 63% | 47% | 59% | 85% | 69% | 81% | 67% | |
Avg Max Increase | 12.41% | 8.37% | 10.39% | 10.64% | 10.63% | 7.06% | 11.65% | 12.17% | 11.04% | 9.34% | 9.19% | |
Max Increase | 24.52% | 18.48% | 21.88% | 36.29% | 20.50% | 14.90% | 39.34% | 33.21% | 27.04% | 23.85% | 19.33% | |
Avg Days To Max Increase | 13 | 17 | 19 | 16 | 18 | 10 | 11 | 16 | 15 | 12 | 8 | |
Avg Max Decline | 0.15% | -4.30% | -4.01% | -2.25% | -0.49% | -2.05% | -1.09% | -2.59% | -3.41% | -2.65% | -1.31% | |
Max Decline | -2.19% | -7.41% | -13.02% | -10.00% | -3.61% | -6.85% | -4.39% | -8.72% | -8.58% | -8.53% | -6.88% | |
Avg Days to Max Decline | 5 | 9 | 11 | 7 | 6 | 4 | 6 | 7 | 19 | 6 | 2 | |
2010 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.