|
ScenarioSM Study for September Rough Rice(CBOT) as of Jan 01, 2018 | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
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 | 18 | 21 | 27 | 28 | 31 | 31 | 31 | 31 | 31 | 31 | 31 | |
Closed Higher | 6 | 13 | 11 | 11 | 15 | 18 | 16 | 13 | 12 | 16 | 13 | |
Exceeded High | 3 | 7 | 9 | 10 | 13 | 16 | 10 | 11 | 8 | 13 | 8 | |
Scenario Percentage | 50% | 54% | 82% | 91% | 87% | 89% | 63% | 85% | 67% | 81% | 62% | |
Avg Max Increase | 5.31% | 9.21% | 8.09% | 9.12% | 9.97% | 9.79% | 7.70% | 7.06% | 8.61% | 11.57% | 8.47% | |
Max Increase | 11.11% | 25.44% | 23.19% | 23.16% | 34.06% | 26.96% | 22.02% | 11.61% | 21.03% | 65.96% | 39.29% | |
Avg Days To Max Increase | 18 | 22 | 17 | 17 | 18 | 16 | 12 | 19 | 14 | 13 | 12 | |
Avg Max Decline | -1.30% | -1.42% | -1.95% | -1.66% | -1.22% | -1.71% | -1.81% | -4.08% | -2.84% | -2.67% | -1.61% | |
Max Decline | -2.87% | -7.69% | -4.80% | -6.96% | -4.59% | -6.85% | -5.28% | -12.46% | -5.52% | -9.44% | -3.97% | |
Avg Days to Max Decline | 2 | 5 | 16 | 5 | 9 | 11 | 5 | 13 | 11 | 6 | 4 | |
2017 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | No | Yes | Yes | Yes | Yes | Yes |
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