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ScenarioSM Study for November Rough Rice(CBOT) as of Jan 01, 2008 | |||||||||||
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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 | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct |
Tested Years | 13 | 16 | 20 | 20 | 21 | 21 | 21 | 21 | 21 | 22 | 22 |
Closed Higher | 7 | 8 | 11 | 11 | 9 | 9 | 7 | 10 | 8 | 11 | 9 |
Exceeded High | 5 | 6 | 9 | 9 | 6 | 7 | 5 | 8 | 5 | 10 | 7 |
Scenario Percentage | 71% | 75% | 82% | 82% | 67% | 78% | 71% | 80% | 62% | 91% | 78% |
Avg Max Increase | 5.56% | 8.54% | 8.99% | 10.76% | 7.16% | 5.60% | 8.00% | 17.60% | 23.99% | 15.52% | 7.17% |
Max Increase | 9.59% | 17.72% | 23.79% | 20.30% | 17.97% | 10.68% | 21.51% | 73.73% | 88.47% | 77.97% | 20.23% |
Avg Days To Max Increase | 12 | 17 | 17 | 16 | 14 | 16 | 10 | 21 | 20 | 9 | 11 |
Avg Max Decline | -0.67% | -1.98% | -0.56% | -0.93% | -1.53% | -1.42% | -2.31% | -4.75% | -3.77% | -1.57% | -0.81% |
Max Decline | -1.03% | -7.59% | -2.68% | -3.17% | -5.44% | -4.97% | -3.40% | -8.92% | -7.01% | -4.81% | -3.15% |
Avg Days to Max Decline | 3 | 6 | 3 | 9 | 4 | 13 | 10 | 14 | 11 | 8 | 2 |
2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
Action | Yes | Yes | Yes | No | Yes | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.