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ScenarioSM Study for March Swiss Franc(CME) 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 | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
Tested Years | 26 | 30 | 32 | 35 | 35 | 35 | 35 | 35 | 35 | 35 | 35 | |
Closed Higher | 8 | 14 | 13 | 15 | 18 | 24 | 20 | 17 | 19 | 11 | 18 | |
Exceeded High | 7 | 9 | 11 | 13 | 16 | 21 | 13 | 13 | 14 | 9 | 8 | |
Scenario Percentage | 88% | 64% | 85% | 87% | 89% | 88% | 65% | 76% | 74% | 82% | 44% | |
Avg Max Increase | 3.88% | 5.46% | 6.24% | 6.07% | 5.79% | 4.47% | 5.31% | 5.80% | 4.50% | 6.06% | 3.27% | |
Max Increase | 8.78% | 11.71% | 16.75% | 18.60% | 12.10% | 11.46% | 12.15% | 10.90% | 10.55% | 13.30% | 9.13% | |
Avg Days To Max Increase | 16 | 18 | 19 | 21 | 18 | 18 | 20 | 17 | 15 | 14 | 10 | |
Avg Max Decline | -1.01% | -0.60% | -0.72% | -1.77% | -1.20% | -1.46% | -0.73% | -1.23% | -1.48% | -1.09% | -0.74% | |
Max Decline | -5.72% | -2.32% | -2.02% | -7.22% | -5.77% | -4.34% | -1.81% | -4.09% | -2.75% | -2.70% | -2.07% | |
Avg Days to Max Decline | 9 | 5 | 7 | 14 | 7 | 10 | 3 | 7 | 6 | 8 | 2 | |
2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | 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.