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ScenarioSM Study for June 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 | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May |
Tested Years | 24 | 26 | 30 | 35 | 35 | 35 | 35 | 35 | 35 | 35 | 35 | |
Closed Higher | 7 | 16 | 20 | 19 | 17 | 19 | 11 | 17 | 18 | 15 | 15 | |
Exceeded High | 6 | 15 | 18 | 11 | 13 | 14 | 9 | 12 | 14 | 11 | 8 | |
Scenario Percentage | 86% | 94% | 90% | 58% | 76% | 74% | 82% | 71% | 78% | 73% | 53% | |
Avg Max Increase | 7.36% | 5.42% | 4.24% | 5.61% | 5.72% | 4.50% | 6.67% | 4.12% | 4.29% | 2.84% | 1.82% | |
Max Increase | 18.85% | 12.61% | 11.13% | 12.27% | 11.00% | 11.11% | 14.44% | 10.82% | 8.87% | 4.65% | 3.87% | |
Avg Days To Max Increase | 21 | 18 | 19 | 22 | 17 | 14 | 20 | 21 | 16 | 10 | 5 | |
Avg Max Decline | -0.72% | -1.11% | -1.01% | -0.27% | -1.18% | -1.29% | -1.10% | -1.74% | -1.48% | -0.80% | -0.43% | |
Max Decline | -1.64% | -4.88% | -4.15% | -1.21% | -4.07% | -2.86% | -2.71% | -7.31% | -3.91% | -2.18% | -1.20% | |
Avg Days to Max Decline | 9 | 11 | 10 | 2 | 8 | 4 | 11 | 11 | 6 | 3 | 1 | |
2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | Yes | Yes | Yes | No | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.