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| ScenarioSM Study for December Wheat(CBOT) as of Jan 01, 2008 | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | |||||||||||
| Tested Month | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
| Tested Years | 34 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 |
| Closed Higher | 15 | 20 | 17 | 20 | 22 | 16 | 23 | 26 | 27 | 29 | 24 |
| Exceeded High | 12 | 13 | 11 | 16 | 15 | 11 | 20 | 19 | 21 | 18 | 14 |
| Scenario Percentage | 80% | 65% | 65% | 80% | 68% | 69% | 87% | 73% | 78% | 62% | 58% |
| Avg Max Increase | 6.71% | 9.76% | 9.84% | 14.63% | 14.26% | 12.60% | 15.96% | 10.60% | 9.49% | 6.65% | 5.46% |
| Max Increase | 10.48% | 33.07% | 30.94% | 42.98% | 33.73% | 32.31% | 55.25% | 31.91% | 25.73% | 22.00% | 19.11% |
| Avg Days To Max Increase | 17 | 18 | 16 | 17 | 19 | 20 | 20 | 17 | 17 | 11 | 8 |
| Avg Max Decline | -2.29% | -3.91% | -2.63% | -2.21% | -2.66% | -2.93% | -2.94% | -2.44% | -1.85% | -1.57% | -1.17% |
| Max Decline | -7.09% | -12.37% | -7.00% | -8.67% | -9.19% | -8.05% | -15.26% | -11.16% | -4.46% | -5.23% | -2.77% |
| Avg Days to Max Decline | 14 | 13 | 11 | 6 | 8 | 7 | 7 | 10 | 5 | 7 | 2 |
| 2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||
| Action | Yes | Yes | 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.
