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ScenarioSM Study for March Australian Dollar(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 | 11 | 11 | 12 | 20 | 20 | 21 | 23 | 23 | 23 | 23 | 24 | |
Closed Higher | 9 | 4 | 8 | 8 | 10 | 12 | 14 | 14 | 12 | 10 | 16 | |
Exceeded High | 9 | 4 | 6 | 8 | 9 | 10 | 13 | 10 | 9 | 9 | 10 | |
Scenario Percentage | 100% | 100% | 75% | 100% | 90% | 83% | 93% | 71% | 75% | 90% | 63% | |
Avg Max Increase | 4.39% | 3.52% | 3.20% | 3.24% | 4.81% | 4.80% | 4.28% | 3.66% | 3.94% | 3.30% | 2.00% | |
Max Increase | 12.44% | 4.62% | 5.30% | 6.28% | 10.90% | 9.77% | 8.20% | 8.64% | 9.59% | 6.19% | 2.79% | |
Avg Days To Max Increase | 18 | 13 | 15 | 17 | 19 | 15 | 17 | 15 | 20 | 12 | 9 | |
Avg Max Decline | -0.77% | -1.09% | -0.77% | -1.84% | -0.94% | -1.04% | -0.83% | -1.05% | -1.46% | -0.50% | -0.18% | |
Max Decline | -3.75% | -3.04% | -4.08% | -8.21% | -2.10% | -2.89% | -2.40% | -4.07% | -4.04% | -1.04% | -1.91% | |
Avg Days to Max Decline | 6 | 13 | 5 | 16 | 5 | 9 | 4 | 7 | 10 | 4 | 2 | |
2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | No | Yes |
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