|
ScenarioSM Study for March Cocoa(ICE) as of Jan 01, 2013 | ||||||||||||
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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 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 17 | 19 | 22 | 27 | 25 | 22 | 16 | 18 | 25 | 18 | 22 | |
Exceeded High | 14 | 18 | 18 | 20 | 16 | 16 | 14 | 13 | 18 | 15 | 15 | |
Scenario Percentage | 82% | 95% | 82% | 74% | 64% | 73% | 88% | 72% | 72% | 83% | 68% | |
Avg Max Increase | 13.33% | 14.03% | 11.83% | 14.01% | 12.03% | 10.57% | 9.94% | 11.85% | 16.79% | 10.97% | 7.25% | |
Max Increase | 35.46% | 45.34% | 27.78% | 38.29% | 33.68% | 27.14% | 21.83% | 26.12% | 58.58% | 25.62% | 23.13% | |
Avg Days To Max Increase | 18 | 17 | 16 | 15 | 14 | 13 | 15 | 13 | 15 | 11 | 10 | |
Avg Max Decline | -3.02% | -3.96% | -2.47% | -3.81% | -2.47% | -3.14% | -2.02% | -3.37% | -3.73% | -2.46% | -1.67% | |
Max Decline | -13.61% | -10.55% | -13.93% | -12.19% | -9.23% | -9.09% | -9.66% | -9.48% | -13.27% | -7.77% | -4.76% | |
Avg Days to Max Decline | 6 | 13 | 8 | 9 | 7 | 7 | 5 | 8 | 9 | 6 | 3 | |
2012 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | No | Yes | No | No | Yes | Not Yet |
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