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ScenarioSM Study for March Cocoa(ICE) as of Aug 18, 2023 | ||||||||||||
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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 | 21 | 19 | 20 | 21 | 27 | 22 | 15 | 23 | 23 | 17 | 24 | |
Exceeded High | 18 | 17 | 16 | 18 | 15 | 16 | 13 | 17 | 17 | 15 | 16 | |
Scenario Percentage | 86% | 89% | 80% | 86% | 56% | 73% | 87% | 74% | 74% | 88% | 67% | |
Avg Max Increase | 7.92% | 9.84% | 8.27% | 10.99% | 9.69% | 8.18% | 8.94% | 10.16% | 14.30% | 12.08% | 5.14% | |
Max Increase | 20.60% | 21.23% | 25.45% | 23.81% | 19.12% | 26.62% | 21.83% | 26.12% | 58.58% | 29.61% | 15.49% | |
Avg Days To Max Increase | 17 | 16 | 15 | 14 | 12 | 15 | 15 | 13 | 15 | 12 | 9 | |
Avg Max Decline | -2.48% | -3.54% | -2.77% | -3.80% | -2.23% | -2.84% | -2.57% | -3.28% | -3.68% | -2.35% | -1.37% | |
Max Decline | -7.11% | -10.55% | -13.93% | -12.19% | -6.15% | -9.09% | -7.01% | -9.48% | -13.27% | -6.59% | -4.76% | |
Avg Days to Max Decline | 6 | 11 | 8 | 13 | 4 | 7 | 8 | 10 | 10 | 6 | 3 | |
2023 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | No | Yes | Yes | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.