|
ScenarioSM Study for May Cocoa(ICE) as of Dec 30, 2016 | ||||||||||||
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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 | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr |
Tested Years | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 25 | 26 | 24 | 22 | 14 | 20 | 24 | 17 | 24 | 22 | 23 | |
Exceeded High | 21 | 20 | 16 | 15 | 13 | 15 | 19 | 16 | 18 | 19 | 13 | |
Scenario Percentage | 84% | 77% | 67% | 68% | 93% | 75% | 79% | 94% | 75% | 86% | 57% | |
Avg Max Increase | 11.05% | 12.11% | 10.54% | 9.22% | 9.16% | 9.84% | 15.54% | 10.92% | 14.85% | 11.15% | 5.56% | |
Max Increase | 27.80% | 37.58% | 22.73% | 25.55% | 20.86% | 24.73% | 56.27% | 26.21% | 65.86% | 39.74% | 22.25% | |
Avg Days To Max Increase | 18 | 15 | 15 | 17 | 15 | 13 | 16 | 17 | 19 | 12 | 10 | |
Avg Max Decline | -2.38% | -3.56% | -2.88% | -3.67% | -2.59% | -3.03% | -3.90% | -3.34% | -2.80% | -3.92% | -1.54% | |
Max Decline | -13.94% | -12.03% | -9.43% | -8.69% | -8.39% | -9.06% | -13.44% | -13.28% | -7.98% | -7.85% | -6.60% | |
Avg Days to Max Decline | 10 | 10 | 8 | 8 | 8 | 9 | 9 | 9 | 11 | 6 | 3 | |
2016 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | Yes | Yes | Yes | Yes | Yes |
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