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ScenarioSM Study for July Cocoa(ICE) as of Jan 01, 2009 | ||||||||||||
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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 | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun |
Tested Years | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 23 | 24 | 15 | 20 | 25 | 14 | 20 | 20 | 18 | 19 | 23 | |
Exceeded High | 17 | 17 | 13 | 14 | 20 | 13 | 15 | 15 | 13 | 16 | 19 | |
Scenario Percentage | 74% | 71% | 87% | 70% | 80% | 93% | 75% | 75% | 72% | 84% | 83% | |
Avg Max Increase | 10.70% | 10.74% | 9.77% | 10.75% | 13.38% | 10.92% | 16.89% | 14.90% | 16.04% | 12.07% | 7.54% | |
Max Increase | 34.26% | 26.44% | 20.03% | 23.00% | 54.06% | 25.92% | 67.00% | 45.98% | 47.32% | 40.90% | 23.61% | |
Avg Days To Max Increase | 16 | 16 | 15 | 12 | 14 | 16 | 21 | 18 | 20 | 11 | 9 | |
Avg Max Decline | -1.90% | -3.17% | -1.39% | -2.48% | -2.08% | -2.29% | -3.24% | -3.81% | -4.31% | -4.58% | -0.61% | |
Max Decline | -6.42% | -8.37% | -7.34% | -9.28% | -10.04% | -5.18% | -10.57% | -7.72% | -12.50% | -11.26% | -4.84% | |
Avg Days to Max Decline | 6 | 9 | 7 | 6 | 7 | 7 | 12 | 7 | 14 | 10 | 2 | |
2008 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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