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ScenarioSM Study for July Cocoa(ICE) as of Oct 20, 2019 | ||||||||||||
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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 | 22 | 22 | 17 | 21 | 23 | 17 | 23 | 22 | 21 | 19 | 24 | |
Exceeded High | 13 | 16 | 15 | 15 | 19 | 15 | 17 | 17 | 14 | 15 | 18 | |
Scenario Percentage | 59% | 73% | 88% | 71% | 83% | 88% | 74% | 77% | 67% | 79% | 75% | |
Avg Max Increase | 9.51% | 9.08% | 8.69% | 9.53% | 13.25% | 11.91% | 11.33% | 11.38% | 12.50% | 11.05% | 6.58% | |
Max Increase | 22.46% | 25.06% | 20.03% | 24.17% | 54.06% | 31.15% | 31.33% | 41.92% | 27.26% | 26.66% | 23.61% | |
Avg Days To Max Increase | 15 | 17 | 16 | 12 | 14 | 16 | 18 | 16 | 20 | 13 | 8 | |
Avg Max Decline | -2.46% | -3.27% | -2.60% | -2.67% | -2.34% | -2.22% | -2.70% | -3.86% | -4.61% | -4.02% | -0.97% | |
Max Decline | -5.86% | -8.37% | -7.34% | -9.28% | -11.07% | -5.18% | -7.54% | -7.72% | -12.50% | -11.26% | -4.84% | |
Avg Days to Max Decline | 5 | 7 | 10 | 7 | 7 | 7 | 13 | 9 | 14 | 7 | 2 | |
2019 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | No | Yes | No | Yes | Yes | Yes | Yes |
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