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| ScenarioSM Study for September Cocoa(ICE) as of Jan 01, 2008 | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | |||||||||||
| Tested Month | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
| Tested Years | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 |
| Closed Higher | 15 | 22 | 25 | 14 | 19 | 19 | 17 | 18 | 22 | 24 | 26 |
| Exceeded High | 14 | 17 | 18 | 12 | 14 | 15 | 12 | 16 | 18 | 19 | 16 |
| Scenario Percentage | 93% | 77% | 72% | 86% | 74% | 79% | 71% | 89% | 82% | 79% | 62% |
| Avg Max Increase | 8.81% | 11.58% | 12.33% | 9.59% | 16.44% | 14.56% | 16.07% | 13.87% | 12.30% | 10.67% | 7.54% |
| Max Increase | 19.24% | 45.79% | 52.55% | 23.81% | 58.68% | 46.19% | 47.16% | 58.40% | 32.22% | 23.07% | 24.39% |
| Avg Days To Max Increase | 15 | 15 | 14 | 13 | 20 | 17 | 18 | 16 | 18 | 11 | 9 |
| Avg Max Decline | -1.63% | -2.10% | -1.89% | -1.51% | -2.68% | -3.65% | -3.34% | -4.59% | -3.82% | -4.56% | -0.79% |
| Max Decline | -6.65% | -8.84% | -8.99% | -4.86% | -10.54% | -7.25% | -13.32% | -11.82% | -13.99% | -15.06% | -3.08% |
| Avg Days to Max Decline | 7 | 7 | 7 | 6 | 8 | 7 | 8 | 12 | 8 | 8 | 2 |
| 2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
| Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
