|
ScenarioSM Study for September Cocoa(ICE) as of Jan 01, 2018 | ||||||||||||
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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 | Sep | 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 | 16 | 23 | 23 | 20 | 18 | 23 | 24 | 24 | |
Exceeded High | 14 | 17 | 19 | 14 | 17 | 18 | 15 | 16 | 19 | 19 | 12 | |
Scenario Percentage | 93% | 77% | 76% | 88% | 74% | 78% | 75% | 89% | 83% | 79% | 50% | |
Avg Max Increase | 8.07% | 10.82% | 14.40% | 10.35% | 13.86% | 13.86% | 14.60% | 14.38% | 11.72% | 9.09% | 6.58% | |
Max Increase | 19.24% | 45.79% | 52.55% | 25.76% | 58.68% | 46.19% | 47.16% | 58.40% | 32.22% | 18.53% | 14.16% | |
Avg Days To Max Increase | 16 | 15 | 15 | 12 | 19 | 14 | 19 | 18 | 19 | 12 | 10 | |
Avg Max Decline | -2.31% | -2.18% | -2.69% | -1.55% | -2.29% | -3.58% | -3.56% | -4.60% | -4.08% | -4.95% | -0.96% | |
Max Decline | -6.65% | -8.84% | -11.17% | -3.82% | -7.49% | -7.25% | -13.32% | -11.82% | -13.99% | -15.06% | -4.36% | |
Avg Days to Max Decline | 8 | 6 | 8 | 5 | 9 | 9 | 6 | 12 | 9 | 8 | 3 | |
2017 Contract Condition | Yes | Yes | Yes | |||||||||
Action | No | Yes | Yes |
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