|
ScenarioSM Study for September 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 | 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 | 17 | 22 | 24 | 17 | 23 | 22 | 20 | 18 | 23 | 22 | 24 | |
Exceeded High | 16 | 17 | 17 | 15 | 17 | 17 | 14 | 16 | 19 | 18 | 11 | |
Scenario Percentage | 94% | 77% | 71% | 88% | 74% | 77% | 70% | 89% | 83% | 82% | 46% | |
Avg Max Increase | 7.99% | 10.82% | 13.92% | 11.72% | 10.98% | 10.78% | 12.18% | 11.21% | 9.88% | 9.22% | 6.60% | |
Max Increase | 19.24% | 45.79% | 52.55% | 30.91% | 30.39% | 37.28% | 29.65% | 21.51% | 23.44% | 18.53% | 14.16% | |
Avg Days To Max Increase | 16 | 15 | 14 | 13 | 17 | 15 | 19 | 17 | 17 | 12 | 10 | |
Avg Max Decline | -2.57% | -2.18% | -2.18% | -1.47% | -2.16% | -3.60% | -3.98% | -4.65% | -4.00% | -4.71% | -1.06% | |
Max Decline | -6.65% | -8.84% | -11.17% | -3.82% | -6.12% | -7.25% | -13.32% | -11.82% | -13.99% | -15.06% | -4.36% | |
Avg Days to Max Decline | 9 | 6 | 7 | 5 | 10 | 9 | 8 | 12 | 10 | 8 | 3 | |
2019 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | No | Yes | Yes | Yes | Yes |
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