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ScenarioSM Study for December Cocoa(ICE) as of Jan 01, 2007 | |||||||||||
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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 | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
Tested Years | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 |
Closed Higher | 14 | 19 | 19 | 18 | 17 | 22 | 26 | 25 | 25 | 16 | 20 |
Exceeded High | 12 | 13 | 14 | 13 | 15 | 18 | 19 | 18 | 17 | 12 | 11 |
Scenario Percentage | 86% | 68% | 74% | 72% | 88% | 82% | 73% | 72% | 68% | 75% | 55% |
Avg Max Increase | 9.68% | 14.96% | 16.03% | 14.23% | 14.11% | 12.83% | 14.21% | 12.16% | 12.93% | 9.99% | 7.43% |
Max Increase | 23.84% | 49.61% | 45.37% | 39.09% | 50.35% | 27.94% | 39.24% | 33.03% | 28.13% | 24.57% | 24.48% |
Avg Days To Max Increase | 16 | 21 | 20 | 19 | 15 | 18 | 16 | 17 | 14 | 13 | 8 |
Avg Max Decline | -2.07% | -2.80% | -3.58% | -3.20% | -4.41% | -3.19% | -4.17% | -2.68% | -3.41% | -2.04% | -0.98% |
Max Decline | -9.11% | -9.94% | -6.94% | -13.61% | -11.33% | -13.39% | -13.88% | -7.99% | -9.29% | -10.27% | -7.88% |
Avg Days to Max Decline | 8 | 9 | 8 | 9 | 12 | 9 | 9 | 7 | 8 | 5 | 3 |
2006 Contract Condition | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.