|
ScenarioSM Study for December Cocoa(ICE) as of Dec 30, 2011 | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | ||||||||||||
Tested Month | Dec | 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 | 16 | 21 | 21 | 18 | 19 | 22 | 27 | 24 | 24 | 17 | 19 | |
Exceeded High | 15 | 15 | 17 | 13 | 17 | 19 | 20 | 15 | 16 | 13 | 10 | |
Scenario Percentage | 94% | 71% | 81% | 72% | 89% | 86% | 74% | 63% | 67% | 76% | 53% | |
Avg Max Increase | 10.31% | 13.74% | 14.08% | 15.36% | 14.86% | 11.98% | 14.00% | 11.86% | 11.93% | 9.56% | 9.37% | |
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 | 15 | 20 | 19 | 21 | 16 | 16 | 16 | 16 | 13 | 13 | 11 | |
Avg Max Decline | -2.15% | -2.65% | -3.71% | -3.62% | -4.30% | -3.27% | -4.35% | -2.94% | -3.29% | -2.48% | -1.49% | |
Max Decline | -9.11% | -6.90% | -6.94% | -13.61% | -11.33% | -13.39% | -13.88% | -7.99% | -9.29% | -10.27% | -8.68% | |
Avg Days to Max Decline | 7 | 8 | 8 | 9 | 12 | 8 | 9 | 7 | 7 | 5 | 3 | |
2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | Yes | No | Yes | No | Not Yet |
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