|
ScenarioSM Study for December Cocoa(ICE) as of Jan 01, 2018 | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
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 | 23 | 24 | 21 | 19 | 23 | 25 | 24 | 25 | 16 | 21 | |
Exceeded High | 14 | 16 | 19 | 16 | 17 | 20 | 19 | 14 | 16 | 13 | 12 | |
Scenario Percentage | 88% | 70% | 79% | 76% | 89% | 87% | 76% | 58% | 64% | 81% | 57% | |
Avg Max Increase | 10.31% | 13.34% | 13.56% | 13.31% | 14.62% | 11.61% | 12.23% | 11.28% | 11.00% | 8.70% | 7.01% | |
Max Increase | 23.84% | 49.61% | 45.37% | 39.09% | 50.35% | 27.94% | 39.24% | 22.11% | 28.13% | 24.57% | 24.48% | |
Avg Days To Max Increase | 15 | 20 | 17 | 20 | 16 | 17 | 15 | 16 | 15 | 12 | 8 | |
Avg Max Decline | -2.07% | -2.51% | -3.55% | -3.35% | -4.03% | -3.40% | -4.74% | -3.34% | -3.47% | -3.33% | -0.79% | |
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 | 6 | 10 | 9 | 8 | 12 | 9 | 11 | 7 | 7 | 7 | 3 | |
2017 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | No | Yes | Yes | Yes | Yes |
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