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ScenarioSM Study for December Cocoa(ICE) as of Jun 08, 2020 | ||||||||||||
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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 | 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 | 17 | 23 | 23 | 21 | 19 | 22 | 23 | 24 | 24 | 16 | 22 | |
Exceeded High | 15 | 16 | 18 | 15 | 17 | 19 | 18 | 13 | 16 | 13 | 12 | |
Scenario Percentage | 88% | 70% | 78% | 71% | 89% | 86% | 78% | 54% | 67% | 81% | 55% | |
Avg Max Increase | 11.60% | 11.00% | 10.85% | 11.59% | 12.12% | 9.95% | 12.27% | 10.89% | 10.86% | 8.91% | 7.37% | |
Max Increase | 29.56% | 28.24% | 28.94% | 27.57% | 22.83% | 27.94% | 39.24% | 22.11% | 28.13% | 24.57% | 24.48% | |
Avg Days To Max Increase | 15 | 19 | 18 | 20 | 15 | 16 | 15 | 15 | 15 | 13 | 9 | |
Avg Max Decline | -1.96% | -2.47% | -3.40% | -3.66% | -3.95% | -3.44% | -4.53% | -2.98% | -3.64% | -3.17% | -0.79% | |
Max Decline | -9.11% | -6.90% | -6.94% | -13.61% | -11.33% | -13.39% | -13.88% | -6.74% | -9.29% | -10.27% | -8.68% | |
Avg Days to Max Decline | 6 | 11 | 9 | 9 | 12 | 9 | 12 | 6 | 9 | 7 | 3 | |
2019 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | Yes | Yes | Yes | Yes | Not Yet |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.