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ScenarioSM Study for December Canadian Dollar(CME) as of Dec 30, 2011 | ||||||||||||
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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 | 31 | 34 | 34 | 35 | 35 | 35 | 35 | 35 | 35 | 35 | 35 | |
Closed Higher | 11 | 15 | 19 | 22 | 17 | 21 | 17 | 19 | 23 | 16 | 14 | |
Exceeded High | 10 | 14 | 15 | 18 | 11 | 14 | 12 | 16 | 17 | 13 | 10 | |
Scenario Percentage | 91% | 93% | 79% | 82% | 65% | 67% | 71% | 84% | 74% | 81% | 71% | |
Avg Max Increase | 2.21% | 2.55% | 3.67% | 2.61% | 2.24% | 2.07% | 2.64% | 2.95% | 2.90% | 1.75% | 1.00% | |
Max Increase | 3.89% | 5.55% | 15.26% | 10.44% | 4.65% | 3.83% | 5.79% | 11.76% | 9.64% | 4.47% | 1.95% | |
Avg Days To Max Increase | 14 | 19 | 16 | 19 | 18 | 21 | 21 | 20 | 15 | 12 | 10 | |
Avg Max Decline | -0.66% | -0.93% | -0.41% | -0.57% | -1.22% | -0.53% | -0.53% | -0.57% | -0.60% | -0.45% | -0.22% | |
Max Decline | -1.96% | -3.40% | -1.42% | -1.91% | -6.74% | -1.77% | -3.04% | -2.54% | -2.56% | -2.18% | -0.72% | |
Avg Days to Max Decline | 9 | 9 | 6 | 8 | 11 | 9 | 8 | 5 | 9 | 3 | 3 | |
2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | Yes | No | Yes | No | Not Yet |
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