|
ScenarioSM Study for May Corn(CBOT) as of Dec 31, 2010 | ||||||||||||
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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 | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr |
Tested Years | 38 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 15 | 15 | 21 | 16 | 22 | 19 | 22 | 21 | 22 | 23 | 18 | |
Exceeded High | 12 | 11 | 13 | 13 | 15 | 13 | 18 | 16 | 16 | 22 | 15 | |
Scenario Percentage | 80% | 73% | 62% | 81% | 68% | 68% | 82% | 76% | 73% | 96% | 83% | |
Avg Max Increase | 12.94% | 11.30% | 6.21% | 11.17% | 7.82% | 9.22% | 8.29% | 8.39% | 7.21% | 6.26% | 5.77% | |
Max Increase | 64.95% | 23.43% | 11.88% | 41.11% | 17.13% | 28.57% | 28.07% | 16.47% | 30.76% | 24.82% | 19.70% | |
Avg Days To Max Increase | 10 | 17 | 14 | 16 | 20 | 14 | 18 | 23 | 11 | 7 | 8 | |
Avg Max Decline | -0.61% | -2.74% | -2.81% | -3.01% | -1.21% | -2.42% | -2.34% | -2.10% | -2.65% | -1.53% | -1.10% | |
Max Decline | -4.17% | -10.75% | -10.29% | -9.93% | -2.88% | -8.72% | -9.03% | -5.24% | -9.53% | -10.93% | -5.25% | |
Avg Days to Max Decline | 4 | 7 | 14 | 11 | 12 | 7 | 11 | 16 | 8 | 7 | 3 | |
2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | Yes | Yes |
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