|
ScenarioSM Study for March Cotton(ICE) as of Oct 20, 2019 | ||||||||||||
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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 | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
Tested Years | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 27 | 20 | 24 | 20 | 19 | 17 | 25 | 22 | 30 | 23 | 27 | |
Exceeded High | 20 | 16 | 18 | 16 | 12 | 13 | 16 | 18 | 26 | 16 | 18 | |
Scenario Percentage | 74% | 80% | 75% | 80% | 63% | 76% | 64% | 82% | 87% | 70% | 67% | |
Avg Max Increase | 7.03% | 9.74% | 8.63% | 8.78% | 14.80% | 11.57% | 8.59% | 10.35% | 10.34% | 7.78% | 4.38% | |
Max Increase | 27.66% | 30.15% | 28.56% | 43.20% | 47.88% | 51.25% | 32.10% | 25.12% | 45.72% | 29.29% | 16.96% | |
Avg Days To Max Increase | 19 | 16 | 18 | 19 | 15 | 18 | 17 | 20 | 17 | 7 | 3 | |
Avg Max Decline | -2.40% | -2.60% | -1.85% | -2.15% | -2.01% | -2.78% | -1.81% | -2.48% | -2.94% | -3.04% | -0.41% | |
Max Decline | -9.75% | -8.56% | -10.52% | -6.21% | -5.29% | -10.44% | -7.74% | -6.83% | -11.97% | -7.71% | -7.38% | |
Avg Days to Max Decline | 15 | 4 | 7 | 6 | 5 | 9 | 8 | 7 | 12 | 9 | 1 | |
2019 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | Yes | Yes | Yes | No | Not Yet |
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