|
ScenarioSM Study for May Cotton(ICE) as of Jan 01, 2008 | |||||||||||
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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 | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr |
Tested Years | 44 | 44 | 44 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 |
Closed Higher | 22 | 21 | 19 | 20 | 21 | 23 | 25 | 20 | 24 | 19 | 24 |
Exceeded High | 17 | 16 | 14 | 15 | 11 | 19 | 20 | 15 | 21 | 13 | 13 |
Scenario Percentage | 77% | 76% | 74% | 75% | 52% | 83% | 80% | 75% | 88% | 68% | 54% |
Avg Max Increase | 9.17% | 10.65% | 9.39% | 7.11% | 8.85% | 9.63% | 8.24% | 6.95% | 10.09% | 8.69% | 2.34% |
Max Increase | 52.50% | 42.15% | 38.49% | 21.82% | 22.01% | 25.51% | 19.05% | 21.21% | 36.94% | 27.61% | 6.56% |
Avg Days To Max Increase | 18 | 22 | 18 | 21 | 18 | 22 | 19 | 15 | 22 | 13 | 5 |
Avg Max Decline | -1.53% | -1.50% | -2.72% | -1.98% | -1.32% | -1.42% | -2.25% | -3.40% | -3.22% | -2.60% | -0.76% |
Max Decline | -9.69% | -5.81% | -13.33% | -9.66% | -4.96% | -6.54% | -5.25% | -9.28% | -11.07% | -7.60% | -2.48% |
Avg Days to Max Decline | 7 | 6 | 9 | 12 | 3 | 4 | 13 | 11 | 11 | 7 | 1 |
2007 Contract Condition | Yes | Yes | Yes | Yes | |||||||
Action | Yes | No | Yes | No |
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