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ScenarioSM Study for May 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 | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr |
Tested Years | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 19 | 21 | 19 | 17 | 25 | 20 | 30 | 23 | 27 | 24 | 25 | |
Exceeded High | 14 | 16 | 13 | 14 | 17 | 16 | 26 | 18 | 25 | 15 | 15 | |
Scenario Percentage | 74% | 76% | 68% | 82% | 68% | 80% | 87% | 78% | 93% | 63% | 60% | |
Avg Max Increase | 7.21% | 8.38% | 12.99% | 10.34% | 7.42% | 9.41% | 10.55% | 10.57% | 8.42% | 8.40% | 2.86% | |
Max Increase | 19.00% | 42.15% | 44.70% | 47.39% | 25.88% | 23.85% | 51.83% | 34.64% | 18.77% | 26.32% | 9.74% | |
Avg Days To Max Increase | 15 | 18 | 15 | 19 | 17 | 23 | 19 | 15 | 20 | 12 | 5 | |
Avg Max Decline | -1.67% | -1.78% | -1.94% | -2.59% | -1.78% | -2.09% | -2.81% | -3.29% | -3.15% | -2.69% | -0.72% | |
Max Decline | -9.69% | -5.81% | -4.88% | -9.66% | -8.93% | -6.54% | -11.48% | -9.28% | -11.07% | -7.60% | -2.48% | |
Avg Days to Max Decline | 8 | 6 | 7 | 9 | 5 | 7 | 13 | 11 | 13 | 6 | 1 | |
2019 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | No | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.