|
ScenarioSM Study for July Cotton(ICE) 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 | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun |
Tested Years | 44 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 21 | 20 | 22 | 21 | 28 | 20 | 25 | 22 | 27 | 24 | 25 | |
Exceeded High | 13 | 16 | 14 | 17 | 22 | 15 | 22 | 15 | 20 | 17 | 11 | |
Scenario Percentage | 62% | 80% | 64% | 81% | 79% | 75% | 88% | 68% | 74% | 71% | 44% | |
Avg Max Increase | 9.99% | 9.00% | 7.18% | 9.58% | 8.73% | 8.93% | 8.19% | 11.64% | 9.92% | 10.40% | 4.71% | |
Max Increase | 35.61% | 20.82% | 18.01% | 24.15% | 17.52% | 32.18% | 34.05% | 35.75% | 35.29% | 34.98% | 12.36% | |
Avg Days To Max Increase | 17 | 21 | 16 | 22 | 21 | 14 | 22 | 21 | 20 | 13 | 6 | |
Avg Max Decline | -1.79% | -2.39% | -0.92% | -1.66% | -2.51% | -2.09% | -2.69% | -2.19% | -2.93% | -2.26% | -0.11% | |
Max Decline | -4.46% | -8.94% | -5.00% | -6.60% | -10.31% | -4.01% | -10.16% | -6.25% | -9.31% | -7.63% | -2.86% | |
Avg Days to Max Decline | 7 | 11 | 3 | 5 | 14 | 8 | 13 | 7 | 10 | 5 | 2 | |
2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | Yes | No | Not Yet |
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