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ScenarioSM Study for July Cotton(ICE) as of Jan 01, 2015 | ||||||||||||
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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 | 23 | 20 | 23 | 20 | 30 | 22 | 28 | 25 | 26 | 22 | 26 | |
Exceeded High | 15 | 17 | 14 | 17 | 26 | 18 | 25 | 15 | 19 | 15 | 11 | |
Scenario Percentage | 65% | 85% | 61% | 85% | 87% | 82% | 89% | 60% | 73% | 68% | 42% | |
Avg Max Increase | 11.56% | 9.92% | 8.10% | 10.10% | 10.60% | 10.88% | 8.65% | 11.64% | 9.72% | 10.98% | 4.59% | |
Max Increase | 38.43% | 44.56% | 25.54% | 24.15% | 55.11% | 35.33% | 34.05% | 35.75% | 35.29% | 34.98% | 12.36% | |
Avg Days To Max Increase | 15 | 19 | 15 | 23 | 21 | 14 | 21 | 21 | 18 | 11 | 6 | |
Avg Max Decline | -1.70% | -2.52% | -0.80% | -1.84% | -2.35% | -1.89% | -2.43% | -2.19% | -3.02% | -2.55% | -0.59% | |
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 | 10 | 3 | 6 | 13 | 6 | 11 | 7 | 10 | 5 | 1 | |
2014 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | Yes | No | Yes |
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