|
ScenarioSM Study for July Cotton(ICE) as of Dec 30, 2016 | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
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 | 18 | 23 | 21 | 31 | 21 | 27 | 26 | 27 | 21 | 26 | |
Exceeded High | 14 | 16 | 14 | 18 | 26 | 17 | 24 | 16 | 20 | 15 | 10 | |
Scenario Percentage | 61% | 89% | 61% | 86% | 84% | 81% | 89% | 62% | 74% | 71% | 38% | |
Avg Max Increase | 12.05% | 10.07% | 8.28% | 9.74% | 10.76% | 11.31% | 9.01% | 11.60% | 8.93% | 11.01% | 3.75% | |
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 | 20 | 16 | 23 | 21 | 15 | 22 | 21 | 17 | 9 | 3 | |
Avg Max Decline | -1.82% | -2.53% | -1.13% | -1.72% | -2.48% | -1.96% | -2.62% | -2.09% | -3.22% | -2.55% | -0.58% | |
Max Decline | -4.46% | -8.94% | -5.00% | -6.60% | -10.31% | -4.01% | -10.16% | -6.25% | -9.31% | -7.63% | -2.10% | |
Avg Days to Max Decline | 7 | 11 | 4 | 5 | 13 | 6 | 11 | 7 | 10 | 5 | 1 | |
2016 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | Yes | No | Yes | Yes | Yes |
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