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ScenarioSM Study for October Cotton(ICE) as of Jun 08, 2020 | ||||||||||||
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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 | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep |
Tested Years | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 24 | 29 | 24 | 26 | 24 | 26 | 19 | 22 | 19 | 18 | 18 | |
Exceeded High | 20 | 22 | 22 | 22 | 20 | 22 | 15 | 13 | 15 | 15 | 7 | |
Scenario Percentage | 83% | 76% | 92% | 85% | 83% | 85% | 79% | 59% | 79% | 83% | 39% | |
Avg Max Increase | 7.11% | 9.40% | 8.04% | 5.29% | 8.99% | 7.95% | 11.40% | 8.07% | 8.37% | 9.23% | 2.51% | |
Max Increase | 29.90% | 48.57% | 29.88% | 16.27% | 34.36% | 34.82% | 36.97% | 20.40% | 32.47% | 35.35% | 4.27% | |
Avg Days To Max Increase | 23 | 20 | 15 | 21 | 15 | 16 | 13 | 13 | 18 | 11 | 4 | |
Avg Max Decline | -1.15% | -1.68% | -1.20% | -1.39% | -1.52% | -2.37% | -2.49% | -1.47% | -2.60% | -2.66% | -0.27% | |
Max Decline | -3.41% | -10.06% | -3.19% | -6.58% | -8.64% | -10.73% | -11.05% | -6.17% | -5.63% | -6.18% | -2.03% | |
Avg Days to Max Decline | 9 | 11 | 7 | 12 | 8 | 12 | 4 | 4 | 10 | 7 | 1 | |
2019 Contract Condition | Yes | Yes | Yes | Yes | ||||||||
Action | No | Yes | Yes | Not Yet |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.