|
ScenarioSM Study for October Cotton(ICE) as of May 10, 2021 | ||||||||||||
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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 | 30 | 23 | 26 | 23 | 26 | 19 | 22 | 19 | 18 | 18 | |
Exceeded High | 20 | 23 | 21 | 22 | 19 | 22 | 15 | 13 | 15 | 15 | 7 | |
Scenario Percentage | 83% | 77% | 91% | 85% | 83% | 85% | 79% | 59% | 79% | 83% | 39% | |
Avg Max Increase | 7.11% | 9.15% | 8.17% | 5.29% | 8.93% | 8.03% | 11.40% | 7.90% | 7.86% | 8.91% | 2.37% | |
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 | 14 | 21 | 15 | 16 | 13 | 13 | 17 | 12 | 5 | |
Avg Max Decline | -1.15% | -1.57% | -1.12% | -1.39% | -1.53% | -2.46% | -2.49% | -1.53% | -2.57% | -2.49% | -0.30% | |
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 | 10 | 6 | 12 | 7 | 12 | 4 | 6 | 10 | 6 | 2 | |
2020 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | Yes | Yes | Yes | Yes | Yes |
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