|
ScenarioSM Study for December Corn(CBOT) as of Jan 01, 2009 | ||||||||||||
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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 | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
Tested Years | 38 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 21 | 26 | 26 | 20 | 21 | 19 | 15 | 23 | 15 | 19 | 22 | |
Exceeded High | 20 | 20 | 22 | 17 | 16 | 13 | 11 | 15 | 12 | 11 | 8 | |
Scenario Percentage | 95% | 77% | 85% | 85% | 76% | 68% | 73% | 65% | 80% | 58% | 36% | |
Avg Max Increase | 7.13% | 6.48% | 8.00% | 15.45% | 14.68% | 12.34% | 11.82% | 6.11% | 12.09% | 7.06% | 4.82% | |
Max Increase | 19.16% | 15.57% | 37.39% | 62.47% | 50.71% | 37.37% | 25.90% | 13.70% | 44.00% | 17.85% | 17.37% | |
Avg Days To Max Increase | 20 | 14 | 16 | 18 | 15 | 13 | 15 | 14 | 18 | 14 | 7 | |
Avg Max Decline | -1.27% | -2.30% | -1.32% | -2.43% | -2.80% | -1.28% | -2.98% | -3.05% | -3.08% | -1.66% | -0.38% | |
Max Decline | -3.29% | -9.24% | -6.85% | -6.87% | -6.10% | -6.27% | -12.19% | -11.79% | -10.19% | -7.38% | -1.83% | |
Avg Days to Max Decline | 11 | 8 | 13 | 12 | 7 | 6 | 7 | 13 | 10 | 4 | 1 | |
2008 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | Yes | No |
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