|
ScenarioSM Study for March Eurodollars(CME) as of Dec 31, 2010 | ||||||||||||
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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 | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
Tested Years | 27 | 28 | 28 | 28 | 28 | 28 | 28 | 28 | 28 | 28 | 28 | |
Closed Higher | 13 | 14 | 19 | 17 | 19 | 20 | 20 | 14 | 17 | 14 | 13 | |
Exceeded High | 12 | 13 | 15 | 15 | 19 | 19 | 15 | 12 | 16 | 10 | 7 | |
Scenario Percentage | 92% | 93% | 79% | 88% | 100% | 95% | 75% | 86% | 94% | 71% | 54% | |
Avg Max Increase | 0.87% | 0.73% | 0.76% | 0.83% | 0.82% | 0.63% | 0.66% | 0.84% | 0.40% | 0.25% | 0.18% | |
Max Increase | 2.51% | 1.65% | 2.42% | 2.18% | 4.13% | 3.01% | 1.74% | 1.83% | 1.05% | 0.73% | 0.53% | |
Avg Days To Max Increase | 16 | 20 | 14 | 17 | 17 | 13 | 19 | 19 | 15 | 12 | 7 | |
Avg Max Decline | -0.07% | -0.17% | -0.11% | -0.10% | -0.20% | -0.14% | -0.08% | -0.15% | -0.14% | -0.06% | -0.03% | |
Max Decline | -0.24% | -0.75% | -0.51% | -0.29% | -0.96% | -0.54% | -0.23% | -0.54% | -0.83% | -0.16% | -0.13% | |
Avg Days to Max Decline | 5 | 7 | 8 | 6 | 8 | 5 | 7 | 7 | 8 | 6 | 2 | |
2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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