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ScenarioSM Study for March Eurodollars(CME) 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 | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
Tested Years | 38 | 39 | 39 | 39 | 39 | 39 | 39 | 39 | 39 | 39 | 39 | |
Closed Higher | 21 | 21 | 26 | 23 | 28 | 27 | 26 | 17 | 21 | 22 | 19 | |
Exceeded High | 19 | 17 | 21 | 20 | 25 | 25 | 17 | 14 | 19 | 16 | 11 | |
Scenario Percentage | 90% | 81% | 81% | 87% | 89% | 93% | 65% | 82% | 90% | 73% | 58% | |
Avg Max Increase | 0.60% | 0.59% | 0.61% | 0.65% | 0.65% | 0.50% | 0.59% | 0.73% | 0.35% | 0.23% | 0.19% | |
Max Increase | 2.51% | 1.65% | 2.42% | 2.18% | 4.13% | 3.01% | 1.74% | 1.83% | 1.05% | 1.05% | 0.76% | |
Avg Days To Max Increase | 16 | 18 | 15 | 18 | 16 | 13 | 19 | 18 | 16 | 11 | 7 | |
Avg Max Decline | -0.07% | -0.14% | -0.11% | -0.09% | -0.17% | -0.12% | -0.07% | -0.13% | -0.12% | -0.05% | -0.02% | |
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 | 8 | 6 | 10 | 9 | 9 | 5 | 7 | 6 | 9 | 4 | 2 | |
2021 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | No | Yes | No | No | Yes | Yes |
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