|
ScenarioSM Study for June Eurodollars(CME) as of Dec 30, 2011 | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | ||||||||||||
Tested Month | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May |
Tested Years | 29 | 29 | 29 | 29 | 29 | 29 | 29 | 29 | 30 | 30 | 30 | |
Closed Higher | 18 | 20 | 23 | 20 | 15 | 18 | 16 | 14 | 12 | 16 | 14 | |
Exceeded High | 17 | 20 | 21 | 16 | 14 | 18 | 11 | 12 | 9 | 13 | 9 | |
Scenario Percentage | 94% | 100% | 91% | 80% | 93% | 100% | 69% | 86% | 75% | 81% | 64% | |
Avg Max Increase | 0.81% | 0.81% | 0.72% | 0.68% | 0.82% | 0.49% | 0.39% | 0.34% | 0.61% | 0.47% | 0.18% | |
Max Increase | 2.01% | 3.61% | 2.75% | 1.62% | 1.91% | 1.11% | 0.85% | 1.41% | 2.24% | 1.69% | 0.40% | |
Avg Days To Max Increase | 17 | 17 | 15 | 18 | 16 | 17 | 13 | 16 | 19 | 13 | 8 | |
Avg Max Decline | -0.12% | -0.23% | -0.12% | -0.06% | -0.12% | -0.18% | -0.10% | -0.11% | -0.10% | -0.08% | -0.02% | |
Max Decline | -0.40% | -1.49% | -0.55% | -0.27% | -0.47% | -0.76% | -0.27% | -0.43% | -0.30% | -0.64% | -0.15% | |
Avg Days to Max Decline | 9 | 8 | 6 | 4 | 7 | 7 | 7 | 5 | 5 | 2 | 1 | |
2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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