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ScenarioSM Study for September Eurodollars(CME) as of Jan 01, 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 | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
Tested Years | 27 | 27 | 27 | 27 | 27 | 28 | 28 | 28 | 28 | 28 | 28 |
Closed Higher | 18 | 14 | 18 | 14 | 14 | 10 | 16 | 13 | 21 | 20 | 18 |
Exceeded High | 14 | 14 | 18 | 9 | 13 | 8 | 13 | 12 | 16 | 20 | 11 |
Scenario Percentage | 78% | 100% | 100% | 64% | 93% | 80% | 81% | 92% | 76% | 100% | 61% |
Avg Max Increase | 0.81% | 0.81% | 0.62% | 0.54% | 0.45% | 0.66% | 0.74% | 0.50% | 0.47% | 0.45% | 0.22% |
Max Increase | 1.59% | 1.86% | 1.45% | 0.99% | 1.50% | 2.38% | 2.39% | 1.00% | 1.69% | 3.82% | 0.66% |
Avg Days To Max Increase | 19 | 17 | 18 | 14 | 18 | 17 | 16 | 20 | 17 | 7 | 6 |
Avg Max Decline | -0.08% | -0.12% | -0.17% | -0.13% | -0.29% | -0.14% | -0.09% | -0.06% | -0.07% | -0.05% | -0.02% |
Max Decline | -0.45% | -0.41% | -0.67% | -0.33% | -1.06% | -0.34% | -0.55% | -0.28% | -0.27% | -0.17% | -0.10% |
Avg Days to Max Decline | 7 | 8 | 6 | 6 | 10 | 7 | 2 | 3 | 9 | 3 | 1 |
2009 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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