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ScenarioSM Study for September Eurodollars(CME) as of Jan 01, 2014 | ||||||||||||
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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 | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
Tested Years | 31 | 31 | 31 | 31 | 31 | 32 | 32 | 32 | 32 | 32 | 32 | |
Closed Higher | 21 | 16 | 20 | 17 | 17 | 11 | 18 | 14 | 23 | 23 | 21 | |
Exceeded High | 17 | 16 | 19 | 12 | 16 | 8 | 15 | 12 | 18 | 23 | 13 | |
Scenario Percentage | 81% | 100% | 95% | 71% | 94% | 73% | 83% | 86% | 78% | 100% | 62% | |
Avg Max Increase | 0.70% | 0.72% | 0.59% | 0.43% | 0.38% | 0.66% | 0.65% | 0.50% | 0.44% | 0.40% | 0.19% | |
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 | 17 | 18 | 19 | 12 | 19 | 17 | 16 | 20 | 16 | 8 | 7 | |
Avg Max Decline | -0.08% | -0.13% | -0.17% | -0.11% | -0.25% | -0.14% | -0.08% | -0.06% | -0.06% | -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 | 6 | 9 | 6 | 6 | 11 | 7 | 4 | 3 | 8 | 4 | 1 | |
2013 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | No | Yes | Yes | Yes | Yes |
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