|
ScenarioSM Study for September Eurodollars(CME) as of Nov 09, 2020 | ||||||||||||
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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 | 38 | 38 | 38 | 38 | 38 | 39 | 39 | 39 | 39 | 39 | 39 | |
Closed Higher | 24 | 19 | 21 | 22 | 19 | 16 | 22 | 20 | 27 | 26 | 25 | |
Exceeded High | 18 | 18 | 20 | 16 | 18 | 11 | 19 | 15 | 21 | 26 | 14 | |
Scenario Percentage | 75% | 95% | 95% | 73% | 95% | 69% | 86% | 75% | 78% | 100% | 56% | |
Avg Max Increase | 0.66% | 0.67% | 0.57% | 0.42% | 0.38% | 0.52% | 0.53% | 0.43% | 0.39% | 0.36% | 0.17% | |
Max Increase | 1.59% | 1.86% | 1.45% | 1.21% | 1.50% | 2.38% | 2.39% | 1.00% | 1.69% | 3.82% | 0.66% | |
Avg Days To Max Increase | 16 | 17 | 18 | 14 | 19 | 17 | 16 | 20 | 15 | 8 | 7 | |
Avg Max Decline | -0.07% | -0.12% | -0.17% | -0.10% | -0.23% | -0.12% | -0.07% | -0.06% | -0.07% | -0.04% | -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 | 9 | 6 | 4 | 10 | 4 | 1 | |
2020 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
Action | No | Yes | Yes | No | Yes | Yes | Yes | Yes |
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