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ScenarioSM Study for December Eurodollars(CME) as of Jan 01, 2009 | ||||||||||||
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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 | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
Tested Years | 26 | 26 | 27 | 27 | 27 | 27 | 27 | 27 | 27 | 27 | 27 | |
Closed Higher | 16 | 15 | 8 | 15 | 13 | 19 | 17 | 20 | 18 | 18 | 13 | |
Exceeded High | 10 | 14 | 6 | 12 | 12 | 15 | 17 | 19 | 16 | 11 | 7 | |
Scenario Percentage | 63% | 93% | 75% | 80% | 92% | 79% | 100% | 95% | 89% | 61% | 54% | |
Avg Max Increase | 0.56% | 0.44% | 0.76% | 0.85% | 0.67% | 0.71% | 0.66% | 0.83% | 0.59% | 0.44% | 0.29% | |
Max Increase | 1.06% | 1.55% | 2.37% | 2.50% | 1.43% | 2.29% | 2.72% | 4.42% | 2.88% | 1.47% | 0.74% | |
Avg Days To Max Increase | 13 | 16 | 19 | 16 | 20 | 15 | 15 | 17 | 14 | 9 | 9 | |
Avg Max Decline | -0.17% | -0.30% | -0.17% | -0.11% | -0.12% | -0.09% | -0.10% | -0.18% | -0.13% | -0.11% | -0.02% | |
Max Decline | -0.39% | -0.96% | -0.40% | -0.47% | -0.60% | -0.39% | -0.34% | -0.81% | -0.45% | -0.60% | -0.11% | |
Avg Days to Max Decline | 6 | 11 | 6 | 5 | 5 | 7 | 6 | 6 | 7 | 8 | 2 | |
2008 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | No | Yes | Yes | Yes | Not Yet |
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