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ScenarioSM Study for December 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 | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
Tested Years | 27 | 27 | 28 | 28 | 28 | 28 | 28 | 28 | 28 | 28 | 28 |
Closed Higher | 16 | 16 | 9 | 16 | 14 | 20 | 18 | 21 | 19 | 19 | 14 |
Exceeded High | 10 | 15 | 7 | 13 | 13 | 16 | 18 | 20 | 17 | 12 | 7 |
Scenario Percentage | 62% | 94% | 78% | 81% | 93% | 80% | 100% | 95% | 89% | 63% | 50% |
Avg Max Increase | 0.56% | 0.43% | 0.72% | 0.82% | 0.64% | 0.69% | 0.65% | 0.79% | 0.56% | 0.39% | 0.22% |
Max Increase | 1.06% | 1.55% | 2.37% | 2.50% | 1.43% | 2.29% | 2.72% | 4.42% | 2.88% | 1.24% | 0.74% |
Avg Days To Max Increase | 13 | 17 | 19 | 17 | 20 | 16 | 16 | 17 | 15 | 10 | 8 |
Avg Max Decline | -0.17% | -0.30% | -0.17% | -0.10% | -0.15% | -0.08% | -0.10% | -0.17% | -0.13% | -0.10% | -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 | 4 | 5 | 7 | 6 | 5 | 7 | 8 | 2 |
2009 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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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.