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ScenarioSM Study for December Eurodollars(CME) as of Jan 01, 2013 | ||||||||||||
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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 | 30 | 30 | 31 | 31 | 31 | 31 | 31 | 31 | 31 | 31 | 31 | |
Closed Higher | 19 | 18 | 11 | 18 | 15 | 22 | 20 | 23 | 21 | 22 | 14 | |
Exceeded High | 13 | 17 | 8 | 14 | 14 | 18 | 20 | 22 | 19 | 14 | 8 | |
Scenario Percentage | 68% | 94% | 73% | 78% | 93% | 82% | 100% | 96% | 90% | 64% | 57% | |
Avg Max Increase | 0.47% | 0.40% | 0.66% | 0.77% | 0.60% | 0.65% | 0.59% | 0.73% | 0.51% | 0.36% | 0.26% | |
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 | 18 | 19 | 16 | 19 | 17 | 16 | 17 | 14 | 11 | 10 | |
Avg Max Decline | -0.15% | -0.28% | -0.16% | -0.10% | -0.14% | -0.08% | -0.09% | -0.16% | -0.11% | -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 | 8 | 12 | 5 | 4 | 4 | 6 | 8 | 6 | 7 | 9 | 2 | |
2012 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | No | Yes | Yes | Yes | Yes | Not Yet |
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