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ScenarioSM Study for January Orange Juice(ICE) 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 | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
Tested Years | 35 | 40 | 41 | 41 | 41 | 41 | 41 | 42 | 42 | 42 | 42 |
Closed Higher | 13 | 19 | 20 | 24 | 14 | 23 | 24 | 25 | 21 | 25 | 12 |
Exceeded High | 9 | 13 | 18 | 14 | 12 | 16 | 17 | 20 | 16 | 16 | 6 |
Scenario Percentage | 69% | 68% | 90% | 58% | 86% | 70% | 71% | 80% | 76% | 64% | 50% |
Avg Max Increase | 8.80% | 11.05% | 10.67% | 8.32% | 9.26% | 7.66% | 13.79% | 16.32% | 12.51% | 11.67% | 10.48% |
Max Increase | 22.08% | 27.54% | 31.86% | 18.75% | 20.31% | 20.24% | 45.52% | 46.44% | 38.48% | 52.33% | 18.62% |
Avg Days To Max Increase | 17 | 16 | 12 | 17 | 17 | 18 | 19 | 13 | 18 | 10 | 6 |
Avg Max Decline | -0.89% | -3.01% | -0.43% | -2.24% | -1.78% | -2.04% | -3.34% | -1.39% | -2.70% | -1.81% | 0.36% |
Max Decline | -5.13% | -10.21% | -2.13% | -8.41% | -7.48% | -9.37% | -18.24% | -7.87% | -16.99% | -6.31% | -1.36% |
Avg Days to Max Decline | 6 | 12 | 4 | 7 | 7 | 10 | 15 | 3 | 11 | 10 | 2 |
2009 Contract Condition | Yes | Yes | Yes | ||||||||
Action | No | Yes | No |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.