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ScenarioSM Study for March Orange Juice(ICE) as of Jun 08, 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 | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
Tested Years | 43 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 19 | 31 | 20 | 25 | 23 | 22 | 21 | 26 | 13 | 23 | 20 | |
Exceeded High | 15 | 21 | 18 | 19 | 16 | 15 | 17 | 17 | 8 | 11 | 13 | |
Scenario Percentage | 79% | 68% | 90% | 76% | 70% | 68% | 81% | 65% | 62% | 48% | 65% | |
Avg Max Increase | 11.32% | 6.95% | 7.27% | 7.81% | 13.41% | 17.16% | 10.03% | 15.78% | 15.59% | 11.40% | 7.14% | |
Max Increase | 30.21% | 21.35% | 20.22% | 19.13% | 43.56% | 45.04% | 22.16% | 62.09% | 29.02% | 20.09% | 20.40% | |
Avg Days To Max Increase | 16 | 15 | 14 | 15 | 19 | 15 | 16 | 15 | 13 | 12 | 7 | |
Avg Max Decline | -0.45% | -2.70% | -1.67% | -1.64% | -2.96% | -2.06% | -1.69% | -2.86% | -1.16% | -2.80% | -1.01% | |
Max Decline | -2.42% | -19.33% | -8.24% | -9.12% | -17.82% | -8.60% | -8.18% | -7.92% | -9.60% | -9.84% | -5.51% | |
Avg Days to Max Decline | 5 | 7 | 8 | 9 | 15 | 3 | 7 | 13 | 8 | 6 | 2 | |
2020 Contract Condition | Yes | Yes | ||||||||||
Action | Yes | Not Yet |
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