|
ScenarioSM Study for September Orange Juice(ICE) as of Jan 01, 2008 | |||||||||||
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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 | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
Tested Years | 31 | 37 | 39 | 40 | 40 | 40 | 40 | 40 | 40 | 40 | 40 |
Closed Higher | 17 | 21 | 14 | 16 | 15 | 22 | 17 | 24 | 13 | 24 | 21 |
Exceeded High | 14 | 16 | 9 | 8 | 12 | 17 | 13 | 15 | 10 | 17 | 10 |
Scenario Percentage | 82% | 76% | 64% | 50% | 80% | 77% | 76% | 62% | 77% | 71% | 48% |
Avg Max Increase | 8.32% | 12.16% | 14.53% | 10.39% | 9.82% | 10.85% | 12.27% | 10.20% | 11.24% | 7.43% | 5.74% |
Max Increase | 25.83% | 38.26% | 28.46% | 17.51% | 28.55% | 29.71% | 34.95% | 21.46% | 21.34% | 28.23% | 15.65% |
Avg Days To Max Increase | 15 | 15 | 15 | 17 | 17 | 18 | 17 | 19 | 16 | 11 | 7 |
Avg Max Decline | -1.01% | -1.54% | -3.71% | -2.28% | -2.23% | -2.92% | -1.56% | -2.99% | -2.80% | -2.17% | 0.02% |
Max Decline | -5.19% | -9.99% | -10.43% | -7.24% | -9.57% | -11.59% | -11.94% | -9.35% | -7.99% | -10.16% | -0.82% |
Avg Days to Max Decline | 11 | 11 | 5 | 6 | 8 | 15 | 5 | 12 | 10 | 6 | 1 |
2007 Contract Condition | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | Not Yet |
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