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ScenarioSM Study for September Orange Juice(ICE) 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 | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
Tested Years | 36 | 42 | 44 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 20 | 23 | 17 | 19 | 17 | 23 | 20 | 27 | 17 | 26 | 23 | |
Exceeded High | 16 | 18 | 12 | 8 | 13 | 18 | 15 | 18 | 14 | 18 | 10 | |
Scenario Percentage | 80% | 78% | 71% | 42% | 76% | 78% | 75% | 67% | 82% | 69% | 43% | |
Avg Max Increase | 8.66% | 12.97% | 13.14% | 10.39% | 9.51% | 11.53% | 12.88% | 9.99% | 10.70% | 8.29% | 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 | 16 | 14 | 13 | 17 | 16 | 19 | 18 | 18 | 15 | 11 | 7 | |
Avg Max Decline | -1.04% | -1.63% | -2.22% | -2.28% | -1.94% | -2.92% | -1.39% | -4.16% | -3.06% | -2.17% | 0.02% | |
Max Decline | -5.19% | -9.99% | -10.43% | -7.24% | -9.57% | -11.59% | -11.94% | -22.29% | -13.63% | -10.16% | -0.82% | |
Avg Days to Max Decline | 11 | 11 | 5 | 6 | 8 | 14 | 5 | 13 | 10 | 6 | 1 | |
2012 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | No | Yes | Not Yet |
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