|
ScenarioSM Study for March Japanese Yen(CME) as of Dec 30, 2011 | ||||||||||||
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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 | 23 | 26 | 28 | 34 | 34 | 35 | 35 | 35 | 35 | 35 | 35 | |
Closed Higher | 10 | 10 | 12 | 14 | 20 | 20 | 17 | 16 | 18 | 13 | 20 | |
Exceeded High | 6 | 8 | 8 | 12 | 16 | 17 | 14 | 12 | 13 | 9 | 12 | |
Scenario Percentage | 60% | 80% | 67% | 86% | 80% | 85% | 82% | 75% | 72% | 69% | 60% | |
Avg Max Increase | 4.29% | 3.86% | 3.92% | 4.89% | 6.21% | 6.88% | 4.60% | 5.14% | 3.98% | 4.82% | 3.07% | |
Max Increase | 7.46% | 6.77% | 5.90% | 9.66% | 22.51% | 19.42% | 13.74% | 9.66% | 12.81% | 8.91% | 8.35% | |
Avg Days To Max Increase | 19 | 19 | 17 | 19 | 18 | 18 | 18 | 19 | 15 | 11 | 8 | |
Avg Max Decline | -0.40% | -1.67% | -0.97% | -1.37% | -0.78% | -0.65% | -1.57% | -0.94% | -0.93% | -0.80% | -0.39% | |
Max Decline | -0.82% | -3.16% | -2.63% | -3.75% | -3.62% | -2.92% | -6.60% | -3.45% | -4.19% | -2.12% | -1.88% | |
Avg Days to Max Decline | 7 | 9 | 6 | 11 | 10 | 9 | 9 | 6 | 9 | 5 | 2 | |
2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
Action | Yes | Yes | Yes | Yes | Yes | Yes | No | Yes |
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