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ScenarioSM Study for June Japanese Yen(CME) 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 | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May |
Tested Years | 19 | 21 | 23 | 29 | 30 | 31 | 31 | 31 | 31 | 31 | 31 |
Closed Higher | 7 | 14 | 12 | 15 | 13 | 16 | 10 | 16 | 15 | 15 | 11 |
Exceeded High | 5 | 11 | 10 | 12 | 11 | 13 | 8 | 12 | 11 | 9 | 7 |
Scenario Percentage | 71% | 79% | 83% | 80% | 85% | 81% | 80% | 75% | 73% | 60% | 64% |
Avg Max Increase | 3.90% | 6.26% | 6.87% | 4.21% | 4.36% | 3.78% | 5.61% | 6.67% | 4.44% | 4.48% | 2.44% |
Max Increase | 9.36% | 22.09% | 19.14% | 13.75% | 9.70% | 12.98% | 9.94% | 19.42% | 10.41% | 11.16% | 4.62% |
Avg Days To Max Increase | 17 | 17 | 18 | 20 | 18 | 13 | 22 | 17 | 18 | 15 | 11 |
Avg Max Decline | -0.53% | -0.59% | -0.20% | -1.34% | -0.99% | -0.82% | -1.07% | -0.85% | -1.10% | -0.54% | -0.38% |
Max Decline | -1.21% | -3.57% | -1.75% | -6.37% | -2.93% | -3.29% | -5.98% | -3.20% | -3.17% | -0.94% | -0.99% |
Avg Days to Max Decline | 11 | 12 | 4 | 11 | 5 | 8 | 7 | 10 | 5 | 5 | 2 |
2007 Contract Condition | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | No |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.