|
ScenarioSM Study for September Japanese Yen(CME) as of Jan 01, 2009 | ||||||||||||
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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 | 20 | 23 | 25 | 27 | 31 | 32 | 32 | 32 | 32 | 32 | 32 | |
Closed Higher | 10 | 10 | 10 | 8 | 16 | 16 | 15 | 12 | 14 | 12 | 16 | |
Exceeded High | 9 | 8 | 7 | 7 | 12 | 12 | 11 | 11 | 9 | 8 | 11 | |
Scenario Percentage | 90% | 80% | 70% | 88% | 75% | 75% | 73% | 92% | 64% | 67% | 69% | |
Avg Max Increase | 3.85% | 4.62% | 4.42% | 5.73% | 7.07% | 4.11% | 4.56% | 5.19% | 4.42% | 3.99% | 2.68% | |
Max Increase | 13.76% | 8.66% | 13.24% | 10.42% | 19.60% | 10.41% | 10.48% | 15.22% | 10.40% | 7.20% | 8.13% | |
Avg Days To Max Increase | 20 | 21 | 17 | 18 | 17 | 16 | 14 | 16 | 16 | 13 | 9 | |
Avg Max Decline | -1.39% | -0.84% | -0.75% | -1.34% | -0.59% | -0.89% | -0.79% | -1.07% | -1.08% | -1.16% | -0.39% | |
Max Decline | -6.14% | -3.06% | -2.73% | -6.03% | -3.10% | -3.16% | -3.91% | -4.06% | -2.72% | -3.38% | -2.67% | |
Avg Days to Max Decline | 11 | 6 | 13 | 11 | 9 | 5 | 7 | 8 | 9 | 6 | 3 | |
2008 Contract Condition | Yes | Yes | Yes | Yes | ||||||||
Action | Yes | Yes | Yes | No |
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