|
ScenarioSM Study for March Coffee "C"(ICE) as of Jan 01, 2010 | |||||||||||
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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 | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
Tested Years | 34 | 35 | 35 | 35 | 35 | 36 | 36 | 36 | 36 | 36 | 36 |
Closed Higher | 16 | 16 | 8 | 12 | 21 | 12 | 18 | 19 | 21 | 17 | 19 |
Exceeded High | 12 | 9 | 5 | 10 | 15 | 10 | 14 | 16 | 17 | 11 | 12 |
Scenario Percentage | 75% | 56% | 62% | 83% | 71% | 83% | 78% | 84% | 81% | 65% | 63% |
Avg Max Increase | 18.50% | 21.76% | 13.89% | 9.42% | 11.28% | 15.11% | 19.35% | 17.25% | 17.41% | 18.49% | 8.08% |
Max Increase | 74.84% | 103.42% | 53.36% | 18.58% | 35.59% | 32.17% | 54.63% | 63.74% | 64.24% | 63.20% | 19.49% |
Avg Days To Max Increase | 21 | 11 | 14 | 16 | 15 | 20 | 19 | 12 | 17 | 10 | 8 |
Avg Max Decline | -2.64% | -1.43% | -8.03% | -4.31% | -2.34% | -2.14% | -1.88% | -1.39% | -2.86% | -0.70% | -1.01% |
Max Decline | -10.69% | -5.79% | -19.74% | -11.71% | -5.64% | -12.01% | -8.79% | -5.10% | -15.35% | -3.33% | -3.67% |
Avg Days to Max Decline | 5 | 5 | 14 | 9 | 9 | 9 | 7 | 3 | 9 | 2 | 3 |
2009 Contract Condition | Yes | Yes | Yes | Yes | |||||||
Action | Yes | No | No | Not Yet |
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