|
ScenarioSM Study for March Coffee "C"(ICE) as of Dec 31, 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 | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
Tested Years | 35 | 36 | 36 | 36 | 36 | 37 | 37 | 37 | 37 | 37 | 37 | |
Closed Higher | 16 | 17 | 8 | 13 | 21 | 13 | 19 | 20 | 21 | 17 | 19 | |
Exceeded High | 12 | 10 | 5 | 11 | 15 | 11 | 15 | 17 | 17 | 11 | 12 | |
Scenario Percentage | 75% | 59% | 63% | 85% | 71% | 85% | 79% | 85% | 81% | 65% | 63% | |
Avg Max Increase | 18.50% | 19.93% | 13.89% | 9.27% | 11.28% | 14.94% | 18.59% | 16.55% | 17.41% | 18.62% | 8.36% | |
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 | 10 | 14 | 16 | 15 | 20 | 19 | 12 | 17 | 11 | 10 | |
Avg Max Decline | -2.64% | -1.25% | -8.03% | -3.93% | -2.34% | -2.07% | -2.02% | -1.41% | -2.86% | -0.70% | -1.10% | |
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 | 8 | 9 | 8 | 7 | 3 | 9 | 2 | 3 | |
2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | Yes | Yes |
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