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ScenarioSM Study for July 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 | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun |
Tested Years | 36 | 37 | 37 | 37 | 37 | 37 | 37 | 37 | 37 | 37 | 37 | |
Closed Higher | 21 | 14 | 19 | 22 | 23 | 19 | 17 | 22 | 17 | 17 | 11 | |
Exceeded High | 14 | 11 | 15 | 18 | 19 | 14 | 12 | 17 | 14 | 8 | 2 | |
Scenario Percentage | 67% | 79% | 79% | 82% | 83% | 74% | 71% | 77% | 82% | 47% | 18% | |
Avg Max Increase | 11.01% | 13.54% | 15.59% | 14.28% | 14.39% | 14.42% | 14.83% | 19.41% | 22.50% | 22.36% | 22.49% | |
Max Increase | 34.47% | 30.79% | 52.19% | 59.47% | 48.77% | 49.16% | 33.85% | 82.60% | 115.64% | 109.13% | 38.87% | |
Avg Days To Max Increase | 17 | 21 | 20 | 14 | 16 | 14 | 18 | 21 | 18 | 9 | 11 | |
Avg Max Decline | -1.51% | -2.03% | -1.32% | -1.34% | -1.87% | -1.60% | -1.68% | -3.77% | -3.35% | -2.24% | -2.35% | |
Max Decline | -5.27% | -11.27% | -8.11% | -6.12% | -9.98% | -6.44% | -9.36% | -12.47% | -12.38% | -6.90% | -3.16% | |
Avg Days to Max Decline | 8 | 5 | 7 | 6 | 8 | 6 | 7 | 9 | 9 | 5 | 3 | |
2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | Yes | Not Yet |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.