|
ScenarioSM Study for December Coffee "C"(ICE) 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 | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
Tested Years | 34 | 34 | 34 | 34 | 34 | 34 | 34 | 34 | 35 | 35 | 35 |
Closed Higher | 18 | 15 | 15 | 17 | 17 | 6 | 11 | 20 | 12 | 18 | 18 |
Exceeded High | 15 | 11 | 11 | 12 | 9 | 4 | 10 | 15 | 10 | 16 | 13 |
Scenario Percentage | 83% | 73% | 73% | 71% | 53% | 67% | 91% | 75% | 83% | 89% | 72% |
Avg Max Increase | 12.88% | 13.88% | 15.02% | 20.93% | 21.79% | 18.71% | 9.80% | 12.00% | 15.18% | 15.88% | 11.54% |
Max Increase | 49.02% | 28.74% | 58.95% | 75.81% | 102.19% | 53.42% | 20.58% | 38.16% | 34.86% | 44.71% | 27.08% |
Avg Days To Max Increase | 17 | 19 | 20 | 19 | 14 | 16 | 17 | 14 | 16 | 12 | 14 |
Avg Max Decline | -2.34% | -1.70% | -3.23% | -2.65% | -1.71% | -9.21% | -5.43% | -2.51% | -1.96% | -2.00% | -0.67% |
Max Decline | -7.62% | -11.73% | -10.40% | -11.13% | -5.28% | -20.62% | -20.13% | -6.26% | -12.69% | -9.64% | -4.10% |
Avg Days to Max Decline | 9 | 5 | 8 | 6 | 7 | 16 | 11 | 7 | 5 | 4 | 2 |
2007 Contract Condition | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | Yes |
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