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ScenarioSM Study for December Coffee "C"(ICE) as of Dec 30, 2011 | ||||||||||||
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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 | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
Tested Years | 38 | 38 | 38 | 38 | 38 | 38 | 38 | 38 | 39 | 39 | 39 | |
Closed Higher | 21 | 17 | 17 | 19 | 18 | 8 | 13 | 23 | 14 | 20 | 21 | |
Exceeded High | 17 | 13 | 13 | 14 | 10 | 6 | 12 | 17 | 12 | 18 | 14 | |
Scenario Percentage | 81% | 76% | 76% | 74% | 56% | 75% | 92% | 74% | 86% | 90% | 67% | |
Avg Max Increase | 13.77% | 12.77% | 14.15% | 19.09% | 19.98% | 15.06% | 9.87% | 11.50% | 15.42% | 15.38% | 11.43% | |
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 | 16 | 18 | 19 | 18 | 13 | 15 | 15 | 14 | 16 | 12 | 15 | |
Avg Max Decline | -2.04% | -1.97% | -3.00% | -2.60% | -1.54% | -7.17% | -5.10% | -2.55% | -2.28% | -2.29% | -0.94% | |
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 | 8 | 8 | 8 | 5 | 6 | 14 | 11 | 9 | 5 | 5 | 4 | |
2011 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.