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ScenarioSM Study for March Lumber(CME) as of Jan 01, 2009 | ||||||||||||
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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 | 20 | 24 | 30 | 34 | 34 | 35 | 35 | 35 | 35 | 35 | 35 | |
Closed Higher | 8 | 12 | 13 | 12 | 16 | 11 | 22 | 26 | 23 | 19 | 15 | |
Exceeded High | 6 | 9 | 11 | 9 | 9 | 11 | 19 | 22 | 20 | 14 | 5 | |
Scenario Percentage | 75% | 75% | 85% | 75% | 56% | 100% | 86% | 85% | 87% | 74% | 33% | |
Avg Max Increase | 7.90% | 5.45% | 5.01% | 8.53% | 9.24% | 9.07% | 8.80% | 10.15% | 13.83% | 14.19% | 10.59% | |
Max Increase | 14.95% | 11.35% | 11.06% | 14.31% | 19.66% | 29.85% | 22.31% | 23.15% | 65.75% | 62.41% | 19.78% | |
Avg Days To Max Increase | 11 | 15 | 16 | 19 | 14 | 16 | 20 | 19 | 19 | 11 | 9 | |
Avg Max Decline | -0.66% | -1.08% | -2.06% | -2.10% | -1.82% | -3.18% | -2.67% | -3.90% | -3.84% | -1.78% | -1.85% | |
Max Decline | -3.19% | -4.45% | -8.90% | -5.45% | -6.23% | -8.87% | -7.40% | -11.42% | -10.84% | -6.62% | -4.66% | |
Avg Days to Max Decline | 3 | 5 | 8 | 8 | 15 | 10 | 10 | 13 | 11 | 5 | 2 | |
2008 Contract Condition | Yes | Yes | Yes | Yes | ||||||||
Action | Yes | Yes | No | Not Yet |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.