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ScenarioSM Study for March Lumber(CME) 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 | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
Tested Years | 23 | 27 | 33 | 37 | 37 | 38 | 38 | 38 | 38 | 38 | 38 | |
Closed Higher | 11 | 14 | 14 | 13 | 17 | 12 | 24 | 27 | 24 | 20 | 16 | |
Exceeded High | 9 | 10 | 11 | 10 | 10 | 12 | 21 | 23 | 21 | 15 | 5 | |
Scenario Percentage | 82% | 71% | 79% | 77% | 59% | 100% | 88% | 85% | 88% | 75% | 31% | |
Avg Max Increase | 8.23% | 6.31% | 5.01% | 9.23% | 10.49% | 9.46% | 9.46% | 9.78% | 13.47% | 14.14% | 12.12% | |
Max Increase | 19.90% | 14.05% | 11.06% | 15.59% | 21.70% | 29.85% | 22.31% | 23.15% | 65.75% | 62.41% | 27.46% | |
Avg Days To Max Increase | 10 | 16 | 16 | 19 | 16 | 15 | 19 | 18 | 18 | 10 | 9 | |
Avg Max Decline | -0.63% | -0.94% | -2.06% | -2.14% | -1.78% | -3.32% | -3.00% | -3.89% | -3.65% | -1.54% | -1.85% | |
Max Decline | -3.19% | -4.45% | -8.90% | -5.45% | -6.23% | -8.87% | -10.22% | -11.42% | -10.84% | -6.62% | -4.66% | |
Avg Days to Max Decline | 3 | 5 | 8 | 8 | 14 | 10 | 11 | 12 | 11 | 5 | 2 | |
2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | Yes | Yes | Yes | Yes | Yes |
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