|
ScenarioSM Study for March Lumber(CME) as of Dec 30, 2016 | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
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 | 28 | 32 | 38 | 42 | 42 | 43 | 43 | 43 | 43 | 43 | 43 | |
Closed Higher | 12 | 15 | 16 | 15 | 19 | 13 | 28 | 30 | 27 | 20 | 19 | |
Exceeded High | 9 | 11 | 12 | 12 | 11 | 13 | 24 | 25 | 23 | 15 | 7 | |
Scenario Percentage | 75% | 73% | 75% | 80% | 58% | 100% | 86% | 83% | 85% | 75% | 37% | |
Avg Max Increase | 8.23% | 6.54% | 4.96% | 9.50% | 10.43% | 9.41% | 9.39% | 9.77% | 12.85% | 14.14% | 11.73% | |
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 | 17 | 19 | 17 | 14 | 20 | 18 | 17 | 10 | 9 | |
Avg Max Decline | -0.63% | -1.11% | -2.30% | -2.15% | -2.12% | -3.29% | -3.17% | -3.71% | -4.18% | -1.54% | -1.64% | |
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 | 10 | 7 | 15 | 9 | 11 | 11 | 11 | 5 | 3 | |
2016 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | No | No | No | Yes |
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