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ScenarioSM Study for March Lumber(CME) as of Jun 08, 2020 | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
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 | 32 | 36 | 41 | 44 | 44 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 14 | 17 | 18 | 16 | 21 | 15 | 28 | 33 | 28 | 22 | 20 | |
Exceeded High | 10 | 12 | 13 | 14 | 13 | 15 | 24 | 27 | 24 | 18 | 6 | |
Scenario Percentage | 71% | 71% | 72% | 88% | 62% | 100% | 86% | 82% | 86% | 82% | 30% | |
Avg Max Increase | 8.75% | 6.66% | 4.96% | 8.88% | 10.46% | 9.35% | 9.46% | 10.31% | 12.92% | 12.22% | 9.97% | |
Max Increase | 19.90% | 14.05% | 11.06% | 15.59% | 21.70% | 29.85% | 22.31% | 28.49% | 65.75% | 62.41% | 17.63% | |
Avg Days To Max Increase | 10 | 17 | 18 | 20 | 19 | 13 | 22 | 19 | 16 | 11 | 8 | |
Avg Max Decline | -0.66% | -1.21% | -2.21% | -2.39% | -2.19% | -2.98% | -3.63% | -3.79% | -3.91% | -1.44% | -1.50% | |
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 | 4 | 10 | 10 | 15 | 9 | 13 | 12 | 12 | 4 | 3 | |
2020 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | No | Yes | Yes | Yes | Yes | Yes |
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