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ScenarioSM Study for July Lumber(CME) as of Dec 31, 2010 | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | ||||||||||||
Tested Month | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun |
Tested Years | 22 | 29 | 34 | 36 | 36 | 37 | 37 | 37 | 37 | 37 | 37 | |
Closed Higher | 8 | 13 | 20 | 27 | 22 | 22 | 17 | 18 | 16 | 21 | 16 | |
Exceeded High | 4 | 12 | 16 | 21 | 21 | 19 | 14 | 13 | 11 | 14 | 5 | |
Scenario Percentage | 50% | 92% | 80% | 78% | 95% | 86% | 82% | 72% | 69% | 67% | 31% | |
Avg Max Increase | 9.61% | 8.60% | 6.43% | 7.20% | 10.04% | 9.53% | 10.06% | 13.49% | 16.01% | 9.21% | 5.71% | |
Max Increase | 23.27% | 25.83% | 14.46% | 13.94% | 40.42% | 55.50% | 33.07% | 54.48% | 29.87% | 26.23% | 9.22% | |
Avg Days To Max Increase | 17 | 15 | 19 | 21 | 19 | 18 | 18 | 19 | 19 | 12 | 8 | |
Avg Max Decline | -1.31% | -1.80% | -1.74% | -3.00% | -2.65% | -2.26% | -2.66% | -2.25% | -1.91% | -1.92% | -1.26% | |
Max Decline | -3.23% | -3.50% | -7.04% | -8.09% | -11.69% | -8.53% | -7.31% | -7.28% | -3.69% | -9.18% | -2.33% | |
Avg Days to Max Decline | 15 | 8 | 9 | 12 | 10 | 10 | 10 | 14 | 5 | 6 | 2 | |
2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | Yes | Yes | No |
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