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ScenarioSM Study for July Lumber(CME) as of Dec 30, 2016 | ||||||||||||
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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 | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun |
Tested Years | 28 | 35 | 40 | 42 | 42 | 43 | 43 | 43 | 43 | 43 | 43 | |
Closed Higher | 11 | 15 | 25 | 28 | 26 | 22 | 20 | 21 | 17 | 22 | 20 | |
Exceeded High | 6 | 14 | 20 | 22 | 24 | 19 | 17 | 14 | 12 | 15 | 8 | |
Scenario Percentage | 55% | 93% | 80% | 79% | 92% | 86% | 85% | 67% | 71% | 68% | 40% | |
Avg Max Increase | 10.56% | 8.71% | 6.72% | 7.00% | 9.59% | 9.53% | 10.19% | 12.95% | 15.03% | 9.28% | 5.51% | |
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 | 21 | 13 | 20 | 21 | 18 | 18 | 17 | 19 | 19 | 12 | 10 | |
Avg Max Decline | -1.46% | -1.74% | -2.23% | -2.89% | -2.96% | -2.26% | -2.20% | -2.84% | -1.93% | -2.05% | -1.39% | |
Max Decline | -3.55% | -3.50% | -7.04% | -8.09% | -11.69% | -8.53% | -7.31% | -10.49% | -3.69% | -9.18% | -4.12% | |
Avg Days to Max Decline | 16 | 8 | 11 | 11 | 10 | 10 | 8 | 15 | 6 | 6 | 4 | |
2016 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | No | No | Yes | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.