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ScenarioSM Study for November 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 | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct |
Tested Years | 24 | 29 | 37 | 38 | 39 | 39 | 39 | 39 | 39 | 39 | 39 | |
Closed Higher | 12 | 17 | 11 | 17 | 15 | 22 | 18 | 12 | 17 | 11 | 23 | |
Exceeded High | 11 | 12 | 7 | 10 | 11 | 12 | 11 | 10 | 11 | 10 | 15 | |
Scenario Percentage | 92% | 71% | 64% | 59% | 73% | 55% | 61% | 83% | 65% | 91% | 65% | |
Avg Max Increase | 7.50% | 8.11% | 14.09% | 8.72% | 10.72% | 8.32% | 8.99% | 13.25% | 8.90% | 11.05% | 9.85% | |
Max Increase | 26.02% | 53.18% | 45.39% | 30.17% | 19.63% | 16.53% | 17.38% | 23.34% | 22.55% | 31.50% | 30.42% | |
Avg Days To Max Increase | 16 | 12 | 19 | 19 | 19 | 15 | 14 | 13 | 12 | 11 | 11 | |
Avg Max Decline | -1.78% | -1.73% | -1.31% | -1.74% | -1.46% | -1.22% | -2.76% | -2.75% | -3.33% | -3.99% | -1.04% | |
Max Decline | -10.93% | -5.26% | -4.26% | -5.41% | -3.65% | -6.16% | -8.08% | -7.94% | -10.83% | -8.59% | -4.28% | |
Avg Days to Max Decline | 12 | 7 | 6 | 11 | 12 | 6 | 8 | 9 | 9 | 8 | 3 | |
2011 Contract Condition | Yes | Yes | Yes | Yes | ||||||||
Action | Yes | Yes | No | Not Yet |
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