|
ScenarioSM Study for November Lumber(CME) as of Jun 08, 2020 | ||||||||||||
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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 | 32 | 37 | 44 | 44 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 16 | 21 | 15 | 21 | 17 | 24 | 22 | 15 | 20 | 15 | 26 | |
Exceeded High | 14 | 15 | 12 | 13 | 13 | 14 | 13 | 13 | 14 | 14 | 17 | |
Scenario Percentage | 88% | 71% | 80% | 62% | 76% | 58% | 59% | 87% | 70% | 93% | 65% | |
Avg Max Increase | 8.42% | 7.76% | 12.47% | 9.81% | 10.34% | 8.55% | 8.75% | 12.73% | 10.83% | 11.24% | 9.12% | |
Max Increase | 26.02% | 53.18% | 45.39% | 30.17% | 19.63% | 16.53% | 17.38% | 23.34% | 23.29% | 31.50% | 30.42% | |
Avg Days To Max Increase | 16 | 14 | 18 | 17 | 18 | 16 | 15 | 16 | 16 | 12 | 10 | |
Avg Max Decline | -1.96% | -1.44% | -1.39% | -2.19% | -1.27% | -1.58% | -2.89% | -2.66% | -2.72% | -3.68% | -1.17% | |
Max Decline | -10.93% | -5.26% | -4.76% | -9.23% | -3.65% | -6.16% | -8.08% | -7.94% | -10.83% | -8.59% | -4.45% | |
Avg Days to Max Decline | 13 | 6 | 5 | 10 | 11 | 7 | 10 | 7 | 9 | 7 | 3 | |
2019 Contract Condition | Yes | Yes | Yes | Yes | ||||||||
Action | Yes | No | Yes | Yes |
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