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ScenarioSM Study for March Oats(CBOT) as of Jan 01, 2009 | ||||||||||||
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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 | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
Tested Years | 27 | 32 | 32 | 33 | 33 | 34 | 34 | 34 | 34 | 34 | 34 | |
Closed Higher | 14 | 10 | 11 | 15 | 15 | 18 | 18 | 16 | 16 | 13 | 12 | |
Exceeded High | 9 | 8 | 8 | 11 | 10 | 16 | 11 | 10 | 9 | 8 | 8 | |
Scenario Percentage | 64% | 80% | 73% | 73% | 67% | 89% | 61% | 63% | 56% | 62% | 67% | |
Avg Max Increase | 19.95% | 23.12% | 14.00% | 10.40% | 10.97% | 12.25% | 12.92% | 6.54% | 13.12% | 14.48% | 4.91% | |
Max Increase | 106.02% | 87.15% | 23.03% | 22.90% | 29.72% | 38.56% | 22.99% | 13.66% | 38.14% | 33.18% | 12.02% | |
Avg Days To Max Increase | 16 | 19 | 16 | 18 | 15 | 15 | 15 | 7 | 13 | 8 | 8 | |
Avg Max Decline | -1.30% | -3.02% | 0.07% | -4.77% | -1.79% | -2.59% | -1.70% | -1.93% | -1.37% | -1.76% | -0.05% | |
Max Decline | -7.25% | -8.45% | -3.13% | -8.31% | -6.45% | -8.31% | -8.64% | -6.60% | -4.44% | -6.73% | -3.48% | |
Avg Days to Max Decline | 9 | 5 | 6 | 7 | 7 | 6 | 10 | 3 | 8 | 4 | 3 | |
2008 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.