|
ScenarioSM Study for March Oats(CBOT) 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 | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
Tested Years | 29 | 34 | 34 | 35 | 35 | 36 | 36 | 36 | 36 | 36 | 36 | |
Closed Higher | 15 | 11 | 12 | 15 | 16 | 19 | 19 | 16 | 17 | 13 | 12 | |
Exceeded High | 10 | 9 | 9 | 11 | 11 | 17 | 12 | 10 | 9 | 8 | 7 | |
Scenario Percentage | 67% | 82% | 75% | 73% | 69% | 89% | 63% | 63% | 53% | 62% | 58% | |
Avg Max Increase | 19.41% | 21.00% | 12.74% | 10.40% | 11.63% | 12.49% | 12.42% | 6.54% | 13.12% | 14.42% | 5.24% | |
Max Increase | 106.02% | 87.15% | 23.03% | 22.90% | 29.72% | 38.56% | 22.99% | 13.66% | 38.14% | 33.18% | 11.11% | |
Avg Days To Max Increase | 18 | 17 | 14 | 18 | 16 | 15 | 14 | 7 | 13 | 8 | 6 | |
Avg Max Decline | -1.47% | -2.69% | -0.04% | -4.77% | -2.48% | -2.81% | -1.65% | -1.93% | -1.37% | -1.76% | 0.44% | |
Max Decline | -7.25% | -8.45% | -3.13% | -8.31% | -9.36% | -8.31% | -8.64% | -6.60% | -4.44% | -6.73% | -2.20% | |
Avg Days to Max Decline | 11 | 4 | 5 | 7 | 7 | 6 | 9 | 3 | 8 | 4 | 2 | |
2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | Yes | No |
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