|
ScenarioSM Study for January Rough Rice(CBOT) as of Jan 01, 2008 | |||||||||||
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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 | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
Tested Years | 12 | 16 | 19 | 20 | 20 | 20 | 20 | 21 | 21 | 21 | 21 |
Closed Higher | 5 | 9 | 9 | 9 | 6 | 10 | 6 | 10 | 7 | 10 | 10 |
Exceeded High | 4 | 7 | 7 | 7 | 5 | 8 | 3 | 9 | 4 | 9 | 8 |
Scenario Percentage | 80% | 78% | 78% | 78% | 83% | 80% | 50% | 90% | 57% | 90% | 80% |
Avg Max Increase | 11.64% | 10.71% | 6.18% | 5.92% | 7.26% | 17.31% | 34.27% | 15.79% | 10.03% | 10.79% | 8.08% |
Max Increase | 21.93% | 18.97% | 17.68% | 11.04% | 19.56% | 71.94% | 87.52% | 76.44% | 21.38% | 28.51% | 20.65% |
Avg Days To Max Increase | 26 | 16 | 14 | 17 | 10 | 21 | 16 | 9 | 4 | 14 | 14 |
Avg Max Decline | -1.72% | 0.32% | -1.81% | -2.72% | -1.53% | -3.92% | -3.41% | -1.22% | -1.59% | -3.86% | -1.31% |
Max Decline | -4.10% | -2.35% | -4.80% | -6.46% | -3.49% | -7.47% | -5.59% | -4.52% | -3.92% | -9.88% | -4.72% |
Avg Days to Max Decline | 13 | 10 | 4 | 13 | 8 | 14 | 10 | 7 | 4 | 8 | 3 |
2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | Yes | Yes |
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