|
ScenarioSM Study for March 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 | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
Tested Years | 12 | 15 | 19 | 19 | 20 | 21 | 21 | 21 | 21 | 21 | 21 |
Closed Higher | 7 | 6 | 6 | 9 | 5 | 10 | 8 | 11 | 10 | 11 | 6 |
Exceeded High | 5 | 5 | 4 | 7 | 3 | 9 | 5 | 8 | 8 | 4 | 4 |
Scenario Percentage | 71% | 83% | 67% | 78% | 60% | 90% | 62% | 73% | 80% | 36% | 67% |
Avg Max Increase | 4.06% | 5.48% | 6.77% | 17.11% | 33.40% | 15.34% | 8.28% | 12.52% | 11.17% | 4.74% | 6.55% |
Max Increase | 8.60% | 10.04% | 18.05% | 70.33% | 85.48% | 73.40% | 19.52% | 32.41% | 22.94% | 10.38% | 13.50% |
Avg Days To Max Increase | 17 | 21 | 9 | 22 | 15 | 9 | 4 | 18 | 15 | 11 | 10 |
Avg Max Decline | -2.09% | -2.82% | -1.89% | -3.51% | -3.20% | -0.87% | -1.61% | -3.40% | -1.99% | -1.70% | -0.13% |
Max Decline | -4.66% | -5.62% | -3.65% | -8.48% | -5.18% | -3.92% | -4.03% | -10.08% | -6.22% | -4.51% | -1.77% |
Avg Days to Max Decline | 5 | 16 | 10 | 14 | 10 | 7 | 3 | 8 | 3 | 11 | 2 |
2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | Yes | Yes |
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