|
ScenarioSM Study for May Rough Rice(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 | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr |
Tested Years | 11 | 17 | 21 | 21 | 23 | 23 | 23 | 24 | 24 | 24 | 24 | |
Closed Higher | 6 | 8 | 7 | 10 | 10 | 13 | 12 | 12 | 9 | 11 | 14 | |
Exceeded High | 3 | 7 | 5 | 8 | 7 | 10 | 9 | 6 | 8 | 8 | 8 | |
Scenario Percentage | 50% | 88% | 71% | 80% | 70% | 77% | 75% | 50% | 89% | 73% | 57% | |
Avg Max Increase | 17.17% | 16.04% | 22.19% | 8.95% | 9.10% | 11.30% | 12.15% | 9.82% | 17.89% | 17.52% | 6.27% | |
Max Increase | 29.20% | 69.00% | 86.56% | 30.43% | 19.09% | 32.30% | 24.38% | 33.17% | 42.59% | 32.42% | 14.15% | |
Avg Days To Max Increase | 13 | 18 | 23 | 11 | 11 | 19 | 16 | 20 | 20 | 13 | 10 | |
Avg Max Decline | -2.00% | -2.31% | -2.87% | -0.67% | -1.08% | -2.31% | -1.16% | -1.48% | -2.39% | -1.82% | -2.03% | |
Max Decline | -2.60% | -7.28% | -6.09% | -2.79% | -4.09% | -10.06% | -5.26% | -4.19% | -11.22% | -4.02% | -5.31% | |
Avg Days to Max Decline | 16 | 11 | 11 | 9 | 2 | 7 | 5 | 10 | 6 | 7 | 2 | |
2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | Yes | Not Yet |
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