|
ScenarioSM Study for November Rough Rice(CBOT) as of Jan 01, 2010 | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | |||||||||||
Tested Month | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct |
Tested Years | 15 | 18 | 22 | 22 | 23 | 23 | 23 | 23 | 23 | 24 | 24 |
Closed Higher | 9 | 9 | 12 | 13 | 11 | 10 | 8 | 11 | 10 | 11 | 10 |
Exceeded High | 6 | 7 | 10 | 11 | 7 | 8 | 5 | 9 | 7 | 10 | 8 |
Scenario Percentage | 67% | 78% | 83% | 85% | 64% | 80% | 62% | 82% | 70% | 91% | 80% |
Avg Max Increase | 8.58% | 10.43% | 11.38% | 11.56% | 6.78% | 6.42% | 8.00% | 15.88% | 18.62% | 15.52% | 7.01% |
Max Increase | 23.64% | 21.75% | 32.87% | 26.57% | 17.97% | 12.16% | 21.51% | 73.73% | 88.47% | 77.97% | 20.23% |
Avg Days To Max Increase | 14 | 19 | 17 | 17 | 14 | 18 | 10 | 20 | 22 | 9 | 11 |
Avg Max Decline | -0.39% | -1.64% | -0.96% | -1.27% | -1.91% | -1.86% | -2.31% | -4.38% | -4.35% | -1.57% | -0.75% |
Max Decline | -1.03% | -7.59% | -4.56% | -3.17% | -5.44% | -4.97% | -3.40% | -8.92% | -7.67% | -4.81% | -3.15% |
Avg Days to Max Decline | 3 | 5 | 5 | 8 | 6 | 15 | 10 | 13 | 12 | 8 | 2 |
2009 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
Action | No | Yes | Yes | Yes | Yes | Yes | Yes |
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