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ScenarioSM Study for March Sugar #11(ICE) as of Jan 01, 2009 | ||||||||||||
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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 | Jan |
Tested Years | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 17 | 24 | 21 | 20 | 21 | 19 | 22 | 29 | 26 | 23 | 21 | |
Exceeded High | 15 | 18 | 18 | 17 | 16 | 18 | 20 | 22 | 20 | 18 | 9 | |
Scenario Percentage | 88% | 75% | 86% | 85% | 76% | 95% | 91% | 76% | 77% | 78% | 43% | |
Avg Max Increase | 19.52% | 19.92% | 15.03% | 13.65% | 12.28% | 19.49% | 20.27% | 17.74% | 22.21% | 19.11% | 17.22% | |
Max Increase | 113.69% | 60.55% | 53.74% | 65.38% | 45.05% | 97.05% | 102.45% | 70.10% | 90.79% | 127.09% | 51.19% | |
Avg Days To Max Increase | 20 | 20 | 18 | 18 | 18 | 19 | 18 | 14 | 17 | 17 | 16 | |
Avg Max Decline | -3.41% | -1.94% | -2.42% | -3.34% | -3.90% | -3.74% | -2.93% | -3.00% | -4.03% | -3.89% | -3.68% | |
Max Decline | -11.88% | -8.33% | -13.62% | -15.38% | -13.02% | -12.93% | -8.44% | -10.60% | -12.69% | -8.18% | -10.07% | |
Avg Days to Max Decline | 9 | 3 | 6 | 6 | 9 | 11 | 7 | 8 | 11 | 7 | 4 | |
2008 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | No | Yes | Yes | Yes |
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