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ScenarioSM Study for March Sugar #11(ICE) as of Dec 31, 2010 | ||||||||||||
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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 | 25 | 21 | 22 | 23 | 19 | 21 | 28 | 26 | 23 | 23 | |
Exceeded High | 15 | 18 | 19 | 19 | 18 | 18 | 19 | 22 | 20 | 18 | 10 | |
Scenario Percentage | 88% | 72% | 90% | 86% | 78% | 95% | 90% | 79% | 77% | 78% | 43% | |
Avg Max Increase | 13.06% | 17.76% | 15.07% | 14.63% | 13.01% | 14.19% | 18.80% | 17.74% | 22.21% | 19.08% | 15.37% | |
Max Increase | 60.89% | 50.21% | 53.74% | 65.38% | 45.05% | 57.97% | 102.45% | 70.10% | 90.79% | 127.09% | 51.19% | |
Avg Days To Max Increase | 21 | 20 | 19 | 20 | 18 | 18 | 18 | 14 | 17 | 16 | 11 | |
Avg Max Decline | -3.79% | -1.75% | -2.49% | -3.74% | -3.81% | -3.88% | -3.11% | -3.00% | -4.03% | -3.61% | -2.76% | |
Max Decline | -11.88% | -8.33% | -13.62% | -15.38% | -13.02% | -12.93% | -8.44% | -10.60% | -12.69% | -8.18% | -7.13% | |
Avg Days to Max Decline | 9 | 3 | 6 | 7 | 9 | 11 | 7 | 8 | 11 | 7 | 3 | |
2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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