|
ScenarioSM Study for March Sugar #11(ICE) as of Oct 20, 2019 | ||||||||||||
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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 | 16 | 21 | 19 | 27 | 24 | 20 | 20 | 28 | 23 | 21 | 22 | |
Exceeded High | 15 | 15 | 17 | 22 | 20 | 18 | 17 | 20 | 16 | 15 | 12 | |
Scenario Percentage | 94% | 71% | 89% | 81% | 83% | 90% | 85% | 71% | 70% | 71% | 55% | |
Avg Max Increase | 13.05% | 19.79% | 16.20% | 15.02% | 13.60% | 17.83% | 21.48% | 13.83% | 14.09% | 11.34% | 9.89% | |
Max Increase | 60.89% | 50.21% | 53.74% | 65.38% | 45.05% | 57.97% | 102.45% | 43.57% | 51.41% | 34.40% | 33.80% | |
Avg Days To Max Increase | 20 | 22 | 19 | 20 | 18 | 19 | 17 | 14 | 17 | 14 | 16 | |
Avg Max Decline | -3.98% | -1.19% | -2.22% | -3.42% | -4.34% | -3.45% | -2.97% | -3.52% | -4.50% | -3.86% | -3.02% | |
Max Decline | -11.88% | -5.36% | -13.62% | -15.38% | -13.02% | -12.93% | -8.44% | -13.12% | -12.69% | -8.18% | -10.07% | |
Avg Days to Max Decline | 9 | 3 | 6 | 6 | 9 | 9 | 7 | 7 | 13 | 8 | 3 | |
2019 Contract Condition | Yes | Yes | Yes | |||||||||
Action | Yes | No | Yes |
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