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ScenarioSM Study for May Sugar #11(ICE) as of Jan 01, 2018 | ||||||||||||
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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 | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar |
Tested Years | 44 | 44 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 20 | 29 | 23 | 20 | 23 | 27 | 25 | 22 | 23 | 20 | 20 | |
Exceeded High | 16 | 22 | 18 | 18 | 20 | 20 | 19 | 17 | 18 | 17 | 7 | |
Scenario Percentage | 80% | 76% | 78% | 90% | 87% | 74% | 76% | 77% | 78% | 85% | 35% | |
Avg Max Increase | 16.02% | 13.51% | 13.77% | 17.26% | 18.68% | 14.01% | 13.95% | 17.75% | 16.87% | 12.03% | 10.70% | |
Max Increase | 45.88% | 66.98% | 44.08% | 65.74% | 109.58% | 41.13% | 51.54% | 116.27% | 48.06% | 52.06% | 19.12% | |
Avg Days To Max Increase | 20 | 19 | 18 | 17 | 17 | 14 | 18 | 15 | 14 | 15 | 17 | |
Avg Max Decline | -1.41% | -2.80% | -3.96% | -3.08% | -2.09% | -3.41% | -3.58% | -4.58% | -3.59% | -3.42% | -4.54% | |
Max Decline | -6.54% | -15.43% | -12.45% | -12.32% | -7.12% | -14.75% | -10.23% | -14.06% | -9.78% | -14.22% | -13.37% | |
Avg Days to Max Decline | 4 | 8 | 8 | 9 | 7 | 8 | 10 | 10 | 7 | 8 | 5 | |
2017 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | No | Yes |
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