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ScenarioSM Study for May Sugar #11(ICE) as of Nov 09, 2020 | ||||||||||||
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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 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 19 | 29 | 22 | 18 | 22 | 27 | 25 | 21 | 24 | 19 | 19 | |
Exceeded High | 15 | 21 | 18 | 16 | 19 | 19 | 19 | 16 | 19 | 15 | 7 | |
Scenario Percentage | 79% | 72% | 82% | 89% | 86% | 70% | 76% | 76% | 79% | 79% | 37% | |
Avg Max Increase | 14.03% | 10.96% | 11.38% | 15.11% | 12.97% | 11.09% | 13.03% | 12.06% | 14.05% | 11.92% | 10.70% | |
Max Increase | 45.88% | 31.94% | 32.13% | 49.89% | 41.73% | 32.18% | 51.54% | 34.80% | 46.58% | 52.06% | 19.12% | |
Avg Days To Max Increase | 18 | 18 | 17 | 17 | 17 | 13 | 18 | 15 | 14 | 14 | 17 | |
Avg Max Decline | -1.00% | -2.89% | -4.04% | -2.68% | -2.28% | -3.54% | -3.67% | -4.33% | -3.31% | -2.41% | -4.54% | |
Max Decline | -6.54% | -15.43% | -12.45% | -12.32% | -7.12% | -14.75% | -10.23% | -14.06% | -9.78% | -11.65% | -13.37% | |
Avg Days to Max Decline | 3 | 8 | 8 | 9 | 9 | 8 | 10 | 10 | 8 | 6 | 5 | |
2020 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | No | Yes | Yes | Yes | Yes |
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