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ScenarioSM Study for July 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 | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May |
Tested Years | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 23 | 14 | 24 | 27 | 29 | 24 | 22 | 19 | 18 | 19 | 22 | |
Exceeded High | 17 | 13 | 22 | 20 | 22 | 21 | 18 | 15 | 15 | 15 | 17 | |
Scenario Percentage | 74% | 93% | 92% | 74% | 76% | 88% | 82% | 79% | 83% | 79% | 77% | |
Avg Max Increase | 12.06% | 16.15% | 17.05% | 15.79% | 18.58% | 20.53% | 18.55% | 14.66% | 16.34% | 21.67% | 15.03% | |
Max Increase | 43.91% | 72.39% | 114.46% | 62.10% | 66.98% | 125.95% | 59.36% | 48.22% | 81.05% | 68.80% | 42.03% | |
Avg Days To Max Increase | 18 | 20 | 18 | 16 | 17 | 16 | 14 | 15 | 18 | 17 | 18 | |
Avg Max Decline | -3.57% | -3.21% | -2.75% | -2.17% | -2.75% | -3.36% | -3.67% | -2.92% | -4.73% | -3.20% | -1.25% | |
Max Decline | -13.66% | -8.88% | -6.65% | -6.47% | -9.56% | -12.58% | -8.70% | -16.24% | -13.41% | -10.07% | -5.65% | |
Avg Days to Max Decline | 11 | 14 | 10 | 8 | 6 | 7 | 12 | 9 | 9 | 6 | 3 | |
2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | No | Yes | Yes |
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