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ScenarioSM Study for July Sugar #11(ICE) as of Jan 01, 2016 | ||||||||||||
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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 | 25 | 16 | 23 | 27 | 28 | 24 | 22 | 18 | 17 | 18 | 21 | |
Exceeded High | 18 | 14 | 21 | 19 | 21 | 22 | 18 | 14 | 13 | 15 | 16 | |
Scenario Percentage | 72% | 88% | 91% | 70% | 75% | 92% | 82% | 78% | 76% | 83% | 76% | |
Avg Max Increase | 12.82% | 18.19% | 16.61% | 15.83% | 18.72% | 19.64% | 17.72% | 10.36% | 17.28% | 19.65% | 15.72% | |
Max Increase | 43.91% | 72.39% | 114.46% | 62.10% | 66.98% | 125.95% | 59.36% | 44.38% | 81.05% | 68.80% | 42.03% | |
Avg Days To Max Increase | 18 | 20 | 17 | 16 | 16 | 14 | 14 | 13 | 17 | 17 | 20 | |
Avg Max Decline | -3.61% | -2.97% | -2.46% | -2.08% | -2.66% | -3.41% | -3.88% | -2.49% | -4.96% | -3.22% | -1.43% | |
Max Decline | -13.66% | -8.88% | -6.65% | -6.47% | -9.56% | -12.58% | -8.70% | -8.60% | -13.41% | -10.07% | -5.65% | |
Avg Days to Max Decline | 11 | 13 | 9 | 8 | 6 | 7 | 12 | 9 | 10 | 6 | 3 | |
2015 Contract Condition | Yes | Yes | ||||||||||
Action | No | Yes |
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