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ScenarioSM Study for October Sugar #11(ICE) as of Jan 01, 2009 | ||||||||||||
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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 | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
Tested Years | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 27 | 24 | 22 | 20 | 21 | 20 | 21 | 18 | 20 | 20 | 16 | |
Exceeded High | 19 | 18 | 19 | 16 | 18 | 18 | 15 | 16 | 17 | 16 | 13 | |
Scenario Percentage | 70% | 75% | 86% | 80% | 86% | 90% | 71% | 89% | 85% | 80% | 81% | |
Avg Max Increase | 14.73% | 16.27% | 20.48% | 19.05% | 13.46% | 12.66% | 18.72% | 17.69% | 14.41% | 11.37% | 11.03% | |
Max Increase | 56.25% | 58.71% | 121.90% | 60.02% | 43.87% | 67.91% | 55.89% | 65.50% | 67.94% | 44.66% | 24.49% | |
Avg Days To Max Increase | 18 | 18 | 16 | 15 | 14 | 18 | 19 | 19 | 15 | 11 | 15 | |
Avg Max Decline | -2.95% | -2.30% | -2.77% | -3.24% | -1.17% | -4.05% | -2.65% | -2.61% | -5.13% | -4.12% | -1.44% | |
Max Decline | -7.70% | -7.34% | -10.66% | -8.60% | -14.62% | -13.99% | -7.50% | -16.61% | -18.81% | -11.56% | -6.27% | |
Avg Days to Max Decline | 8 | 10 | 6 | 8 | 6 | 8 | 6 | 7 | 8 | 10 | 4 | |
2008 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
Action | Yes | Yes | Yes | Yes | Yes | No | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.