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ScenarioSM Study for October Sugar #11(ICE) as of Jan 01, 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 | 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 | 26 | 25 | 23 | 21 | 22 | 20 | 22 | 19 | 21 | 21 | 17 |
Exceeded High | 19 | 19 | 20 | 17 | 19 | 18 | 16 | 17 | 18 | 17 | 14 |
Scenario Percentage | 73% | 76% | 87% | 81% | 86% | 90% | 73% | 89% | 86% | 81% | 82% |
Avg Max Increase | 14.73% | 15.74% | 19.84% | 18.41% | 13.03% | 12.66% | 18.87% | 17.49% | 15.67% | 12.68% | 10.37% |
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 | 17 | 17 | 16 | 15 | 18 | 19 | 19 | 16 | 11 | 14 |
Avg Max Decline | -2.95% | -2.63% | -2.82% | -3.19% | -1.50% | -4.05% | -2.51% | -2.79% | -5.19% | -3.85% | -1.57% |
Max Decline | -7.70% | -8.54% | -10.66% | -8.60% | -14.62% | -13.99% | -7.50% | -16.61% | -18.81% | -11.56% | -6.27% |
Avg Days to Max Decline | 8 | 9 | 6 | 9 | 6 | 8 | 6 | 7 | 8 | 10 | 4 |
2009 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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