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ScenarioSM Study for October Sugar #11(ICE) as of Jan 01, 2013 | ||||||||||||
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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 | 28 | 25 | 24 | 22 | 21 | 19 | 21 | 19 | 24 | 23 | 18 | |
Exceeded High | 20 | 19 | 21 | 18 | 17 | 18 | 15 | 17 | 21 | 19 | 14 | |
Scenario Percentage | 71% | 76% | 88% | 82% | 81% | 95% | 71% | 89% | 88% | 83% | 78% | |
Avg Max Increase | 14.47% | 15.93% | 19.21% | 17.00% | 11.11% | 12.66% | 18.32% | 18.63% | 16.38% | 13.35% | 11.44% | |
Max Increase | 56.25% | 58.71% | 121.90% | 60.02% | 40.03% | 67.91% | 55.89% | 65.50% | 67.94% | 44.66% | 33.32% | |
Avg Days To Max Increase | 18 | 16 | 15 | 17 | 14 | 18 | 20 | 21 | 17 | 11 | 14 | |
Avg Max Decline | -3.02% | -2.42% | -2.99% | -3.64% | -0.86% | -4.05% | -2.24% | -3.06% | -4.69% | -4.05% | -1.38% | |
Max Decline | -7.70% | -8.54% | -10.66% | -8.60% | -7.38% | -13.99% | -7.50% | -16.61% | -18.81% | -11.56% | -6.27% | |
Avg Days to Max Decline | 9 | 9 | 6 | 9 | 6 | 8 | 5 | 7 | 7 | 7 | 4 | |
2012 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | No | Yes | No | Yes | No |
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