|
ScenarioSM Study for October 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 | 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 | 26 | 25 | 24 | 22 | 20 | 18 | 19 | 18 | 24 | 24 | 17 | |
Exceeded High | 18 | 20 | 22 | 17 | 16 | 17 | 13 | 16 | 21 | 20 | 14 | |
Scenario Percentage | 69% | 80% | 92% | 77% | 80% | 94% | 68% | 89% | 88% | 83% | 82% | |
Avg Max Increase | 14.76% | 15.26% | 18.37% | 17.49% | 10.22% | 12.44% | 20.10% | 19.52% | 16.24% | 13.27% | 12.92% | |
Max Increase | 56.25% | 58.71% | 121.90% | 60.02% | 40.03% | 67.91% | 55.89% | 65.50% | 67.94% | 44.66% | 37.57% | |
Avg Days To Max Increase | 17 | 15 | 14 | 16 | 13 | 17 | 20 | 21 | 16 | 13 | 16 | |
Avg Max Decline | -2.99% | -2.49% | -2.85% | -3.56% | -0.90% | -4.19% | -1.82% | -3.13% | -4.60% | -4.58% | -1.27% | |
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 | 4 | 8 | 6 | 10 | 4 | |
2015 Contract Condition | Yes | Yes | Yes | |||||||||
Action | No | No | Yes |
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