|
ScenarioSM Study for June Swiss Franc(CME) as of Jan 01, 2008 | |||||||||||
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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 | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May |
Tested Years | 21 | 23 | 27 | 32 | 32 | 32 | 32 | 32 | 32 | 32 | 32 |
Closed Higher | 5 | 15 | 18 | 17 | 15 | 18 | 10 | 16 | 15 | 15 | 14 |
Exceeded High | 4 | 14 | 16 | 9 | 12 | 14 | 8 | 11 | 12 | 11 | 7 |
Scenario Percentage | 80% | 93% | 89% | 53% | 80% | 78% | 80% | 69% | 80% | 73% | 50% |
Avg Max Increase | 9.03% | 5.43% | 4.14% | 5.88% | 5.85% | 4.50% | 5.97% | 3.66% | 4.36% | 2.84% | 2.10% |
Max Increase | 18.85% | 12.61% | 11.13% | 12.27% | 11.00% | 11.11% | 14.44% | 10.82% | 8.87% | 4.65% | 4.08% |
Avg Days To Max Increase | 19 | 17 | 18 | 21 | 16 | 14 | 21 | 21 | 16 | 10 | 8 |
Avg Max Decline | -0.30% | -1.15% | -0.97% | -0.18% | -1.06% | -1.29% | -0.90% | -1.94% | -1.42% | -0.80% | -0.41% |
Max Decline | -1.60% | -4.88% | -4.15% | -1.21% | -4.07% | -2.86% | -1.97% | -7.31% | -3.91% | -2.18% | -1.20% |
Avg Days to Max Decline | 7 | 12 | 11 | 3 | 6 | 4 | 11 | 12 | 6 | 3 | 1 |
2007 Contract Condition | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | Not Yet |
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