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| ScenarioSM Study for June Swiss Franc(CME) as of Dec 30, 2011 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | ||||||||||||
| Tested Month | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May |
| Tested Years | 25 | 27 | 31 | 36 | 36 | 36 | 36 | 36 | 36 | 36 | 36 | |
| Closed Higher | 8 | 17 | 21 | 19 | 17 | 20 | 11 | 18 | 19 | 16 | 16 | |
| Exceeded High | 7 | 16 | 19 | 11 | 13 | 15 | 9 | 13 | 15 | 12 | 9 | |
| Scenario Percentage | 88% | 94% | 90% | 58% | 76% | 75% | 82% | 72% | 79% | 75% | 56% | |
| Avg Max Increase | 7.23% | 5.49% | 4.18% | 5.61% | 5.72% | 4.27% | 6.67% | 4.39% | 4.55% | 2.92% | 1.89% | |
| Max Increase | 18.85% | 12.61% | 11.13% | 12.27% | 11.00% | 11.11% | 14.44% | 10.82% | 8.87% | 4.65% | 3.87% | |
| Avg Days To Max Increase | 22 | 17 | 18 | 22 | 17 | 15 | 20 | 21 | 17 | 10 | 6 | |
| Avg Max Decline | -0.85% | -1.06% | -0.96% | -0.27% | -1.18% | -1.50% | -1.10% | -1.68% | -1.51% | -1.02% | -0.40% | |
| Max Decline | -1.68% | -4.88% | -4.15% | -1.21% | -4.07% | -4.46% | -2.71% | -7.31% | -3.91% | -3.49% | -1.20% | |
| Avg Days to Max Decline | 9 | 11 | 10 | 2 | 8 | 5 | 11 | 11 | 6 | 4 | 1 | |
| 2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
| Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
