|
ScenarioSM Study for June Swiss Franc(CME) 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 | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May |
Tested Years | 29 | 31 | 35 | 40 | 40 | 40 | 40 | 40 | 40 | 40 | 40 | |
Closed Higher | 10 | 18 | 23 | 21 | 18 | 22 | 14 | 20 | 19 | 19 | 16 | |
Exceeded High | 9 | 17 | 21 | 12 | 14 | 17 | 11 | 14 | 15 | 15 | 9 | |
Scenario Percentage | 90% | 94% | 91% | 57% | 78% | 77% | 79% | 70% | 79% | 79% | 56% | |
Avg Max Increase | 7.02% | 5.35% | 3.93% | 5.33% | 5.44% | 3.90% | 5.76% | 4.14% | 4.55% | 2.70% | 1.98% | |
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 | 21 | 17 | 19 | 22 | 17 | 15 | 19 | 21 | 17 | 10 | 6 | |
Avg Max Decline | -0.92% | -1.01% | -0.92% | -0.40% | -1.15% | -1.63% | -1.00% | -1.65% | -1.51% | -1.29% | -0.40% | |
Max Decline | -2.35% | -4.88% | -4.15% | -1.86% | -4.07% | -4.46% | -2.71% | -7.31% | -3.91% | -5.56% | -1.20% | |
Avg Days to Max Decline | 11 | 10 | 10 | 3 | 8 | 6 | 10 | 11 | 6 | 5 | 1 | |
2015 Contract Condition | Yes | Yes | ||||||||||
Action | No | Yes |
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