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| ScenarioSM Study for December 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 | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
| Tested Years | 30 | 32 | 35 | 37 | 37 | 37 | 37 | 37 | 37 | 37 | 37 | |
| Closed Higher | 10 | 16 | 17 | 15 | 17 | 18 | 16 | 19 | 25 | 21 | 17 | |
| Exceeded High | 8 | 12 | 13 | 12 | 11 | 16 | 15 | 17 | 21 | 13 | 12 | |
| Scenario Percentage | 80% | 75% | 76% | 80% | 65% | 89% | 94% | 89% | 84% | 62% | 71% | |
| Avg Max Increase | 6.66% | 4.34% | 5.00% | 3.70% | 6.66% | 7.19% | 6.48% | 5.87% | 4.43% | 4.79% | 2.48% | |
| Max Increase | 14.24% | 11.04% | 8.65% | 9.43% | 14.68% | 18.56% | 18.03% | 11.77% | 11.82% | 9.36% | 6.47% | |
| Avg Days To Max Increase | 19 | 20 | 17 | 18 | 19 | 16 | 21 | 17 | 18 | 12 | 8 | |
| Avg Max Decline | -0.84% | -1.42% | -1.51% | -1.49% | -0.77% | -0.75% | -1.78% | -1.38% | -1.32% | -0.75% | -0.52% | |
| Max Decline | -2.60% | -7.48% | -3.53% | -5.96% | -2.27% | -2.40% | -7.31% | -5.63% | -4.51% | -1.81% | -2.23% | |
| Avg Days to Max Decline | 11 | 7 | 6 | 10 | 8 | 7 | 13 | 7 | 10 | 3 | 3 | |
| 2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
| Action | Yes | Yes | Yes | Yes | Yes | Yes | Not Yet | |||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
