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ScenarioSM Study for December Soybean Meal(CBOT) 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 | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
Tested Years | 38 | 44 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 |
Closed Higher | 19 | 26 | 18 | 22 | 26 | 23 | 16 | 30 | 20 | 24 | 25 |
Exceeded High | 18 | 20 | 13 | 18 | 22 | 19 | 11 | 25 | 16 | 17 | 12 |
Scenario Percentage | 95% | 77% | 72% | 82% | 85% | 83% | 69% | 83% | 80% | 71% | 48% |
Avg Max Increase | 8.11% | 6.50% | 9.31% | 17.75% | 14.17% | 10.40% | 12.00% | 9.89% | 14.65% | 12.26% | 9.61% |
Max Increase | 25.95% | 16.47% | 30.82% | 60.31% | 36.09% | 31.19% | 29.58% | 39.86% | 31.35% | 67.64% | 48.02% |
Avg Days To Max Increase | 20 | 18 | 15 | 18 | 14 | 15 | 17 | 15 | 15 | 10 | 9 |
Avg Max Decline | -2.14% | -2.23% | -1.95% | -1.59% | -2.32% | -2.08% | -5.23% | -1.48% | -2.15% | -2.06% | -0.98% |
Max Decline | -7.74% | -8.70% | -4.80% | -6.63% | -21.10% | -10.98% | -13.58% | -3.74% | -7.84% | -7.05% | -4.87% |
Avg Days to Max Decline | 7 | 13 | 14 | 6 | 8 | 9 | 13 | 9 | 5 | 7 | 2 |
2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
Action | Yes | No | Yes | Yes | Yes | Yes | Yes |
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