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ScenarioSM Study for November Soybeans(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 | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct |
Tested Years | 39 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 |
Closed Higher | 20 | 27 | 25 | 23 | 21 | 22 | 23 | 18 | 23 | 18 | 26 |
Exceeded High | 15 | 21 | 22 | 20 | 17 | 21 | 20 | 10 | 18 | 13 | 18 |
Scenario Percentage | 75% | 78% | 88% | 87% | 81% | 95% | 87% | 56% | 78% | 72% | 69% |
Avg Max Increase | 8.01% | 6.56% | 6.22% | 6.55% | 15.35% | 13.24% | 14.20% | 10.11% | 9.14% | 8.77% | 3.84% |
Max Increase | 20.87% | 21.06% | 13.83% | 25.93% | 56.55% | 31.40% | 56.14% | 33.40% | 36.42% | 18.64% | 9.76% |
Avg Days To Max Increase | 20 | 16 | 17 | 20 | 17 | 15 | 15 | 12 | 16 | 10 | 9 |
Avg Max Decline | -2.13% | -1.72% | -1.45% | -1.84% | -1.50% | -2.52% | -0.97% | -2.91% | -1.35% | -2.55% | -0.85% |
Max Decline | -8.74% | -5.81% | -6.96% | -6.24% | -4.05% | -11.83% | -3.53% | -9.48% | -4.33% | -6.99% | -4.53% |
Avg Days to Max Decline | 12 | 7 | 7 | 15 | 9 | 8 | 5 | 6 | 6 | 7 | 2 |
2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||
Action | Yes | Yes | No | Yes | Yes | Yes | Yes | Yes |
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