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ScenarioSM Study for March Wheat(CBOT) as of Dec 30, 2011 | ||||||||||||
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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 | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
Tested Years | 39 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 18 | 21 | 15 | 23 | 23 | 26 | 26 | 23 | 21 | 20 | 15 | |
Exceeded High | 14 | 15 | 11 | 20 | 17 | 20 | 15 | 18 | 15 | 15 | 7 | |
Scenario Percentage | 78% | 71% | 73% | 87% | 74% | 77% | 58% | 78% | 71% | 75% | 47% | |
Avg Max Increase | 12.28% | 13.41% | 11.77% | 16.64% | 10.73% | 8.69% | 8.66% | 8.53% | 6.94% | 8.99% | 3.07% | |
Max Increase | 42.17% | 32.91% | 29.83% | 55.49% | 27.56% | 22.27% | 22.67% | 27.12% | 18.35% | 43.57% | 4.82% | |
Avg Days To Max Increase | 15 | 18 | 14 | 19 | 16 | 17 | 12 | 16 | 15 | 11 | 7 | |
Avg Max Decline | -2.00% | -2.37% | -2.71% | -2.90% | -2.46% | -1.56% | -2.34% | -3.55% | -3.33% | -1.87% | -2.26% | |
Max Decline | -8.47% | -8.58% | -7.36% | -13.70% | -11.34% | -4.13% | -13.34% | -16.08% | -7.66% | -5.70% | -4.24% | |
Avg Days to Max Decline | 6 | 7 | 7 | 7 | 8 | 7 | 8 | 11 | 12 | 4 | 2 | |
2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | 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.