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ScenarioSM Study for December Wheat(CBOT) as of Jan 01, 2010 | |||||||||||
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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 | 36 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 |
Closed Higher | 16 | 21 | 18 | 20 | 23 | 16 | 23 | 25 | 26 | 28 | 26 |
Exceeded High | 13 | 14 | 12 | 16 | 16 | 11 | 20 | 18 | 20 | 17 | 14 |
Scenario Percentage | 81% | 67% | 67% | 80% | 70% | 69% | 87% | 72% | 77% | 61% | 54% |
Avg Max Increase | 9.59% | 10.49% | 10.44% | 14.63% | 13.73% | 12.60% | 15.96% | 11.03% | 9.67% | 8.11% | 5.77% |
Max Increase | 44.14% | 33.07% | 30.94% | 42.98% | 33.73% | 32.31% | 55.25% | 31.91% | 25.73% | 23.58% | 19.11% |
Avg Days To Max Increase | 16 | 18 | 17 | 17 | 18 | 20 | 20 | 17 | 18 | 12 | 9 |
Avg Max Decline | -2.11% | -4.13% | -2.84% | -2.21% | -2.48% | -2.93% | -2.94% | -2.54% | -1.88% | -1.49% | -1.17% |
Max Decline | -7.09% | -12.37% | -7.00% | -8.67% | -9.19% | -8.05% | -15.26% | -11.16% | -4.46% | -5.23% | -2.77% |
Avg Days to Max Decline | 13 | 12 | 12 | 6 | 8 | 7 | 7 | 10 | 5 | 6 | 2 |
2009 Contract Condition | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | Not Yet |
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