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ScenarioSM Study for May Cotton(ICE) as of May 20, 2024 | ||||||||||||
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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 | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr |
Tested Years | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 19 | 21 | 21 | 17 | 26 | 21 | 32 | 24 | 26 | 23 | 24 | |
Exceeded High | 14 | 17 | 14 | 15 | 20 | 17 | 28 | 19 | 23 | 15 | 13 | |
Scenario Percentage | 74% | 81% | 67% | 88% | 77% | 81% | 88% | 79% | 88% | 65% | 54% | |
Avg Max Increase | 7.35% | 8.60% | 13.28% | 10.95% | 7.52% | 9.63% | 11.74% | 12.14% | 8.67% | 9.06% | 2.93% | |
Max Increase | 19.00% | 42.15% | 44.70% | 47.39% | 25.88% | 23.85% | 51.83% | 34.64% | 18.77% | 26.32% | 9.74% | |
Avg Days To Max Increase | 15 | 18 | 14 | 16 | 18 | 24 | 20 | 16 | 20 | 10 | 5 | |
Avg Max Decline | -1.57% | -1.61% | -1.97% | -2.04% | -1.71% | -2.18% | -2.69% | -3.19% | -3.35% | -2.77% | -0.73% | |
Max Decline | -9.69% | -5.81% | -4.88% | -5.32% | -8.93% | -6.54% | -11.48% | -9.28% | -11.07% | -7.60% | -2.48% | |
Avg Days to Max Decline | 7 | 9 | 7 | 6 | 6 | 7 | 13 | 11 | 14 | 6 | 2 | |
2024 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | Yes | Yes | No |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.