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ScenarioSM Study for July Orange Juice(ICE) 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 | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun |
Tested Years | 36 | 42 | 42 | 42 | 42 | 42 | 42 | 42 | 42 | 42 | 42 |
Closed Higher | 20 | 24 | 22 | 24 | 15 | 16 | 17 | 24 | 18 | 26 | 17 |
Exceeded High | 17 | 19 | 18 | 16 | 10 | 7 | 15 | 18 | 13 | 15 | 11 |
Scenario Percentage | 85% | 79% | 82% | 67% | 67% | 44% | 88% | 75% | 72% | 58% | 65% |
Avg Max Increase | 11.52% | 14.87% | 11.64% | 16.03% | 14.36% | 13.28% | 9.92% | 12.02% | 12.75% | 7.23% | 5.15% |
Max Increase | 41.65% | 43.02% | 44.17% | 62.51% | 28.36% | 18.19% | 31.32% | 30.56% | 34.97% | 16.17% | 9.31% |
Avg Days To Max Increase | 19 | 16 | 17 | 16 | 11 | 21 | 16 | 18 | 19 | 11 | 9 |
Avg Max Decline | -3.31% | -0.89% | -1.18% | -2.08% | -3.23% | -2.47% | -1.73% | -3.16% | -2.00% | -3.21% | -1.06% |
Max Decline | -17.24% | -8.20% | -6.67% | -10.84% | -11.07% | -8.26% | -9.63% | -12.66% | -11.46% | -9.76% | -5.35% |
Avg Days to Max Decline | 13 | 4 | 11 | 11 | 5 | 6 | 9 | 12 | 7 | 10 | 2 |
2009 Contract Condition | Yes | Yes | Yes | Yes | Yes | ||||||
Action | No | No | Yes | Yes | Not Yet |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.