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ScenarioSM Study for May Lumber(CME) 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 | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr |
Tested Years | 22 | 31 | 35 | 37 | 38 | 38 | 38 | 38 | 38 | 38 | 38 | |
Closed Higher | 8 | 14 | 16 | 13 | 23 | 26 | 25 | 22 | 17 | 17 | 16 | |
Exceeded High | 4 | 9 | 12 | 12 | 18 | 21 | 24 | 17 | 11 | 13 | 8 | |
Scenario Percentage | 50% | 64% | 75% | 92% | 78% | 81% | 96% | 77% | 65% | 76% | 50% | |
Avg Max Increase | 2.48% | 8.89% | 8.79% | 10.13% | 7.72% | 8.69% | 10.59% | 12.15% | 11.63% | 11.46% | 7.00% | |
Max Increase | 3.59% | 16.32% | 22.53% | 26.86% | 16.86% | 15.19% | 50.87% | 58.10% | 23.49% | 38.39% | 12.16% | |
Avg Days To Max Increase | 14 | 20 | 15 | 14 | 20 | 19 | 17 | 14 | 20 | 11 | 9 | |
Avg Max Decline | -0.45% | -1.51% | -1.17% | -2.28% | -2.09% | -3.50% | -3.29% | -1.85% | -3.35% | -1.63% | -1.04% | |
Max Decline | -0.73% | -3.87% | -4.77% | -6.48% | -10.86% | -8.19% | -13.01% | -9.52% | -7.87% | -6.87% | -2.30% | |
Avg Days to Max Decline | 1 | 10 | 10 | 8 | 8 | 12 | 10 | 7 | 11 | 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.