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ScenarioSM Study for September Lumber(CME) as of Jan 01, 2018 | ||||||||||||
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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 | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
Tested Years | 29 | 36 | 40 | 44 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 20 | 22 | 23 | 22 | 23 | 22 | 15 | 24 | 22 | 15 | 23 | |
Exceeded High | 14 | 16 | 22 | 19 | 18 | 14 | 12 | 16 | 15 | 12 | 12 | |
Scenario Percentage | 70% | 73% | 96% | 86% | 78% | 64% | 80% | 67% | 68% | 80% | 52% | |
Avg Max Increase | 6.23% | 6.89% | 7.71% | 9.39% | 9.84% | 9.77% | 11.95% | 9.86% | 10.57% | 13.48% | 6.63% | |
Max Increase | 13.23% | 13.56% | 31.46% | 52.86% | 38.49% | 39.11% | 23.00% | 19.99% | 25.13% | 26.44% | 12.90% | |
Avg Days To Max Increase | 19 | 19 | 16 | 17 | 17 | 18 | 16 | 16 | 17 | 12 | 8 | |
Avg Max Decline | -2.16% | -1.99% | -2.24% | -1.47% | -2.04% | -2.70% | -1.27% | -1.88% | -4.18% | -2.54% | -1.19% | |
Max Decline | -6.25% | -5.83% | -8.33% | -7.63% | -7.72% | -10.10% | -3.66% | -5.48% | -9.89% | -9.06% | -4.26% | |
Avg Days to Max Decline | 10 | 10 | 11 | 7 | 8 | 12 | 4 | 10 | 10 | 6 | 2 | |
2017 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | No | Yes | 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.