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ScenarioSM Study for October Sugar #11(ICE) as of Oct 20, 2019 | ||||||||||||
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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 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 26 | 24 | 22 | 21 | 19 | 19 | 18 | 18 | 25 | 22 | 17 | |
Exceeded High | 17 | 17 | 19 | 17 | 15 | 18 | 12 | 16 | 20 | 19 | 14 | |
Scenario Percentage | 65% | 71% | 86% | 81% | 79% | 95% | 67% | 89% | 80% | 86% | 82% | |
Avg Max Increase | 10.96% | 12.41% | 13.11% | 13.26% | 10.82% | 12.53% | 20.77% | 18.46% | 13.66% | 11.31% | 13.94% | |
Max Increase | 32.35% | 43.27% | 73.08% | 38.68% | 40.03% | 67.91% | 55.89% | 65.50% | 37.14% | 38.83% | 37.57% | |
Avg Days To Max Increase | 15 | 14 | 14 | 16 | 14 | 18 | 21 | 20 | 16 | 13 | 18 | |
Avg Max Decline | -3.00% | -2.66% | -2.71% | -3.32% | -0.95% | -4.33% | -1.91% | -2.49% | -4.74% | -4.95% | -1.69% | |
Max Decline | -7.70% | -8.54% | -10.66% | -8.60% | -7.38% | -13.99% | -7.50% | -16.61% | -18.81% | -11.56% | -6.27% | |
Avg Days to Max Decline | 7 | 10 | 6 | 10 | 6 | 9 | 3 | 7 | 6 | 11 | 4 | |
2019 Contract Condition | Yes | Yes | Yes | Yes | ||||||||
Action | No | Yes | No | No |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.