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ScenarioSM Study for March Swiss Franc(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 | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
Tested Years | 27 | 31 | 33 | 36 | 36 | 36 | 36 | 36 | 36 | 36 | 36 | |
Closed Higher | 8 | 14 | 14 | 16 | 19 | 25 | 20 | 17 | 20 | 11 | 19 | |
Exceeded High | 7 | 9 | 12 | 14 | 17 | 22 | 13 | 13 | 15 | 9 | 9 | |
Scenario Percentage | 88% | 64% | 86% | 88% | 89% | 88% | 65% | 76% | 75% | 82% | 47% | |
Avg Max Increase | 3.88% | 5.46% | 6.19% | 6.13% | 5.87% | 4.43% | 5.31% | 5.80% | 4.27% | 6.06% | 2.99% | |
Max Increase | 8.78% | 11.71% | 16.75% | 18.60% | 12.10% | 11.46% | 12.15% | 10.90% | 10.55% | 13.30% | 9.13% | |
Avg Days To Max Increase | 16 | 18 | 20 | 22 | 17 | 18 | 20 | 17 | 15 | 14 | 9 | |
Avg Max Decline | -1.01% | -0.60% | -0.66% | -1.76% | -1.19% | -1.40% | -0.73% | -1.23% | -1.68% | -1.09% | -0.70% | |
Max Decline | -5.72% | -2.32% | -2.02% | -7.22% | -5.77% | -4.34% | -1.81% | -4.09% | -4.56% | -2.70% | -2.07% | |
Avg Days to Max Decline | 9 | 5 | 7 | 13 | 7 | 9 | 3 | 7 | 7 | 8 | 2 | |
2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | 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.