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ScenarioSM Study for September Soybeans(CBOT) as of Jan 01, 2008 | |||||||||||
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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 | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
Tested Years | 34 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 |
Closed Higher | 14 | 25 | 23 | 25 | 25 | 24 | 22 | 22 | 24 | 17 | 22 |
Exceeded High | 12 | 16 | 18 | 19 | 20 | 18 | 15 | 18 | 21 | 8 | 11 |
Scenario Percentage | 86% | 64% | 78% | 76% | 80% | 75% | 68% | 82% | 88% | 47% | 50% |
Avg Max Increase | 6.15% | 6.43% | 7.55% | 7.88% | 8.40% | 8.12% | 18.62% | 18.82% | 14.42% | 9.81% | 5.52% |
Max Increase | 14.44% | 14.41% | 31.20% | 24.92% | 19.61% | 23.39% | 72.72% | 63.92% | 57.58% | 34.02% | 12.43% |
Avg Days To Max Increase | 23 | 20 | 20 | 18 | 17 | 20 | 22 | 16 | 14 | 11 | 8 |
Avg Max Decline | -1.54% | -1.77% | -1.79% | -1.46% | -1.47% | -1.83% | -1.15% | -3.08% | -2.50% | -2.52% | -0.81% |
Max Decline | -5.12% | -3.61% | -9.46% | -6.46% | -8.16% | -5.66% | -3.01% | -27.40% | -30.23% | -6.99% | -3.28% |
Avg Days to Max Decline | 7 | 9 | 10 | 7 | 8 | 15 | 7 | 8 | 5 | 5 | 2 |
2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||
Action | Yes | Yes | Yes | Yes | No | Yes | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.