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ScenarioSM Study for September Wheat(CBOT) as of Jan 01, 2009 | ||||||||||||
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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 | 36 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 22 | 21 | 21 | 21 | 20 | 16 | 21 | 21 | 16 | 21 | 27 | |
Exceeded High | 15 | 16 | 16 | 17 | 13 | 10 | 16 | 15 | 11 | 14 | 15 | |
Scenario Percentage | 68% | 76% | 76% | 81% | 65% | 63% | 76% | 71% | 69% | 67% | 56% | |
Avg Max Increase | 6.37% | 9.13% | 11.12% | 9.79% | 11.57% | 10.73% | 15.75% | 14.84% | 12.85% | 17.36% | 5.23% | |
Max Increase | 29.85% | 27.85% | 60.26% | 45.64% | 35.48% | 33.54% | 42.22% | 33.42% | 33.17% | 49.18% | 19.81% | |
Avg Days To Max Increase | 13 | 18 | 16 | 16 | 18 | 16 | 16 | 18 | 19 | 12 | 6 | |
Avg Max Decline | -1.42% | -2.21% | -2.40% | -2.01% | -4.53% | -2.92% | -2.00% | -2.64% | -2.81% | -1.57% | -0.30% | |
Max Decline | -4.22% | -7.44% | -8.92% | -7.48% | -13.13% | -6.84% | -9.37% | -9.76% | -8.89% | -5.44% | -2.21% | |
Avg Days to Max Decline | 9 | 13 | 11 | 10 | 15 | 12 | 5 | 9 | 7 | 5 | 1 | |
2008 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | Yes | No |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.