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| ScenarioSM Study for January Feeder Cattle(CME) as of Dec 30, 2011 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | ||||||||||||
| Tested Month | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Tested Years | 15 | 26 | 27 | 31 | 31 | 32 | 34 | 34 | 34 | 34 | 34 | |
| Closed Higher | 9 | 10 | 19 | 19 | 19 | 24 | 18 | 18 | 12 | 20 | 18 | |
| Exceeded High | 7 | 10 | 15 | 18 | 19 | 18 | 16 | 16 | 10 | 17 | 15 | |
| Scenario Percentage | 78% | 100% | 79% | 95% | 100% | 75% | 89% | 89% | 83% | 85% | 83% | |
| Avg Max Increase | 6.18% | 5.68% | 4.79% | 4.65% | 5.02% | 4.16% | 4.31% | 4.81% | 4.21% | 4.72% | 3.28% | |
| Max Increase | 15.76% | 23.36% | 14.18% | 9.86% | 10.16% | 9.97% | 15.07% | 12.29% | 8.07% | 10.33% | 7.28% | |
| Avg Days To Max Increase | 18 | 16 | 19 | 20 | 18 | 14 | 12 | 20 | 15 | 16 | 15 | |
| Avg Max Decline | -0.91% | -1.09% | -0.93% | -2.58% | -1.11% | -1.20% | -1.24% | -1.67% | -1.33% | -1.76% | -0.65% | |
| Max Decline | -4.25% | -7.28% | -3.95% | -11.41% | -3.46% | -5.37% | -5.73% | -7.29% | -4.34% | -5.38% | -2.57% | |
| Avg Days to Max Decline | 5 | 11 | 14 | 11 | 6 | 6 | 8 | 9 | 9 | 10 | 4 | |
| 2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
| Action | Yes | Yes | No | Yes | Yes | No | Yes | Yes | ||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
