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ScenarioSM Study for March Feeder Cattle(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 | 12 | 28 | 33 | 36 | 37 | 37 | 39 | 39 | 39 | 39 | 39 | |
Closed Higher | 10 | 15 | 19 | 22 | 21 | 20 | 12 | 21 | 22 | 21 | 19 | |
Exceeded High | 7 | 13 | 18 | 15 | 15 | 15 | 8 | 19 | 21 | 17 | 10 | |
Scenario Percentage | 70% | 87% | 95% | 68% | 71% | 75% | 67% | 90% | 95% | 81% | 53% | |
Avg Max Increase | 6.17% | 4.66% | 4.51% | 3.95% | 4.44% | 5.36% | 4.03% | 6.15% | 5.98% | 6.67% | 4.85% | |
Max Increase | 13.41% | 8.56% | 9.73% | 9.12% | 11.69% | 8.82% | 5.76% | 22.42% | 15.82% | 16.68% | 10.89% | |
Avg Days To Max Increase | 20 | 18 | 19 | 16 | 16 | 22 | 15 | 16 | 17 | 16 | 16 | |
Avg Max Decline | -0.71% | -2.32% | -0.96% | -1.36% | -1.68% | -2.06% | -1.37% | -1.55% | -1.50% | -1.86% | -0.72% | |
Max Decline | -1.68% | -10.19% | -2.93% | -5.11% | -5.64% | -9.63% | -4.75% | -5.65% | -8.06% | -8.80% | -3.08% | |
Avg Days to Max Decline | 6 | 12 | 10 | 5 | 10 | 12 | 6 | 9 | 6 | 7 | 3 | |
2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
Action | No | Yes | Yes | No | Yes | Yes | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.