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ScenarioSM Study for February Lean Hogs(CME) as of Jan 01, 2019 | ||||||||||||
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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 | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan |
Tested Years | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 25 | 29 | 25 | 24 | 26 | 18 | 28 | 24 | 32 | 15 | 26 | |
Exceeded High | 21 | 23 | 20 | 17 | 19 | 14 | 24 | 19 | 23 | 10 | 18 | |
Scenario Percentage | 84% | 79% | 80% | 71% | 73% | 78% | 86% | 79% | 72% | 67% | 69% | |
Avg Max Increase | 6.23% | 6.11% | 8.77% | 10.43% | 7.73% | 8.87% | 8.84% | 8.88% | 7.43% | 9.47% | 4.30% | |
Max Increase | 20.61% | 24.74% | 44.63% | 33.46% | 25.43% | 15.90% | 19.63% | 21.87% | 25.48% | 17.73% | 11.94% | |
Avg Days To Max Increase | 15 | 15 | 21 | 18 | 16 | 17 | 19 | 15 | 16 | 18 | 7 | |
Avg Max Decline | -1.30% | -1.61% | -3.00% | -1.19% | -3.30% | -2.54% | -2.29% | -2.40% | -3.00% | -3.14% | -0.54% | |
Max Decline | -6.87% | -6.81% | -13.44% | -5.74% | -7.59% | -5.20% | -7.32% | -10.34% | -7.69% | -5.96% | -2.10% | |
Avg Days to Max Decline | 5 | 10 | 14 | 5 | 9 | 10 | 6 | 7 | 8 | 5 | 2 | |
2018 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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