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ScenarioSM Study for October Live 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 | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep |
Tested Years | 42 | 44 | 44 | 44 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 29 | 32 | 32 | 25 | 23 | 27 | 20 | 23 | 28 | 20 | 26 | |
Exceeded High | 27 | 28 | 28 | 19 | 20 | 20 | 18 | 22 | 25 | 17 | 19 | |
Scenario Percentage | 93% | 88% | 88% | 76% | 87% | 74% | 90% | 96% | 89% | 85% | 73% | |
Avg Max Increase | 3.60% | 4.93% | 4.39% | 5.14% | 5.29% | 5.55% | 5.88% | 7.13% | 4.90% | 6.68% | 4.28% | |
Max Increase | 9.11% | 14.10% | 14.44% | 14.08% | 20.35% | 13.11% | 21.44% | 27.14% | 13.64% | 25.05% | 18.26% | |
Avg Days To Max Increase | 19 | 17 | 17 | 18 | 17 | 15 | 16 | 14 | 15 | 13 | 16 | |
Avg Max Decline | -1.09% | -0.54% | -1.22% | -1.25% | -1.29% | -1.23% | -1.86% | -1.70% | -1.88% | -1.50% | -0.64% | |
Max Decline | -3.69% | -1.68% | -4.11% | -5.63% | -5.37% | -7.13% | -4.03% | -10.28% | -8.40% | -6.73% | -3.21% | |
Avg Days to Max Decline | 11 | 9 | 8 | 8 | 7 | 8 | 10 | 7 | 6 | 10 | 4 | |
2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.