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ScenarioSM Study for December Live Cattle(CME) as of Dec 31, 2010 | ||||||||||||
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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 | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
Tested Years | 36 | 44 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 23 | 23 | 22 | 24 | 22 | 23 | 26 | 21 | 25 | 23 | 26 | |
Exceeded High | 19 | 17 | 19 | 19 | 18 | 21 | 20 | 18 | 22 | 17 | 18 | |
Scenario Percentage | 83% | 74% | 86% | 79% | 82% | 91% | 77% | 86% | 88% | 74% | 69% | |
Avg Max Increase | 3.53% | 4.13% | 4.38% | 5.18% | 5.34% | 6.85% | 4.69% | 5.83% | 5.40% | 6.05% | 3.25% | |
Max Increase | 12.47% | 13.33% | 21.08% | 13.31% | 23.89% | 27.74% | 10.78% | 17.67% | 16.89% | 10.63% | 8.00% | |
Avg Days To Max Increase | 15 | 18 | 15 | 17 | 19 | 19 | 17 | 18 | 20 | 15 | 14 | |
Avg Max Decline | -1.29% | -1.05% | -0.97% | -1.24% | -1.73% | -1.31% | -1.87% | -1.64% | -1.50% | -1.01% | -1.11% | |
Max Decline | -3.93% | -4.07% | -5.65% | -7.18% | -4.12% | -6.93% | -9.56% | -7.78% | -5.36% | -2.91% | -6.01% | |
Avg Days to Max Decline | 7 | 9 | 7 | 9 | 12 | 5 | 7 | 9 | 9 | 5 | 4 | |
2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | 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.