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ScenarioSM Study for February Lean Hogs(CME) as of Jan 01, 2009 | ||||||||||||
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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 | 35 | 37 | 37 | 38 | 39 | 39 | 39 | 39 | 39 | 39 | 39 | |
Closed Higher | 21 | 25 | 19 | 18 | 23 | 17 | 25 | 20 | 29 | 13 | 22 | |
Exceeded High | 18 | 19 | 15 | 13 | 18 | 13 | 21 | 16 | 24 | 8 | 17 | |
Scenario Percentage | 86% | 76% | 79% | 72% | 78% | 76% | 84% | 80% | 83% | 62% | 77% | |
Avg Max Increase | 6.77% | 6.53% | 9.77% | 11.70% | 8.07% | 9.77% | 8.74% | 9.34% | 7.69% | 10.18% | 4.85% | |
Max Increase | 20.61% | 24.73% | 44.63% | 33.46% | 25.43% | 15.91% | 16.85% | 21.15% | 24.91% | 17.74% | 12.03% | |
Avg Days To Max Increase | 16 | 16 | 21 | 19 | 16 | 18 | 19 | 16 | 16 | 18 | 9 | |
Avg Max Decline | -1.34% | -1.76% | -3.04% | -1.48% | -3.46% | -2.39% | -2.36% | -2.08% | -2.98% | -2.45% | -0.50% | |
Max Decline | -6.86% | -6.80% | -13.45% | -5.74% | -7.58% | -5.21% | -7.32% | -10.34% | -7.69% | -5.97% | -2.10% | |
Avg Days to Max Decline | 6 | 8 | 11 | 8 | 9 | 9 | 8 | 8 | 8 | 4 | 2 | |
2008 Contract Condition | Yes | Yes | Yes | Yes | ||||||||
Action | No | Yes | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.