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| ScenarioSM Study for February Lean Hogs(CME) as of Dec 30, 2011 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | 38 | 40 | 40 | 41 | 42 | 42 | 42 | 42 | 42 | 42 | 42 | |
| Closed Higher | 23 | 27 | 21 | 20 | 25 | 17 | 27 | 21 | 32 | 14 | 24 | |
| Exceeded High | 19 | 20 | 16 | 14 | 19 | 13 | 22 | 17 | 26 | 9 | 17 | |
| Scenario Percentage | 83% | 74% | 76% | 70% | 76% | 76% | 81% | 81% | 81% | 64% | 71% | |
| Avg Max Increase | 6.62% | 6.57% | 9.57% | 11.27% | 7.98% | 9.77% | 9.23% | 9.21% | 7.96% | 10.14% | 4.85% | |
| Max Increase | 20.61% | 24.73% | 44.63% | 33.46% | 25.43% | 15.91% | 19.64% | 21.15% | 24.91% | 17.74% | 12.03% | |
| Avg Days To Max Increase | 16 | 16 | 21 | 19 | 16 | 18 | 20 | 16 | 17 | 19 | 9 | |
| Avg Max Decline | -1.32% | -1.81% | -3.07% | -1.56% | -3.46% | -2.39% | -2.44% | -2.20% | -3.02% | -2.55% | -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 | 10 | 11 | 7 | 9 | 9 | 8 | 8 | 9 | 4 | 2 | |
| 2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
| Action | Yes | No | Yes | Yes | No | Yes | Yes | Not Yet | ||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
