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| ScenarioSM Study for December 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 | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
| Tested Years | 40 | 41 | 42 | 42 | 42 | 42 | 42 | 42 | 43 | 43 | 43 | |
| Closed Higher | 26 | 16 | 26 | 25 | 20 | 18 | 25 | 15 | 27 | 12 | 31 | |
| Exceeded High | 20 | 13 | 23 | 17 | 16 | 14 | 19 | 13 | 24 | 10 | 15 | |
| Scenario Percentage | 77% | 81% | 88% | 68% | 80% | 78% | 76% | 87% | 89% | 83% | 48% | |
| Avg Max Increase | 8.14% | 9.51% | 7.19% | 7.45% | 11.14% | 11.80% | 8.22% | 9.01% | 8.59% | 9.93% | 4.83% | |
| Max Increase | 29.22% | 24.56% | 19.08% | 25.45% | 46.99% | 33.60% | 33.21% | 19.37% | 21.17% | 15.99% | 9.68% | |
| Avg Days To Max Increase | 20 | 19 | 18 | 17 | 17 | 17 | 16 | 13 | 17 | 14 | 8 | |
| Avg Max Decline | -2.35% | -2.23% | -1.53% | -1.95% | -2.55% | -1.89% | -3.80% | -2.51% | -2.59% | -2.05% | -0.72% | |
| Max Decline | -6.89% | -6.79% | -8.67% | -7.43% | -8.24% | -6.28% | -6.72% | -8.87% | -10.12% | -4.42% | -2.09% | |
| Avg Days to Max Decline | 14 | 9 | 7 | 8 | 13 | 7 | 12 | 9 | 7 | 6 | 1 | |
| 2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
| Action | Yes | Yes | Yes | Yes | No | Yes | Not Yet | |||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
