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| ScenarioSM Study for February Pork Bellies(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 | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan |
| Tested Years | 28 | 39 | 44 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
| Closed Higher | 20 | 17 | 21 | 16 | 25 | 20 | 27 | 19 | 27 | 19 | 23 | |
| Exceeded High | 12 | 14 | 13 | 14 | 23 | 16 | 21 | 15 | 19 | 17 | 15 | |
| Scenario Percentage | 60% | 82% | 62% | 88% | 92% | 80% | 78% | 79% | 70% | 89% | 65% | |
| Avg Max Increase | 7.13% | 8.84% | 12.12% | 15.63% | 11.54% | 10.33% | 10.97% | 9.86% | 9.71% | 11.05% | 7.12% | |
| Max Increase | 15.87% | 23.64% | 41.19% | 37.55% | 23.57% | 26.36% | 36.65% | 22.76% | 37.19% | 24.54% | 16.22% | |
| Avg Days To Max Increase | 15 | 16 | 16 | 19 | 16 | 13 | 19 | 17 | 14 | 13 | 10 | |
| Avg Max Decline | -1.15% | -1.88% | -2.81% | -2.00% | -3.93% | -2.36% | -4.41% | -3.43% | -4.07% | -3.82% | -1.63% | |
| Max Decline | -3.94% | -6.25% | -6.37% | -11.79% | -19.46% | -10.64% | -16.42% | -9.85% | -11.46% | -11.63% | -4.13% | |
| Avg Days to Max Decline | 6 | 7 | 8 | 12 | 10 | 6 | 10 | 9 | 6 | 10 | 2 | |
| 2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||
| Action | Yes | Yes | No | Yes | Yes | No | Yes | Yes | Yes | |||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
