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| ScenarioSM Study for August Pork Bellies(CME) as of Dec 31, 1999 | ||||||||||||
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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 | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul |
| Tested Years | 27 | 35 | 35 | 36 | 36 | 37 | 37 | 37 | 37 | 37 | 37 | |
| Closed Higher | 13 | 16 | 20 | 16 | 22 | 11 | 22 | 19 | 14 | 15 | 19 | |
| Exceeded High | 8 | 12 | 14 | 14 | 15 | 10 | 17 | 16 | 10 | 13 | 15 | |
| Scenario Percentage | 62% | 75% | 70% | 88% | 68% | 91% | 77% | 84% | 71% | 87% | 79% | |
| Avg Max Increase | 9.50% | 13.28% | 11.47% | 10.69% | 11.07% | 19.25% | 14.68% | 12.67% | 19.12% | 23.47% | 14.54% | |
| Max Increase | 27.59% | 28.41% | 28.69% | 31.88% | 41.46% | 44.62% | 37.26% | 40.28% | 37.78% | 47.90% | 34.81% | |
| Avg Days To Max Increase | 20 | 18 | 15 | 18 | 20 | 24 | 15 | 15 | 20 | 16 | 12 | |
| Avg Max Decline | -3.13% | -2.01% | -2.91% | -3.22% | -3.72% | -2.86% | -2.79% | -3.43% | -2.64% | -4.67% | -0.56% | |
| Max Decline | -6.95% | -4.17% | -7.10% | -10.01% | -10.22% | -12.16% | -10.89% | -12.48% | -7.90% | -19.97% | -11.47% | |
| Avg Days to Max Decline | 9 | 7 | 8 | 12 | 12 | 5 | 6 | 7 | 4 | 7 | 2 | |
| 2009 Contract Condition | ||||||||||||
| Action | ||||||||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
