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ScenarioSM Study for January Feeder Cattle(CME) as of Jan 01, 2008 | |||||||||||
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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 |
Tested Years | 11 | 22 | 23 | 27 | 27 | 28 | 30 | 30 | 30 | 30 | 30 |
Closed Higher | 5 | 8 | 15 | 17 | 16 | 20 | 16 | 18 | 12 | 19 | 15 |
Exceeded High | 4 | 8 | 12 | 16 | 16 | 15 | 15 | 16 | 10 | 16 | 12 |
Scenario Percentage | 80% | 100% | 80% | 94% | 100% | 75% | 94% | 89% | 83% | 84% | 80% |
Avg Max Increase | 6.54% | 6.40% | 5.00% | 4.97% | 5.13% | 4.48% | 4.48% | 4.81% | 4.21% | 4.41% | 3.04% |
Max Increase | 15.76% | 23.36% | 14.18% | 9.86% | 10.16% | 9.97% | 15.07% | 12.29% | 8.07% | 10.33% | 7.28% |
Avg Days To Max Increase | 20 | 14 | 17 | 21 | 18 | 15 | 12 | 20 | 15 | 16 | 15 |
Avg Max Decline | -0.93% | -1.14% | -0.66% | -2.30% | -1.09% | -1.21% | -1.33% | -1.67% | -1.33% | -1.75% | -0.55% |
Max Decline | -4.25% | -7.28% | -2.36% | -11.41% | -3.46% | -5.37% | -5.73% | -7.29% | -4.34% | -5.38% | -2.57% |
Avg Days to Max Decline | 7 | 9 | 13 | 11 | 5 | 6 | 9 | 9 | 9 | 10 | 4 |
2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | Yes | Yes | Yes | Yes |
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