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ScenarioSM Study for April 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 | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar |
Tested Years | 9 | 24 | 30 | 31 | 31 | 33 | 33 | 35 | 35 | 35 | 35 |
Closed Higher | 5 | 13 | 18 | 16 | 17 | 13 | 20 | 20 | 23 | 19 | 18 |
Exceeded High | 5 | 12 | 12 | 13 | 14 | 8 | 18 | 19 | 19 | 14 | 15 |
Scenario Percentage | 100% | 92% | 67% | 81% | 82% | 62% | 90% | 95% | 83% | 74% | 83% |
Avg Max Increase | 6.35% | 4.99% | 3.83% | 4.18% | 4.27% | 4.26% | 4.80% | 5.69% | 5.90% | 7.56% | 4.36% |
Max Increase | 9.27% | 9.99% | 8.89% | 10.58% | 8.15% | 7.62% | 10.71% | 16.45% | 18.88% | 21.09% | 13.09% |
Avg Days To Max Increase | 22 | 20 | 17 | 15 | 21 | 19 | 19 | 16 | 15 | 12 | 13 |
Avg Max Decline | -3.31% | -0.79% | -1.26% | -1.49% | -1.15% | -1.33% | -1.38% | -1.35% | -1.62% | -1.27% | -0.90% |
Max Decline | -9.58% | -2.20% | -4.91% | -5.68% | -4.22% | -3.55% | -4.91% | -6.72% | -5.36% | -4.57% | -4.35% |
Avg Days to Max Decline | 11 | 10 | 10 | 9 | 10 | 8 | 9 | 8 | 10 | 4 | 2 |
2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | Yes | Yes |
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