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| ScenarioSM Study for May Feeder Cattle(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 | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr |
| Tested Years | 19 | 31 | 34 | 36 | 37 | 37 | 40 | 40 | 40 | 40 | 40 | |
| Closed Higher | 10 | 20 | 18 | 19 | 16 | 19 | 22 | 26 | 24 | 20 | 22 | |
| Exceeded High | 9 | 15 | 13 | 15 | 12 | 17 | 22 | 22 | 20 | 19 | 14 | |
| Scenario Percentage | 90% | 75% | 72% | 79% | 75% | 89% | 100% | 85% | 83% | 95% | 64% | |
| Avg Max Increase | 4.09% | 3.53% | 4.27% | 4.42% | 3.94% | 4.95% | 5.35% | 6.02% | 6.76% | 6.00% | 3.65% | |
| Max Increase | 6.75% | 8.60% | 10.67% | 8.83% | 10.43% | 10.55% | 17.01% | 16.55% | 21.46% | 21.34% | 11.90% | |
| Avg Days To Max Increase | 16 | 17 | 15 | 22 | 18 | 18 | 16 | 18 | 16 | 13 | 15 | |
| Avg Max Decline | -1.07% | -1.27% | -1.38% | -1.71% | -0.85% | -1.35% | -1.21% | -1.63% | -2.13% | -1.65% | -0.50% | |
| Max Decline | -2.45% | -4.48% | -4.98% | -9.65% | -3.19% | -4.84% | -6.22% | -5.66% | -5.23% | -4.62% | -1.82% | |
| Avg Days to Max Decline | 10 | 10 | 8 | 11 | 5 | 9 | 10 | 10 | 10 | 7 | 2 | |
| 2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||
| Action | Yes | Yes | No | Yes | Yes | Yes | Yes | Yes | Yes | |||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
