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ScenarioSM Study for September Feeder Cattle(CME) as of Jan 01, 2010 | |||||||||||
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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 | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
Tested Years | 10 | 28 | 34 | 34 | 37 | 37 | 38 | 38 | 38 | 38 | 38 |
Closed Higher | 5 | 15 | 20 | 23 | 21 | 16 | 24 | 22 | 22 | 24 | 22 |
Exceeded High | 4 | 13 | 20 | 20 | 14 | 14 | 18 | 18 | 20 | 20 | 12 |
Scenario Percentage | 80% | 87% | 100% | 87% | 67% | 88% | 75% | 82% | 91% | 83% | 55% |
Avg Max Increase | 3.83% | 4.83% | 4.84% | 4.53% | 6.12% | 6.12% | 6.08% | 7.01% | 5.86% | 5.43% | 4.75% |
Max Increase | 6.11% | 11.41% | 14.86% | 16.98% | 13.74% | 23.29% | 15.76% | 15.98% | 10.82% | 13.26% | 13.04% |
Avg Days To Max Increase | 6 | 19 | 14 | 14 | 19 | 17 | 18 | 22 | 16 | 13 | 15 |
Avg Max Decline | -0.73% | -0.74% | -0.69% | -1.02% | -1.35% | -0.97% | -1.09% | -1.94% | -1.44% | -1.63% | -0.64% |
Max Decline | -2.20% | -2.72% | -6.06% | -3.61% | -4.67% | -2.50% | -3.12% | -6.69% | -4.86% | -6.34% | -1.79% |
Avg Days to Max Decline | 7 | 11 | 8 | 7 | 5 | 7 | 9 | 10 | 7 | 5 | 2 |
2009 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | Yes | Not Yet |
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