|
ScenarioSM Study for October Feeder Cattle(CME) as of Dec 30, 2011 | ||||||||||||
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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 | Sep |
Tested Years | 11 | 33 | 36 | 39 | 40 | 40 | 40 | 40 | 40 | 40 | 40 | |
Closed Higher | 4 | 21 | 25 | 24 | 18 | 25 | 24 | 23 | 26 | 23 | 20 | |
Exceeded High | 4 | 21 | 22 | 16 | 16 | 18 | 19 | 22 | 21 | 20 | 14 | |
Scenario Percentage | 100% | 100% | 88% | 67% | 89% | 72% | 79% | 96% | 81% | 87% | 70% | |
Avg Max Increase | 7.30% | 5.19% | 4.69% | 6.42% | 5.34% | 6.04% | 6.71% | 7.03% | 4.70% | 5.16% | 2.86% | |
Max Increase | 10.29% | 14.38% | 15.47% | 13.16% | 24.60% | 17.00% | 17.69% | 33.68% | 13.80% | 17.30% | 10.87% | |
Avg Days To Max Increase | 24 | 15 | 15 | 19 | 17 | 21 | 22 | 16 | 14 | 12 | 11 | |
Avg Max Decline | -0.67% | -0.65% | -1.07% | -1.23% | -1.08% | -1.20% | -1.90% | -1.39% | -1.83% | -1.39% | -0.65% | |
Max Decline | -1.01% | -5.45% | -3.21% | -5.02% | -2.84% | -3.10% | -7.28% | -4.59% | -6.61% | -7.38% | -2.04% | |
Avg Days to Max Decline | 9 | 7 | 7 | 7 | 6 | 10 | 11 | 9 | 6 | 3 | 3 | |
2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
Action | Yes | Yes | Yes | Yes | Yes | Yes | No | Yes |
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