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ScenarioSM Study for November 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 | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct |
Tested Years | 19 | 31 | 37 | 38 | 39 | 40 | 40 | 40 | 40 | 40 | 40 | |
Closed Higher | 12 | 22 | 21 | 17 | 24 | 23 | 24 | 26 | 22 | 22 | 15 | |
Exceeded High | 12 | 18 | 14 | 16 | 17 | 19 | 23 | 22 | 19 | 18 | 5 | |
Scenario Percentage | 100% | 82% | 67% | 94% | 71% | 83% | 96% | 85% | 86% | 82% | 33% | |
Avg Max Increase | 5.69% | 4.41% | 6.40% | 5.41% | 6.15% | 6.31% | 6.71% | 4.87% | 5.17% | 3.55% | 1.88% | |
Max Increase | 14.30% | 16.22% | 13.46% | 23.93% | 16.07% | 18.16% | 33.08% | 12.84% | 16.13% | 10.84% | 4.36% | |
Avg Days To Max Increase | 15 | 16 | 19 | 15 | 20 | 20 | 16 | 14 | 10 | 11 | 10 | |
Avg Max Decline | -0.12% | -0.87% | -1.18% | -0.78% | -1.24% | -1.70% | -1.22% | -1.59% | -1.27% | -1.46% | -0.91% | |
Max Decline | -0.63% | -3.23% | -5.05% | -1.95% | -4.15% | -6.17% | -3.99% | -5.19% | -7.19% | -8.14% | -1.65% | |
Avg Days to Max Decline | 5 | 6 | 8 | 6 | 12 | 10 | 10 | 6 | 6 | 5 | 3 | |
2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | Yes | No | Yes |
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