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ScenarioSM Study for June Lean Hogs(CME) as of Jan 01, 2018 | ||||||||||||
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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 | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May |
Tested Years | 44 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 22 | 21 | 28 | 27 | 33 | 22 | 31 | 22 | 23 | 26 | 25 | |
Exceeded High | 17 | 19 | 21 | 21 | 27 | 21 | 26 | 20 | 20 | 20 | 13 | |
Scenario Percentage | 77% | 90% | 75% | 78% | 82% | 95% | 84% | 91% | 87% | 77% | 52% | |
Avg Max Increase | 7.15% | 5.90% | 6.11% | 6.75% | 6.41% | 8.53% | 8.75% | 9.29% | 10.37% | 8.20% | 5.40% | |
Max Increase | 20.43% | 11.31% | 11.39% | 18.27% | 21.47% | 29.73% | 27.28% | 19.19% | 23.07% | 17.35% | 10.69% | |
Avg Days To Max Increase | 17 | 12 | 22 | 16 | 19 | 17 | 19 | 16 | 18 | 13 | 11 | |
Avg Max Decline | -2.91% | -1.72% | -1.87% | -1.83% | -2.90% | -1.55% | -2.75% | -1.83% | -2.05% | -1.68% | -0.60% | |
Max Decline | -7.45% | -4.68% | -7.00% | -5.95% | -8.69% | -4.79% | -7.58% | -6.47% | -8.16% | -4.44% | -2.21% | |
Avg Days to Max Decline | 8 | 9 | 12 | 9 | 12 | 7 | 13 | 8 | 6 | 3 | 2 | |
2017 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | No | Yes | Yes | Yes | No | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.