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ScenarioSM Study for June Lean Hogs(CME) as of Nov 09, 2020 | ||||||||||||
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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 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 21 | 22 | 29 | 27 | 33 | 22 | 29 | 23 | 23 | 24 | 24 | |
Exceeded High | 17 | 20 | 23 | 22 | 26 | 20 | 25 | 20 | 20 | 18 | 10 | |
Scenario Percentage | 81% | 91% | 79% | 81% | 79% | 91% | 86% | 87% | 87% | 75% | 42% | |
Avg Max Increase | 6.54% | 5.75% | 6.20% | 6.37% | 5.72% | 7.04% | 8.07% | 10.39% | 10.54% | 7.39% | 5.20% | |
Max Increase | 20.43% | 11.31% | 11.39% | 18.27% | 20.85% | 19.87% | 27.28% | 31.53% | 23.07% | 16.88% | 7.54% | |
Avg Days To Max Increase | 16 | 13 | 22 | 17 | 18 | 16 | 19 | 15 | 18 | 13 | 9 | |
Avg Max Decline | -2.57% | -1.86% | -1.69% | -1.88% | -2.93% | -1.62% | -2.74% | -1.83% | -2.07% | -1.57% | -0.25% | |
Max Decline | -6.63% | -4.68% | -4.14% | -5.95% | -8.69% | -4.79% | -7.58% | -6.47% | -8.16% | -3.66% | -0.76% | |
Avg Days to Max Decline | 8 | 12 | 11 | 9 | 13 | 7 | 13 | 8 | 6 | 3 | 2 | |
2020 Contract Condition | Yes | Yes | Yes | Yes | ||||||||
Action | Yes | Yes | No | No |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.