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ScenarioSM Study for July Lean Hogs(CME) as of Jan 01, 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 | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun |
Tested Years | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 20 | 26 | 28 | 34 | 21 | 30 | 22 | 25 | 30 | 21 | 21 | |
Exceeded High | 17 | 22 | 24 | 27 | 20 | 26 | 19 | 23 | 23 | 15 | 13 | |
Scenario Percentage | 85% | 85% | 86% | 79% | 95% | 87% | 86% | 92% | 77% | 71% | 62% | |
Avg Max Increase | 5.70% | 6.29% | 6.08% | 5.47% | 6.74% | 7.55% | 10.51% | 8.97% | 9.37% | 8.92% | 3.87% | |
Max Increase | 10.46% | 13.33% | 17.72% | 19.47% | 17.79% | 24.71% | 30.88% | 20.93% | 30.49% | 30.02% | 10.69% | |
Avg Days To Max Increase | 15 | 22 | 20 | 18 | 15 | 19 | 17 | 17 | 18 | 6 | 6 | |
Avg Max Decline | -1.75% | -1.62% | -1.82% | -2.87% | -1.33% | -2.16% | -1.90% | -1.83% | -2.46% | -1.62% | -1.01% | |
Max Decline | -4.74% | -3.97% | -5.05% | -8.98% | -5.15% | -7.89% | -5.54% | -7.21% | -7.13% | -5.05% | -4.18% | |
Avg Days to Max Decline | 11 | 11 | 9 | 12 | 7 | 11 | 7 | 7 | 13 | 4 | 1 | |
2019 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | No | Yes | Yes | No |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.