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ScenarioSM Study for October 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 | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep |
Tested Years | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 30 | 26 | 31 | 20 | 25 | 30 | 23 | 22 | 24 | 22 | 29 | |
Exceeded High | 24 | 22 | 26 | 17 | 21 | 21 | 21 | 17 | 22 | 19 | 17 | |
Scenario Percentage | 80% | 85% | 84% | 85% | 84% | 70% | 91% | 77% | 92% | 86% | 59% | |
Avg Max Increase | 5.45% | 7.32% | 7.96% | 9.03% | 7.24% | 8.73% | 9.86% | 10.78% | 8.45% | 8.43% | 5.02% | |
Max Increase | 13.88% | 22.09% | 30.19% | 23.22% | 18.19% | 25.89% | 44.70% | 33.80% | 32.65% | 20.46% | 13.06% | |
Avg Days To Max Increase | 18 | 12 | 20 | 19 | 18 | 18 | 17 | 14 | 15 | 10 | 8 | |
Avg Max Decline | -2.86% | -1.03% | -2.18% | -2.24% | -2.21% | -1.83% | -2.68% | -2.42% | -3.65% | -1.81% | -0.72% | |
Max Decline | -9.44% | -5.80% | -6.89% | -5.74% | -9.70% | -6.60% | -14.68% | -6.03% | -13.12% | -10.55% | -2.67% | |
Avg Days to Max Decline | 12 | 5 | 10 | 10 | 7 | 9 | 9 | 10 | 9 | 4 | 2 | |
2017 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | Yes | No | Yes | Yes | Yes |
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