|
ScenarioSM Study for February Live 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 | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan |
Tested Years | 38 | 44 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 18 | 23 | 24 | 26 | 28 | 18 | 26 | 24 | 27 | 27 | 27 | |
Exceeded High | 16 | 18 | 20 | 24 | 21 | 15 | 24 | 14 | 24 | 25 | 20 | |
Scenario Percentage | 89% | 78% | 83% | 92% | 75% | 83% | 92% | 58% | 89% | 93% | 74% | |
Avg Max Increase | 5.16% | 5.07% | 5.19% | 6.18% | 4.08% | 4.73% | 4.64% | 5.18% | 5.88% | 7.71% | 4.68% | |
Max Increase | 20.95% | 13.59% | 24.14% | 28.67% | 14.74% | 14.40% | 14.77% | 9.77% | 14.42% | 23.28% | 8.94% | |
Avg Days To Max Increase | 15 | 17 | 20 | 19 | 17 | 16 | 21 | 18 | 18 | 16 | 16 | |
Avg Max Decline | -0.83% | -0.96% | -1.46% | -1.28% | -2.02% | -1.31% | -1.85% | -1.35% | -1.80% | -1.41% | -0.74% | |
Max Decline | -2.14% | -3.30% | -4.69% | -5.28% | -8.02% | -3.25% | -8.32% | -3.73% | -7.80% | -3.89% | -4.16% | |
Avg Days to Max Decline | 7 | 10 | 12 | 9 | 12 | 9 | 14 | 9 | 7 | 12 | 3 | |
2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Not Yet |
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