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ScenarioSM Study for June Live Cattle(CME) as of Jan 01, 2010 | |||||||||||
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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 |
Tested Years | 38 | 42 | 43 | 44 | 44 | 45 | 45 | 45 | 45 | 45 | 45 |
Closed Higher | 23 | 17 | 20 | 23 | 29 | 30 | 29 | 26 | 24 | 26 | 22 |
Exceeded High | 15 | 14 | 18 | 18 | 24 | 28 | 22 | 21 | 19 | 18 | 14 |
Scenario Percentage | 65% | 82% | 90% | 78% | 83% | 93% | 76% | 81% | 79% | 69% | 64% |
Avg Max Increase | 4.52% | 3.18% | 3.68% | 4.45% | 4.95% | 4.63% | 6.56% | 6.75% | 10.12% | 8.18% | 4.63% |
Max Increase | 11.99% | 8.55% | 7.95% | 13.06% | 16.47% | 11.90% | 17.54% | 18.85% | 23.53% | 21.24% | 9.92% |
Avg Days To Max Increase | 13 | 12 | 20 | 19 | 19 | 16 | 17 | 18 | 21 | 13 | 14 |
Avg Max Decline | -1.28% | -1.33% | -1.48% | -1.15% | -1.50% | -0.98% | -1.30% | -1.39% | -1.16% | -1.29% | -1.21% |
Max Decline | -7.20% | -3.06% | -6.27% | -3.45% | -6.05% | -3.21% | -4.47% | -4.17% | -4.02% | -6.83% | -3.65% |
Avg Days to Max Decline | 6 | 10 | 11 | 11 | 11 | 9 | 6 | 6 | 6 | 6 | 3 |
2009 Contract Condition | Yes | Yes | Yes | ||||||||
Action | Yes | No | No |
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