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ScenarioSM Study for June Live Cattle(CME) as of Dec 31, 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 | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May |
Tested Years | 39 | 43 | 44 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 24 | 17 | 20 | 24 | 30 | 31 | 30 | 26 | 24 | 26 | 21 | |
Exceeded High | 15 | 14 | 18 | 19 | 25 | 29 | 23 | 21 | 19 | 18 | 13 | |
Scenario Percentage | 63% | 82% | 90% | 79% | 83% | 94% | 77% | 81% | 79% | 69% | 62% | |
Avg Max Increase | 4.52% | 3.18% | 3.68% | 4.37% | 4.90% | 4.61% | 6.70% | 6.65% | 9.58% | 7.78% | 4.72% | |
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 | 20 | 13 | 15 | |
Avg Max Decline | -1.28% | -1.33% | -1.48% | -1.22% | -1.54% | -0.98% | -1.27% | -1.35% | -1.20% | -1.29% | -1.36% | |
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 | 13 | 11 | 9 | 6 | 6 | 7 | 6 | 4 | |
2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
Action | No | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.