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ScenarioSM Study for June Live Cattle(CME) as of Oct 20, 2019 | ||||||||||||
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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 | 44 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 30 | 19 | 22 | 27 | 30 | 28 | 26 | 28 | 22 | 23 | 20 | |
Exceeded High | 21 | 15 | 20 | 21 | 25 | 27 | 22 | 23 | 18 | 16 | 12 | |
Scenario Percentage | 70% | 79% | 91% | 78% | 83% | 96% | 85% | 82% | 82% | 70% | 60% | |
Avg Max Increase | 3.92% | 3.17% | 3.74% | 3.74% | 4.17% | 3.70% | 5.98% | 6.64% | 9.22% | 7.38% | 5.60% | |
Max Increase | 11.99% | 8.55% | 7.95% | 10.56% | 10.77% | 10.94% | 17.54% | 18.85% | 23.53% | 21.24% | 11.83% | |
Avg Days To Max Increase | 17 | 14 | 17 | 19 | 19 | 17 | 19 | 18 | 15 | 12 | 15 | |
Avg Max Decline | -1.53% | -1.41% | -1.50% | -1.20% | -1.84% | -1.20% | -1.50% | -1.48% | -1.72% | -1.56% | -1.20% | |
Max Decline | -7.20% | -3.06% | -6.27% | -3.45% | -6.05% | -3.21% | -4.47% | -4.17% | -4.69% | -6.83% | -3.65% | |
Avg Days to Max Decline | 8 | 14 | 10 | 11 | 12 | 9 | 8 | 6 | 8 | 7 | 3 | |
2019 Contract Condition | Yes | Yes | Yes | Yes | ||||||||
Action | Yes | Yes | Yes | Yes |
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