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ScenarioSM Study for October Live Cattle(CME) as of Jan 01, 2008 | |||||||||||
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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 | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep |
Tested Years | 38 | 41 | 41 | 42 | 43 | 43 | 43 | 43 | 43 | 43 | 43 |
Closed Higher | 26 | 28 | 29 | 22 | 21 | 25 | 19 | 19 | 26 | 21 | 25 |
Exceeded High | 24 | 24 | 25 | 17 | 18 | 18 | 17 | 19 | 24 | 17 | 18 |
Scenario Percentage | 92% | 86% | 86% | 77% | 86% | 72% | 89% | 100% | 92% | 81% | 72% |
Avg Max Increase | 3.45% | 4.98% | 4.29% | 5.18% | 5.68% | 5.84% | 5.72% | 7.43% | 4.85% | 6.81% | 4.48% |
Max Increase | 9.11% | 14.10% | 14.44% | 14.08% | 20.35% | 13.11% | 21.44% | 27.14% | 13.64% | 25.05% | 18.26% |
Avg Days To Max Increase | 19 | 17 | 16 | 18 | 18 | 13 | 15 | 14 | 15 | 13 | 17 |
Avg Max Decline | -1.05% | -0.49% | -1.21% | -0.88% | -1.37% | -1.21% | -1.80% | -1.78% | -1.85% | -1.49% | -0.67% |
Max Decline | -3.69% | -1.68% | -4.11% | -2.74% | -5.37% | -7.13% | -4.03% | -10.28% | -8.40% | -6.73% | -3.21% |
Avg Days to Max Decline | 11 | 9 | 6 | 5 | 6 | 7 | 10 | 8 | 5 | 9 | 4 |
2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||
Action | Yes | Yes | Yes | Yes | No | No | Yes | No |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.