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ScenarioSM Study for October Live Cattle(CME) as of Jan 01, 2009 | ||||||||||||
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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 | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep |
Tested Years | 39 | 42 | 42 | 43 | 44 | 44 | 44 | 44 | 44 | 44 | 44 | |
Closed Higher | 27 | 29 | 30 | 23 | 21 | 26 | 20 | 20 | 26 | 21 | 25 | |
Exceeded High | 25 | 25 | 26 | 18 | 18 | 19 | 18 | 19 | 24 | 17 | 18 | |
Scenario Percentage | 93% | 86% | 87% | 78% | 86% | 73% | 90% | 95% | 92% | 81% | 72% | |
Avg Max Increase | 3.47% | 4.93% | 4.25% | 4.96% | 5.68% | 5.99% | 5.66% | 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 | 19 | 18 | 14 | 15 | 14 | 15 | 13 | 17 | |
Avg Max Decline | -1.01% | -0.52% | -1.20% | -1.14% | -1.37% | -1.21% | -1.82% | -1.78% | -1.85% | -1.49% | -0.67% | |
Max Decline | -3.69% | -1.68% | -4.11% | -5.63% | -5.37% | -7.13% | -4.03% | -10.28% | -8.40% | -6.73% | -3.21% | |
Avg Days to Max Decline | 11 | 9 | 6 | 7 | 6 | 7 | 10 | 8 | 5 | 9 | 4 | |
2008 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | Yes | Yes | No |
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