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ScenarioSM Study for October Live Cattle(CME) as of Jan 21, 2022 | ||||||||||||
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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 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 31 | 32 | 29 | 29 | 24 | 23 | 19 | 23 | 28 | 17 | 27 | |
Exceeded High | 28 | 27 | 26 | 23 | 20 | 16 | 15 | 22 | 24 | 16 | 22 | |
Scenario Percentage | 90% | 84% | 90% | 79% | 83% | 70% | 79% | 96% | 86% | 94% | 81% | |
Avg Max Increase | 3.62% | 3.77% | 4.10% | 5.14% | 5.26% | 4.99% | 5.94% | 5.37% | 4.78% | 6.50% | 4.61% | |
Max Increase | 9.11% | 9.77% | 11.76% | 15.73% | 20.35% | 13.11% | 12.73% | 17.31% | 13.64% | 25.05% | 18.26% | |
Avg Days To Max Increase | 20 | 18 | 17 | 18 | 16 | 14 | 17 | 18 | 16 | 13 | 17 | |
Avg Max Decline | -1.34% | -0.72% | -1.09% | -1.15% | -1.33% | -1.07% | -2.04% | -1.91% | -2.16% | -1.59% | -0.70% | |
Max Decline | -3.97% | -1.71% | -3.37% | -5.63% | -5.37% | -3.85% | -4.81% | -4.99% | -8.40% | -6.73% | -3.21% | |
Avg Days to Max Decline | 9 | 10 | 8 | 7 | 8 | 8 | 10 | 9 | 7 | 12 | 4 | |
2021 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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