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ScenarioSM Study for December Live Cattle(CME) as of Dec 30, 2011 | ||||||||||||
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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 | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
Tested Years | 37 | 44 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 24 | 23 | 23 | 24 | 21 | 24 | 25 | 20 | 26 | 23 | 27 | |
Exceeded High | 20 | 18 | 20 | 19 | 17 | 22 | 19 | 18 | 23 | 17 | 18 | |
Scenario Percentage | 83% | 78% | 87% | 79% | 81% | 92% | 76% | 90% | 88% | 74% | 67% | |
Avg Max Increase | 3.67% | 4.19% | 4.19% | 5.18% | 5.56% | 6.75% | 4.69% | 5.83% | 5.26% | 6.05% | 3.25% | |
Max Increase | 12.47% | 13.33% | 21.08% | 13.31% | 23.89% | 27.74% | 10.78% | 17.67% | 16.89% | 10.63% | 8.00% | |
Avg Days To Max Increase | 16 | 18 | 15 | 17 | 19 | 18 | 17 | 18 | 19 | 15 | 14 | |
Avg Max Decline | -1.36% | -1.23% | -0.95% | -1.24% | -1.59% | -1.28% | -1.89% | -1.64% | -1.61% | -1.01% | -1.11% | |
Max Decline | -3.93% | -4.31% | -5.65% | -7.18% | -3.67% | -6.93% | -9.56% | -7.78% | -5.36% | -2.91% | -6.01% | |
Avg Days to Max Decline | 9 | 10 | 6 | 9 | 12 | 5 | 7 | 9 | 10 | 5 | 4 | |
2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | Yes | Yes | Yes | Yes | Not Yet |
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