|
ScenarioSM Study for February Lean Hogs(CME) as of Jan 01, 2008 | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | |||||||||||
Tested Month | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan |
Tested Years | 34 | 36 | 36 | 37 | 38 | 38 | 38 | 38 | 38 | 38 | 38 |
Closed Higher | 21 | 24 | 19 | 18 | 22 | 17 | 25 | 20 | 28 | 13 | 21 |
Exceeded High | 18 | 19 | 15 | 13 | 17 | 13 | 21 | 16 | 23 | 8 | 16 |
Scenario Percentage | 86% | 79% | 79% | 72% | 77% | 76% | 84% | 80% | 82% | 62% | 76% |
Avg Max Increase | 6.77% | 6.53% | 9.77% | 11.70% | 8.52% | 9.77% | 8.74% | 9.34% | 7.91% | 10.18% | 4.97% |
Max Increase | 20.61% | 24.73% | 44.63% | 33.46% | 25.43% | 15.91% | 16.85% | 21.15% | 24.91% | 17.74% | 12.01% |
Avg Days To Max Increase | 16 | 16 | 21 | 19 | 17 | 18 | 19 | 16 | 17 | 18 | 9 |
Avg Max Decline | -1.34% | -1.76% | -3.04% | -1.48% | -3.53% | -2.39% | -2.36% | -2.08% | -2.95% | -2.45% | -0.57% |
Max Decline | -6.86% | -6.80% | -13.45% | -5.74% | -7.59% | -5.21% | -7.32% | -10.34% | -7.69% | -5.97% | -2.10% |
Avg Days to Max Decline | 6 | 8 | 11 | 8 | 10 | 9 | 8 | 8 | 8 | 4 | 2 |
2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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