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ScenarioSM Study for February Lean Hogs(CME) as of Dec 30, 2016 | ||||||||||||
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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 | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan |
Tested Years | 43 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 24 | 29 | 25 | 23 | 26 | 18 | 29 | 23 | 33 | 15 | 26 | |
Exceeded High | 20 | 22 | 19 | 17 | 19 | 15 | 24 | 18 | 24 | 10 | 16 | |
Scenario Percentage | 83% | 76% | 76% | 74% | 73% | 83% | 83% | 78% | 73% | 67% | 62% | |
Avg Max Increase | 6.38% | 6.45% | 9.01% | 10.46% | 7.73% | 8.76% | 8.59% | 8.94% | 7.87% | 9.98% | 3.85% | |
Max Increase | 20.61% | 24.73% | 44.63% | 33.46% | 25.43% | 15.91% | 19.64% | 21.15% | 24.91% | 17.40% | 10.59% | |
Avg Days To Max Increase | 16 | 16 | 22 | 19 | 16 | 17 | 19 | 16 | 16 | 21 | 7 | |
Avg Max Decline | -1.28% | -1.66% | -2.98% | -1.47% | -3.30% | -2.39% | -2.34% | -2.20% | -2.78% | -2.58% | -0.64% | |
Max Decline | -6.86% | -6.80% | -13.45% | -5.74% | -7.58% | -5.21% | -7.32% | -10.34% | -7.69% | -5.97% | -2.10% | |
Avg Days to Max Decline | 6 | 9 | 14 | 7 | 9 | 9 | 7 | 8 | 7 | 4 | 2 | |
2016 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | No | Yes | Yes | Yes | Not Yet |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.