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| ScenarioSM Study for April Lean Hogs(CME) as of Dec 30, 2011 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | ||||||||||||
| Tested Month | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar |
| Tested Years | 37 | 40 | 41 | 41 | 41 | 42 | 42 | 42 | 42 | 42 | 42 | |
| Closed Higher | 18 | 18 | 22 | 14 | 23 | 23 | 29 | 20 | 25 | 15 | 21 | |
| Exceeded High | 15 | 9 | 17 | 12 | 18 | 20 | 25 | 15 | 20 | 12 | 13 | |
| Scenario Percentage | 83% | 50% | 77% | 86% | 78% | 87% | 86% | 75% | 80% | 80% | 62% | |
| Avg Max Increase | 10.40% | 13.83% | 8.43% | 7.57% | 8.19% | 9.08% | 7.43% | 10.15% | 8.90% | 9.53% | 5.96% | |
| Max Increase | 48.25% | 35.05% | 22.84% | 13.01% | 15.01% | 19.24% | 22.86% | 28.25% | 26.30% | 16.23% | 11.09% | |
| Avg Days To Max Increase | 22 | 17 | 17 | 14 | 22 | 19 | 18 | 19 | 15 | 13 | 9 | |
| Avg Max Decline | -2.09% | -1.36% | -3.48% | -2.29% | -2.15% | -1.52% | -3.27% | -1.86% | -2.37% | -1.86% | -0.85% | |
| Max Decline | -7.98% | -8.14% | -7.46% | -4.33% | -5.29% | -7.71% | -8.74% | -3.97% | -8.38% | -4.81% | -1.86% | |
| Avg Days to Max Decline | 8 | 9 | 9 | 8 | 10 | 11 | 10 | 8 | 7 | 7 | 2 | |
| 2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
| Action | Yes | Yes | No | Yes | Yes | Yes | Yes | |||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
