|
ScenarioSM Study for June 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 | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May |
Tested Years | 35 | 36 | 38 | 38 | 38 | 38 | 38 | 38 | 38 | 38 | 38 |
Closed Higher | 18 | 16 | 24 | 22 | 28 | 21 | 27 | 19 | 22 | 22 | 22 |
Exceeded High | 14 | 15 | 18 | 17 | 24 | 20 | 22 | 18 | 20 | 17 | 10 |
Scenario Percentage | 78% | 94% | 75% | 77% | 86% | 95% | 81% | 95% | 91% | 77% | 45% |
Avg Max Increase | 8.08% | 6.32% | 6.27% | 7.32% | 7.14% | 8.65% | 8.81% | 8.80% | 10.76% | 8.00% | 5.73% |
Max Increase | 20.43% | 10.89% | 11.38% | 18.26% | 21.48% | 29.71% | 25.88% | 19.19% | 23.06% | 17.35% | 10.69% |
Avg Days To Max Increase | 14 | 12 | 23 | 17 | 19 | 17 | 19 | 16 | 18 | 13 | 11 |
Avg Max Decline | -2.85% | -1.48% | -1.72% | -1.76% | -2.93% | -1.43% | -2.66% | -1.80% | -2.13% | -1.39% | -0.50% |
Max Decline | -7.45% | -3.70% | -7.01% | -5.95% | -8.69% | -4.80% | -7.58% | -6.47% | -8.16% | -4.44% | -2.21% |
Avg Days to Max Decline | 8 | 8 | 13 | 9 | 11 | 7 | 12 | 7 | 6 | 3 | 2 |
2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | Yes | Yes |
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