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ScenarioSM Study for June Lean Hogs(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 | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May |
Tested Years | 39 | 40 | 42 | 42 | 42 | 42 | 42 | 42 | 42 | 42 | 42 | |
Closed Higher | 20 | 16 | 27 | 23 | 32 | 22 | 29 | 20 | 24 | 24 | 23 | |
Exceeded High | 15 | 15 | 20 | 18 | 27 | 21 | 24 | 19 | 22 | 18 | 10 | |
Scenario Percentage | 75% | 94% | 74% | 78% | 84% | 95% | 83% | 95% | 92% | 75% | 43% | |
Avg Max Increase | 7.89% | 6.32% | 6.41% | 7.17% | 7.11% | 8.80% | 8.36% | 8.75% | 10.07% | 7.95% | 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 | 15 | 12 | 23 | 17 | 20 | 17 | 18 | 16 | 18 | 13 | 11 | |
Avg Max Decline | -2.89% | -1.48% | -1.85% | -1.70% | -3.01% | -1.45% | -2.71% | -1.94% | -2.00% | -1.51% | -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 | 12 | 7 | 13 | 8 | 6 | 3 | 2 | |
2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | Yes | Yes | Yes | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.