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| ScenarioSM Study for June Lean Hogs(CME) as of Jan 01, 2015 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | 42 | 43 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
| Closed Higher | 22 | 18 | 29 | 25 | 35 | 22 | 32 | 21 | 25 | 25 | 25 | |
| Exceeded High | 17 | 17 | 22 | 19 | 29 | 21 | 26 | 20 | 22 | 19 | 12 | |
| Scenario Percentage | 77% | 94% | 76% | 76% | 83% | 95% | 81% | 95% | 88% | 76% | 48% | |
| Avg Max Increase | 7.14% | 6.32% | 6.28% | 6.86% | 6.78% | 8.80% | 8.85% | 9.26% | 10.07% | 7.59% | 4.88% | |
| Max Increase | 20.43% | 11.32% | 11.38% | 18.26% | 21.48% | 29.71% | 27.28% | 19.19% | 23.06% | 17.35% | 8.26% | |
| Avg Days To Max Increase | 17 | 13 | 23 | 16 | 19 | 17 | 19 | 16 | 18 | 13 | 10 | |
| Avg Max Decline | -2.91% | -1.58% | -1.88% | -1.77% | -2.91% | -1.45% | -2.58% | -1.87% | -2.00% | -1.58% | -0.50% | |
| Max Decline | -7.45% | -4.09% | -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 | |
| 2014 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
| Action | Yes | Yes | No | Yes | Yes | Yes | No | |||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
