|
ScenarioSM Study for June Lean Hogs(CME) as of Dec 30, 2016 | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
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 | 44 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 22 | 20 | 29 | 26 | 34 | 22 | 31 | 21 | 24 | 26 | 25 | |
Exceeded High | 17 | 19 | 22 | 20 | 28 | 21 | 25 | 20 | 21 | 20 | 12 | |
Scenario Percentage | 77% | 95% | 76% | 77% | 82% | 95% | 81% | 95% | 88% | 77% | 48% | |
Avg Max Increase | 7.14% | 5.90% | 6.03% | 6.79% | 6.85% | 8.69% | 8.96% | 9.29% | 10.17% | 7.79% | 5.75% | |
Max Increase | 20.43% | 11.32% | 11.38% | 18.26% | 21.48% | 29.71% | 27.28% | 19.19% | 23.06% | 17.35% | 10.69% | |
Avg Days To Max Increase | 17 | 12 | 22 | 16 | 19 | 18 | 19 | 16 | 18 | 13 | 11 | |
Avg Max Decline | -2.91% | -1.72% | -1.86% | -1.80% | -2.82% | -1.53% | -2.82% | -1.83% | -2.08% | -1.63% | -0.50% | |
Max Decline | -7.45% | -4.68% | -7.01% | -5.95% | -8.69% | -4.80% | -7.58% | -6.47% | -8.16% | -4.44% | -2.21% | |
Avg Days to Max Decline | 8 | 9 | 13 | 8 | 12 | 7 | 13 | 8 | 6 | 3 | 2 | |
2016 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | Yes | No | Yes |
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