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ScenarioSM Study for July Lean Hogs(CME) as of Dec 31, 2010 | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
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 | Jun |
Tested Years | 39 | 40 | 40 | 40 | 41 | 41 | 41 | 41 | 41 | 41 | 41 | |
Closed Higher | 14 | 22 | 23 | 30 | 20 | 29 | 19 | 23 | 29 | 19 | 18 | |
Exceeded High | 12 | 17 | 19 | 26 | 19 | 24 | 17 | 22 | 22 | 13 | 11 | |
Scenario Percentage | 86% | 77% | 83% | 87% | 95% | 83% | 89% | 96% | 76% | 68% | 61% | |
Avg Max Increase | 6.33% | 6.47% | 6.66% | 6.48% | 8.32% | 8.13% | 9.24% | 9.30% | 8.90% | 9.22% | 5.80% | |
Max Increase | 10.45% | 13.34% | 17.73% | 21.48% | 28.70% | 25.16% | 19.41% | 20.92% | 30.50% | 30.02% | 10.75% | |
Avg Days To Max Increase | 14 | 24 | 18 | 17 | 14 | 18 | 18 | 18 | 19 | 8 | 9 | |
Avg Max Decline | -1.58% | -1.68% | -1.78% | -2.83% | -1.20% | -2.19% | -1.80% | -1.64% | -2.30% | -1.42% | -0.86% | |
Max Decline | -3.23% | -3.96% | -5.04% | -8.98% | -5.15% | -7.88% | -5.44% | -7.20% | -7.12% | -5.06% | -4.18% | |
Avg Days to Max Decline | 8 | 15 | 8 | 12 | 7 | 10 | 7 | 7 | 13 | 4 | 3 | |
2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | Yes | Yes | Yes | Yes | No |
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