|
ScenarioSM Study for August 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 | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul |
Tested Years | 37 | 37 | 37 | 37 | 38 | 38 | 38 | 38 | 38 | 38 | 38 |
Closed Higher | 23 | 23 | 26 | 22 | 25 | 19 | 22 | 28 | 17 | 19 | 21 |
Exceeded High | 17 | 20 | 21 | 21 | 21 | 16 | 20 | 21 | 13 | 14 | 15 |
Scenario Percentage | 74% | 87% | 81% | 95% | 84% | 84% | 91% | 75% | 76% | 74% | 71% |
Avg Max Increase | 5.78% | 7.41% | 6.80% | 7.37% | 9.07% | 10.95% | 9.93% | 9.50% | 12.38% | 10.66% | 5.82% |
Max Increase | 15.72% | 17.67% | 22.84% | 28.20% | 29.21% | 23.29% | 17.33% | 29.29% | 42.67% | 46.56% | 13.41% |
Avg Days To Max Increase | 20 | 18 | 17 | 17 | 19 | 17 | 21 | 21 | 15 | 12 | 10 |
Avg Max Decline | -1.51% | -1.75% | -2.10% | -1.30% | -2.41% | -1.70% | -1.75% | -2.50% | -2.37% | -2.88% | -0.76% |
Max Decline | -4.06% | -4.26% | -8.50% | -5.82% | -7.71% | -4.71% | -8.47% | -7.54% | -9.21% | -5.81% | -2.58% |
Avg Days to Max Decline | 15 | 10 | 9 | 9 | 12 | 7 | 7 | 11 | 8 | 9 | 2 |
2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | No | Not Yet |
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