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ScenarioSM Study for August Lean Hogs(CME) as of Jan 01, 2013 | ||||||||||||
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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 | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul |
Tested Years | 42 | 42 | 42 | 42 | 43 | 43 | 43 | 43 | 43 | 43 | 43 | |
Closed Higher | 27 | 26 | 31 | 23 | 28 | 23 | 24 | 30 | 19 | 21 | 24 | |
Exceeded High | 20 | 23 | 24 | 22 | 24 | 18 | 22 | 22 | 15 | 16 | 18 | |
Scenario Percentage | 74% | 88% | 77% | 96% | 86% | 78% | 92% | 73% | 79% | 76% | 75% | |
Avg Max Increase | 5.83% | 7.04% | 6.95% | 7.51% | 8.39% | 10.57% | 9.32% | 9.21% | 11.28% | 10.52% | 5.89% | |
Max Increase | 15.72% | 17.68% | 22.82% | 28.19% | 29.21% | 23.29% | 17.33% | 29.29% | 42.67% | 46.56% | 13.41% | |
Avg Days To Max Increase | 19 | 17 | 18 | 16 | 19 | 17 | 21 | 20 | 17 | 13 | 9 | |
Avg Max Decline | -1.56% | -1.65% | -2.16% | -1.28% | -2.24% | -1.91% | -1.65% | -2.55% | -3.01% | -2.96% | -0.57% | |
Max Decline | -4.06% | -4.26% | -8.50% | -5.82% | -7.71% | -4.71% | -8.47% | -7.54% | -11.11% | -6.47% | -2.58% | |
Avg Days to Max Decline | 13 | 9 | 11 | 9 | 13 | 8 | 6 | 10 | 11 | 9 | 1 | |
2012 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | No | Yes | No | Yes | Yes |
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