|
ScenarioSM Study for August 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 | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul |
Tested Years | 44 | 44 | 44 | 44 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 28 | 28 | 33 | 24 | 30 | 24 | 25 | 31 | 21 | 23 | 25 | |
Exceeded High | 21 | 24 | 26 | 23 | 25 | 19 | 23 | 23 | 17 | 18 | 19 | |
Scenario Percentage | 75% | 86% | 79% | 96% | 83% | 79% | 92% | 74% | 81% | 78% | 76% | |
Avg Max Increase | 5.91% | 6.87% | 6.61% | 7.83% | 9.15% | 10.84% | 9.10% | 9.17% | 10.76% | 9.64% | 5.82% | |
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 | 20 | 18 | 18 | 17 | 19 | 17 | 21 | 20 | 17 | 12 | 10 | |
Avg Max Decline | -1.54% | -1.61% | -2.07% | -1.22% | -2.19% | -1.85% | -1.98% | -2.60% | -2.77% | -2.93% | -0.54% | |
Max Decline | -4.06% | -4.26% | -8.50% | -5.82% | -7.71% | -4.71% | -9.25% | -7.54% | -11.11% | -6.47% | -2.58% | |
Avg Days to Max Decline | 13 | 10 | 10 | 9 | 12 | 8 | 6 | 10 | 10 | 9 | 1 | |
2014 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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