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ScenarioSM Study for October Lean Hogs(CME) as of Jan 01, 2008 | |||||||||||
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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 | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep |
Tested Years | 35 | 36 | 37 | 38 | 38 | 38 | 38 | 38 | 38 | 38 | 39 |
Closed Higher | 23 | 21 | 25 | 16 | 23 | 26 | 18 | 16 | 21 | 20 | 25 |
Exceeded High | 19 | 17 | 20 | 14 | 19 | 18 | 16 | 12 | 19 | 17 | 15 |
Scenario Percentage | 83% | 81% | 80% | 88% | 83% | 69% | 89% | 75% | 90% | 85% | 60% |
Avg Max Increase | 5.75% | 6.84% | 8.60% | 8.66% | 7.83% | 9.12% | 11.26% | 13.58% | 9.31% | 8.54% | 4.74% |
Max Increase | 13.88% | 22.10% | 30.19% | 23.22% | 18.19% | 25.89% | 44.70% | 33.79% | 32.64% | 18.10% | 13.06% |
Avg Days To Max Increase | 17 | 12 | 21 | 18 | 19 | 18 | 19 | 20 | 16 | 10 | 6 |
Avg Max Decline | -2.90% | -0.98% | -2.71% | -2.09% | -2.09% | -1.51% | -2.68% | -2.96% | -4.10% | -1.80% | -0.55% |
Max Decline | -9.45% | -5.79% | -6.89% | -5.74% | -9.70% | -6.61% | -14.68% | -6.03% | -13.13% | -10.53% | -2.52% |
Avg Days to Max Decline | 12 | 5 | 12 | 9 | 8 | 6 | 9 | 13 | 11 | 3 | 2 |
2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | Yes | Yes | No | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.