|
ScenarioSM Study for October Lean Hogs(CME) as of Dec 30, 2011 | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | ||||||||||||
Tested Month | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep |
Tested Years | 39 | 40 | 41 | 42 | 42 | 42 | 42 | 42 | 42 | 42 | 43 | |
Closed Higher | 26 | 23 | 27 | 18 | 25 | 28 | 19 | 18 | 24 | 20 | 29 | |
Exceeded High | 22 | 19 | 22 | 16 | 21 | 19 | 17 | 14 | 22 | 17 | 17 | |
Scenario Percentage | 85% | 83% | 81% | 89% | 84% | 68% | 89% | 78% | 92% | 85% | 59% | |
Avg Max Increase | 5.64% | 7.22% | 8.34% | 8.68% | 7.46% | 9.00% | 10.82% | 12.71% | 8.45% | 8.99% | 5.07% | |
Max Increase | 13.88% | 22.09% | 30.19% | 23.22% | 18.19% | 25.89% | 44.70% | 33.79% | 32.64% | 21.46% | 13.06% | |
Avg Days To Max Increase | 17 | 11 | 20 | 17 | 18 | 18 | 19 | 17 | 15 | 9 | 9 | |
Avg Max Decline | -2.78% | -1.05% | -2.53% | -2.28% | -1.97% | -1.55% | -2.69% | -2.79% | -3.65% | -1.81% | -0.77% | |
Max Decline | -9.45% | -5.79% | -6.89% | -5.75% | -9.70% | -6.61% | -14.68% | -6.03% | -13.13% | -10.53% | -2.74% | |
Avg Days to Max Decline | 12 | 5 | 11 | 11 | 7 | 6 | 9 | 11 | 9 | 3 | 3 | |
2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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