|
ScenarioSM Study for October Lean Hogs(CME) as of Jan 01, 2015 | ||||||||||||
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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 | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep |
Tested Years | 42 | 43 | 44 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 29 | 24 | 30 | 19 | 26 | 29 | 22 | 21 | 24 | 21 | 31 | |
Exceeded High | 24 | 20 | 25 | 17 | 22 | 20 | 20 | 17 | 22 | 18 | 18 | |
Scenario Percentage | 83% | 83% | 83% | 89% | 85% | 69% | 91% | 81% | 92% | 86% | 58% | |
Avg Max Increase | 5.45% | 7.53% | 8.36% | 8.90% | 7.37% | 8.84% | 10.07% | 10.97% | 8.45% | 8.88% | 5.25% | |
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 | 18 | 12 | 20 | 18 | 18 | 19 | 18 | 16 | 15 | 10 | 9 | |
Avg Max Decline | -2.86% | -1.00% | -2.29% | -2.22% | -2.18% | -1.66% | -2.60% | -2.58% | -3.65% | -1.73% | -0.87% | |
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 | 10 | 10 | 7 | 7 | 9 | 11 | 9 | 3 | 3 | |
2014 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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