|
ScenarioSM Study for December Lean Hogs(CME) as of Jan 01, 2007 | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | |||||||||||
Tested Month | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
Tested Years | 35 | 36 | 37 | 37 | 37 | 37 | 37 | 37 | 38 | 38 | 38 |
Closed Higher | 23 | 13 | 24 | 22 | 18 | 16 | 21 | 15 | 24 | 11 | 26 |
Exceeded High | 17 | 10 | 21 | 16 | 15 | 12 | 16 | 13 | 22 | 9 | 14 |
Scenario Percentage | 74% | 77% | 88% | 73% | 83% | 75% | 76% | 87% | 92% | 82% | 54% |
Avg Max Increase | 8.31% | 10.38% | 7.48% | 7.52% | 11.46% | 12.65% | 9.31% | 9.01% | 8.22% | 9.59% | 4.50% |
Max Increase | 29.22% | 24.55% | 19.08% | 25.45% | 46.98% | 33.60% | 33.21% | 19.37% | 16.97% | 15.99% | 9.68% |
Avg Days To Max Increase | 22 | 22 | 18 | 17 | 17 | 19 | 18 | 13 | 17 | 14 | 8 |
Avg Max Decline | -2.67% | -1.81% | -1.59% | -1.95% | -2.60% | -1.97% | -4.00% | -2.52% | -2.55% | -1.80% | -0.77% |
Max Decline | -6.89% | -6.79% | -8.67% | -7.43% | -8.24% | -6.28% | -6.72% | -8.87% | -10.12% | -4.42% | -2.09% |
Avg Days to Max Decline | 17 | 7 | 8 | 9 | 14 | 8 | 14 | 9 | 7 | 6 | 1 |
2006 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | Yes | Yes |
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