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ScenarioSM Study for December Lean Hogs(CME) as of Jan 01, 2009 | ||||||||||||
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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 | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
Tested Years | 37 | 38 | 39 | 39 | 39 | 39 | 39 | 39 | 40 | 40 | 40 | |
Closed Higher | 25 | 14 | 24 | 24 | 19 | 16 | 23 | 15 | 24 | 11 | 28 | |
Exceeded High | 19 | 11 | 21 | 17 | 16 | 12 | 18 | 13 | 22 | 9 | 13 | |
Scenario Percentage | 76% | 79% | 88% | 71% | 84% | 75% | 78% | 87% | 92% | 82% | 46% | |
Avg Max Increase | 8.05% | 9.66% | 7.48% | 7.45% | 11.14% | 12.65% | 8.49% | 9.01% | 8.22% | 9.28% | 3.97% | |
Max Increase | 29.22% | 24.56% | 19.08% | 25.45% | 46.99% | 33.60% | 33.21% | 19.37% | 16.97% | 15.99% | 9.44% | |
Avg Days To Max Increase | 20 | 20 | 18 | 17 | 17 | 19 | 16 | 13 | 17 | 13 | 6 | |
Avg Max Decline | -2.40% | -1.92% | -1.59% | -1.95% | -2.55% | -1.97% | -3.73% | -2.51% | -2.55% | -1.80% | -0.71% | |
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 | 15 | 7 | 8 | 8 | 13 | 8 | 13 | 9 | 7 | 6 | 1 | |
2008 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | Yes | Not Yet |
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