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ScenarioSM Study for December Lean Hogs(CME) as of Jan 01, 2014 | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
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 | 42 | 43 | 44 | 44 | 44 | 44 | 44 | 44 | 45 | 45 | 45 | |
Closed Higher | 28 | 17 | 26 | 25 | 22 | 20 | 25 | 16 | 29 | 14 | 32 | |
Exceeded High | 21 | 13 | 23 | 17 | 18 | 16 | 19 | 14 | 26 | 11 | 15 | |
Scenario Percentage | 75% | 76% | 88% | 68% | 82% | 80% | 76% | 88% | 90% | 79% | 47% | |
Avg Max Increase | 7.88% | 9.51% | 7.19% | 7.45% | 10.26% | 10.65% | 8.22% | 9.01% | 8.75% | 9.69% | 4.44% | |
Max Increase | 29.22% | 24.56% | 19.08% | 25.45% | 46.99% | 33.60% | 33.21% | 19.37% | 21.17% | 15.99% | 9.44% | |
Avg Days To Max Increase | 20 | 19 | 18 | 17 | 17 | 17 | 16 | 14 | 18 | 12 | 7 | |
Avg Max Decline | -2.25% | -2.23% | -1.53% | -1.95% | -2.55% | -1.86% | -3.80% | -2.36% | -2.44% | -2.05% | -0.65% | |
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 | 14 | 9 | 7 | 8 | 13 | 8 | 12 | 9 | 6 | 6 | 1 | |
2013 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | No | Yes | Yes | Yes | Yes | Not Yet |
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