|
ScenarioSM Study for February Pork Bellies(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 | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan |
Tested Years | 25 | 36 | 41 | 43 | 43 | 43 | 43 | 43 | 43 | 43 | 43 | |
Closed Higher | 18 | 15 | 18 | 17 | 24 | 18 | 25 | 19 | 26 | 18 | 23 | |
Exceeded High | 10 | 12 | 12 | 15 | 22 | 15 | 21 | 15 | 19 | 16 | 14 | |
Scenario Percentage | 56% | 80% | 67% | 88% | 92% | 83% | 84% | 79% | 73% | 89% | 61% | |
Avg Max Increase | 7.27% | 9.33% | 12.57% | 14.95% | 11.67% | 10.72% | 12.03% | 12.10% | 10.18% | 11.42% | 7.49% | |
Max Increase | 15.87% | 23.64% | 41.19% | 37.55% | 23.57% | 26.36% | 36.65% | 36.59% | 37.19% | 24.54% | 16.22% | |
Avg Days To Max Increase | 15 | 17 | 16 | 18 | 16 | 13 | 19 | 17 | 13 | 15 | 12 | |
Avg Max Decline | -1.49% | -2.06% | -2.99% | -1.90% | -4.11% | -2.50% | -4.13% | -2.93% | -4.00% | -4.03% | -2.11% | |
Max Decline | -3.94% | -6.25% | -6.37% | -11.79% | -19.46% | -10.64% | -16.42% | -7.24% | -11.46% | -11.63% | -4.13% | |
Avg Days to Max Decline | 8 | 8 | 8 | 11 | 10 | 7 | 10 | 7 | 6 | 10 | 4 | |
2008 Contract Condition | Yes | Yes | Yes | |||||||||
Action | Yes | No | Yes |
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