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ScenarioSM Study for February Pork Bellies(CME) as of Dec 31, 1999 | ||||||||||||
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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 | Feb | Feb | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan |
Tested Years | 20 | 29 | 32 | 34 | 34 | 34 | 34 | 34 | 34 | 34 | 34 | |
Closed Higher | 14 | 13 | 15 | 13 | 20 | 15 | 18 | 16 | 19 | 13 | 19 | |
Exceeded High | 9 | 10 | 10 | 11 | 18 | 12 | 16 | 13 | 14 | 11 | 10 | |
Scenario Percentage | 64% | 77% | 67% | 85% | 90% | 80% | 89% | 81% | 74% | 85% | 53% | |
Avg Max Increase | 6.31% | 9.91% | 13.26% | 17.86% | 11.88% | 10.88% | 11.98% | 12.88% | 10.67% | 11.02% | 7.30% | |
Max Increase | 9.95% | 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 | 16 | 17 | 18 | 18 | 15 | 13 | 19 | 16 | 14 | 14 | 9 | |
Avg Max Decline | -1.66% | -2.47% | -2.94% | -1.98% | -3.72% | -2.19% | -4.04% | -2.78% | -3.79% | -4.15% | -1.74% | |
Max Decline | -3.94% | -6.25% | -6.37% | -11.79% | -19.46% | -4.69% | -16.42% | -7.24% | -11.46% | -11.63% | -4.13% | |
Avg Days to Max Decline | 8 | 8 | 9 | 9 | 9 | 7 | 11 | 8 | 7 | 10 | 2 | |
2009 Contract Condition | ||||||||||||
Action |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.