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ScenarioSM Study for February Pork Bellies(CME) as of Dec 31, 2010 | ||||||||||||
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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 | 27 | 38 | 43 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 19 | 16 | 20 | 17 | 24 | 19 | 27 | 20 | 27 | 19 | 23 | |
Exceeded High | 11 | 13 | 13 | 15 | 22 | 15 | 22 | 16 | 19 | 16 | 14 | |
Scenario Percentage | 58% | 81% | 65% | 88% | 92% | 79% | 81% | 80% | 70% | 84% | 61% | |
Avg Max Increase | 6.94% | 9.20% | 12.12% | 14.95% | 11.67% | 10.72% | 12.04% | 11.53% | 10.18% | 10.89% | 6.98% | |
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 | 16 | 17 | 16 | 18 | 16 | 13 | 19 | 17 | 13 | 13 | 10 | |
Avg Max Decline | -1.26% | -2.03% | -2.81% | -1.90% | -4.11% | -2.50% | -4.24% | -3.36% | -4.00% | -4.03% | -1.81% | |
Max Decline | -3.94% | -6.25% | -6.37% | -11.79% | -19.46% | -10.64% | -16.42% | -9.85% | -11.46% | -11.63% | -4.13% | |
Avg Days to Max Decline | 7 | 7 | 8 | 11 | 10 | 7 | 10 | 9 | 6 | 10 | 2 | |
2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | Yes | Not Yet |
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