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ScenarioSM Study for May Pork Bellies(CME) as of Jan 01, 2008 | ||||||||||||
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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 | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr |
Tested Years | 29 | 39 | 42 | 43 | 43 | 43 | 43 | 43 | 43 | 43 | 43 | |
Closed Higher | 12 | 20 | 20 | 25 | 19 | 25 | 17 | 27 | 18 | 27 | 23 | |
Exceeded High | 9 | 20 | 16 | 17 | 16 | 18 | 17 | 16 | 17 | 22 | 11 | |
Scenario Percentage | 75% | 100% | 80% | 68% | 84% | 72% | 100% | 59% | 94% | 81% | 48% | |
Avg Max Increase | 17.76% | 10.67% | 10.85% | 12.19% | 11.58% | 10.00% | 12.24% | 14.58% | 14.64% | 13.44% | 8.93% | |
Max Increase | 38.71% | 23.61% | 26.30% | 30.37% | 32.68% | 32.54% | 29.93% | 39.45% | 39.22% | 37.39% | 15.16% | |
Avg Days To Max Increase | 23 | 15 | 16 | 18 | 17 | 13 | 18 | 19 | 19 | 13 | 12 | |
Avg Max Decline | -3.27% | -4.74% | -1.86% | -2.35% | -2.31% | -3.17% | -3.83% | -3.04% | -2.63% | -3.61% | -0.95% | |
Max Decline | -11.43% | -18.84% | -9.98% | -7.85% | -6.07% | -7.93% | -11.15% | -8.16% | -13.46% | -11.14% | -4.23% | |
Avg Days to Max Decline | 13 | 11 | 6 | 10 | 7 | 5 | 14 | 8 | 6 | 7 | 2 | |
2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | Yes | Not Yet |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.