|
ScenarioSM Study for July Pork Bellies(CME) as of Jan 01, 2008 | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | ||||||||||||
Tested Month | Feb | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun |
Tested Years | 32 | 41 | 43 | 43 | 43 | 43 | 43 | 43 | 43 | 43 | 43 | |
Closed Higher | 14 | 24 | 22 | 26 | 16 | 27 | 18 | 25 | 21 | 13 | 18 | |
Exceeded High | 10 | 18 | 16 | 18 | 15 | 18 | 17 | 18 | 16 | 11 | 13 | |
Scenario Percentage | 71% | 75% | 73% | 69% | 94% | 67% | 94% | 72% | 76% | 85% | 72% | |
Avg Max Increase | 11.79% | 10.61% | 10.99% | 9.12% | 11.57% | 13.01% | 14.13% | 13.60% | 11.86% | 10.41% | 13.87% | |
Max Increase | 27.71% | 27.69% | 30.54% | 29.32% | 31.18% | 39.32% | 40.78% | 35.18% | 41.09% | 36.57% | 35.03% | |
Avg Days To Max Increase | 18 | 19 | 16 | 14 | 18 | 20 | 19 | 14 | 16 | 11 | 20 | |
Avg Max Decline | -1.89% | -2.95% | -2.04% | -3.18% | -3.31% | -3.71% | -2.73% | -2.80% | -3.68% | -2.97% | -2.44% | |
Max Decline | -7.52% | -8.78% | -4.61% | -7.06% | -10.69% | -10.55% | -12.88% | -8.44% | -14.57% | -7.74% | -11.63% | |
Avg Days to Max Decline | 8 | 10 | 7 | 7 | 11 | 9 | 6 | 4 | 11 | 5 | 5 | |
2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | Yes | No |
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