|
ScenarioSM Study for August 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 | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul |
Tested Years | 31 | 43 | 43 | 44 | 44 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 16 | 21 | 27 | 19 | 26 | 18 | 27 | 22 | 16 | 20 | 22 | |
Exceeded High | 10 | 15 | 19 | 16 | 18 | 15 | 21 | 17 | 12 | 17 | 16 | |
Scenario Percentage | 63% | 71% | 70% | 84% | 69% | 83% | 78% | 77% | 75% | 85% | 73% | |
Avg Max Increase | 9.83% | 12.24% | 10.83% | 11.39% | 12.04% | 16.29% | 12.99% | 12.70% | 16.56% | 20.87% | 14.15% | |
Max Increase | 27.59% | 28.41% | 28.69% | 31.88% | 41.46% | 44.62% | 37.26% | 40.28% | 37.78% | 47.90% | 34.81% | |
Avg Days To Max Increase | 20 | 17 | 17 | 19 | 21 | 22 | 15 | 15 | 19 | 16 | 12 | |
Avg Max Decline | -2.98% | -1.57% | -3.04% | -2.85% | -3.34% | -2.45% | -3.09% | -3.82% | -2.96% | -4.42% | -0.72% | |
Max Decline | -6.95% | -4.17% | -7.10% | -10.01% | -10.22% | -12.16% | -10.89% | -12.48% | -7.90% | -19.97% | -11.47% | |
Avg Days to Max Decline | 8 | 6 | 9 | 11 | 11 | 7 | 7 | 8 | 5 | 7 | 3 | |
2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | Yes | No |
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