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| ScenarioSM Study for July 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 | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun |
| Tested Years | 28 | 35 | 35 | 35 | 35 | 35 | 35 | 35 | 35 | 35 | 35 | |
| Closed Higher | 12 | 20 | 18 | 20 | 13 | 22 | 11 | 20 | 17 | 11 | 14 | |
| Exceeded High | 8 | 15 | 14 | 14 | 12 | 14 | 10 | 14 | 14 | 9 | 11 | |
| Scenario Percentage | 67% | 75% | 78% | 70% | 92% | 64% | 91% | 70% | 82% | 82% | 79% | |
| Avg Max Increase | 13.03% | 11.09% | 11.55% | 9.45% | 11.59% | 11.10% | 18.35% | 15.74% | 11.88% | 13.06% | 14.36% | |
| 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 | 20 | 19 | 15 | 12 | 17 | 19 | 23 | 14 | 15 | 10 | 20 | |
| Avg Max Decline | -2.34% | -2.93% | -2.17% | -2.62% | -2.98% | -4.28% | -3.25% | -2.32% | -3.44% | -2.21% | -2.47% | |
| Max Decline | -7.52% | -8.78% | -4.61% | -6.85% | -10.69% | -10.55% | -12.88% | -5.90% | -14.57% | -7.29% | -11.63% | |
| Avg Days to Max Decline | 9 | 11 | 6 | 6 | 12 | 10 | 6 | 3 | 8 | 3 | 4 | |
| 2009 Contract Condition | ||||||||||||
| Action | ||||||||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
