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ScenarioSM Study for July Lean Hogs(CME) as of Nov 09, 2020 | ||||||||||||
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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 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 21 | 26 | 29 | 33 | 22 | 30 | 23 | 24 | 29 | 20 | 20 | |
Exceeded High | 18 | 22 | 24 | 26 | 20 | 26 | 19 | 22 | 22 | 14 | 13 | |
Scenario Percentage | 86% | 85% | 83% | 79% | 91% | 87% | 83% | 92% | 76% | 70% | 65% | |
Avg Max Increase | 5.79% | 6.36% | 6.08% | 5.48% | 6.74% | 7.55% | 10.51% | 9.00% | 8.85% | 8.54% | 3.90% | |
Max Increase | 10.46% | 13.33% | 17.72% | 19.47% | 17.79% | 24.71% | 30.88% | 20.93% | 30.49% | 30.02% | 10.69% | |
Avg Days To Max Increase | 16 | 23 | 20 | 18 | 15 | 19 | 17 | 16 | 17 | 6 | 8 | |
Avg Max Decline | -1.81% | -1.60% | -1.82% | -2.82% | -1.33% | -2.16% | -1.90% | -1.82% | -2.47% | -1.67% | -1.05% | |
Max Decline | -4.74% | -3.97% | -5.05% | -8.98% | -5.15% | -7.89% | -5.54% | -7.21% | -7.13% | -5.05% | -4.18% | |
Avg Days to Max Decline | 11 | 11 | 9 | 13 | 7 | 11 | 7 | 8 | 14 | 4 | 2 | |
2020 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | No | No | No |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.