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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Eurodollars(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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 25 25 26 26 26 26 26 26 26 26 26
Closed Higher 15 14 7 15 13 19 16 19 18 17 12
Exceeded High 9 13 6 12 12 15 16 18 16 10 7
Scenario Percentage 60% 93% 86% 80% 92% 79% 100% 95% 89% 59% 58%
Avg Max Increase 0.53% 0.42% 0.76% 0.85% 0.67% 0.71% 0.68% 0.82% 0.59% 0.44% 0.29%
Max Increase 1.06% 1.55% 2.37% 2.50% 1.43% 2.29% 2.72% 4.42% 2.88% 1.47% 0.74%
Avg Days To Max Increase 13 16 19 16 20 15 15 16 14 9 9
Avg Max Decline -0.17% -0.32% -0.17% -0.11% -0.12% -0.09% -0.10% -0.15% -0.13% -0.12% -0.02%
Max Decline -0.39% -0.96% -0.40% -0.47% -0.60% -0.39% -0.34% -0.76% -0.45% -0.60% -0.11%
Avg Days to Max Decline 5 11 6 5 5 7 6 5 7 9 2
2007 Contract Condition   Yes       Yes Yes Yes Yes Yes  
Action   Yes       Yes Yes No Yes Not Yet  
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 25 25 26 26 26 26 26 26 26 26 26
Closed Lower 9 11 19 11 13 7 8 7 8 8 13
Penetrated Low 7 11 12 10 9 4 6 3 5 5 12
Scenario Percentage 78% 100% 63% 91% 69% 57% 75% 43% 62% 62% 92%
Avg Max Decline 0.46% 0.72% 0.82% 0.69% 0.33% 0.23% 0.29% 0.89% 0.50% 0.29% 1.59%
Max Decline 0.77% 1.89% 2.63% 2.22% 0.90% 0.41% 0.63% 2.09% 1.37% 0.68% 5.76%
Avg Days To Max Decline 19 18 18 17 15 8 14 21 21 12 9
Avg Max Increase -0.15% -0.12% -0.13% -0.05% -0.19% -0.12% -0.14% -0.19% -0.11% -0.05% -0.12%
Max Increase -0.41% -0.33% -0.41% -0.14% -0.66% -0.21% -0.44% -0.39% -0.25% -0.17% -0.71%
Avg Days to Max Increase 6 7 5 4 5 9 8 8 13 4 4
2007 Contract Condition Yes   Yes Yes Yes           Yes
Action No   Yes Yes Yes           Yes
High 95.220 95.285 95.295 95.145 95.015 94.770 94.940 95.405 95.365 95.400 95.305
Low 94.745 94.795 95.050 94.860 94.685 94.560 94.630 94.830 94.965 94.930 95.052
Close/Last 94.835 95.150 95.125 94.990 94.710 94.715 94.905 95.065 95.155 95.250 95.155

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Newsflash

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What’s Included

  • 15+ years of historical lean hog seasonal charts

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MRCI has specialized in seasonal market analysis for agricultural and financial futures for over 40 years!