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MRCI's ScenarioSM Study
ScenarioSM Study for February Lean Hogs(CME) as of May 07, 2004
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years 31 33 33 34 35 35 35 35 35 35 35
Closed Higher 19 21 17 16 19 14 23 18 26 13 20
Exceeded High 16 16 13 11 14 10 19 14 21 8 15
Scenario Percentage 84% 76% 76% 69% 74% 71% 83% 78% 81% 62% 75%
Avg Max Increase 7.34% 7.08% 10.25% 12.61% 8.20% 10.09% 8.65% 10.34% 8.56% 10.04% 4.90%
Max Increase 20.61% 24.73% 44.63% 33.46% 25.43% 15.91% 16.85% 21.15% 24.91% 17.40% 12.01%
Avg Days To Max Increase 17 16 20 19 17 17 19 17 18 17 8
Avg Max Decline -1.18% -1.83% -3.46% -1.57% -3.97% -2.15% -2.27% -2.08% -3.05% -2.45% -0.56%
Max Decline -6.86% -6.80% -13.45% -5.74% -7.59% -5.21% -7.32% -10.34% -7.69% -5.97% -2.10%
Avg Days to Max Decline 6 8 13 6 10 9 8 7 9 4 2
2004 Contract Condition Yes   Yes     Yes Yes Yes     Yes
Action Yes   Yes     Yes Yes No     Yes
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Some data provided by Prophetfinance.com
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years 31 33 33 34 35 35 35 35 35 35 35
Closed Lower 11 12 15 18 16 21 12 16 9 22 14
Penetrated Low 7 10 13 14 14 11 11 12 8 11 11
Scenario Percentage 64% 83% 87% 78% 88% 52% 92% 75% 89% 50% 79%
Avg Max Decline 12.06% 7.84% 11.80% 9.58% 6.28% 8.74% 7.48% 5.11% 9.51% 6.73% 10.50%
Max Decline 31.51% 27.41% 27.67% 17.77% 16.81% 20.45% 17.50% 9.50% 28.71% 13.85% 30.56%
Avg Days To Max Decline 17 17 20 18 14 16 15 15 20 10 14
Avg Max Increase -1.45% -2.37% -2.82% -1.76% -2.37% -2.46% -3.28% -3.73% -3.02% -2.93% -1.37%
Max Increase -3.74% -6.91% -6.74% -7.73% -6.59% -7.87% -6.78% -13.93% -9.20% -10.11% -4.17%
Avg Days to Max Increase 11 11 9 11 7 8 14 13 8 6 2
2004 Contract Condition   Yes   Yes Yes       Yes Yes  
Action   No   Yes Yes       Yes Not Yet  
High 56.750 56.650 58.900 59.150 58.950 55.600 60.000 63.000 59.925 57.000 57.600
Low 55.000 54.400 55.600 56.750 54.050 53.500 55.600 54.900 52.750 50.750 51.750
Close/Last 56.750 56.300 58.900 57.800 54.300 55.600 56.475 58.500 55.200 53.425 57.350