|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for February Lean Hogs(CME) as of Jan 07, 2009 |
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 |
35 |
37 |
37 |
38 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
| Closed Higher |
21 |
25 |
19 |
18 |
23 |
17 |
25 |
20 |
29 |
13 |
22 |
| Exceeded High |
18 |
19 |
15 |
13 |
18 |
13 |
21 |
16 |
24 |
8 |
17 |
| Scenario Percentage |
86% |
76% |
79% |
72% |
78% |
76% |
84% |
80% |
83% |
62% |
77% |
| Avg Max Increase |
6.77% |
6.53% |
9.77% |
11.70% |
8.07% |
9.77% |
8.74% |
9.34% |
7.69% |
10.18% |
4.85% |
| Max Increase |
20.61% |
24.73% |
44.63% |
33.46% |
25.43% |
15.91% |
16.85% |
21.15% |
24.91% |
17.74% |
12.01% |
| Avg Days To Max Increase |
16 |
16 |
21 |
19 |
16 |
18 |
19 |
16 |
16 |
18 |
9 |
| Avg Max Decline |
-1.34% |
-1.76% |
-3.04% |
-1.48% |
-3.46% |
-2.39% |
-2.36% |
-2.08% |
-2.99% |
-2.45% |
-0.50% |
| 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 |
11 |
8 |
9 |
9 |
8 |
8 |
8 |
4 |
2 |
| 2008 Contract Condition |
|
Yes |
|
|
Yes |
|
|
|
Yes |
|
Yes |
| Action |
|
No |
|
|
Yes |
|
|
|
Yes |
|
Yes |
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 |
35 |
37 |
37 |
38 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
| Closed Lower |
13 |
12 |
17 |
20 |
16 |
22 |
14 |
18 |
10 |
26 |
16 |
| Penetrated Low |
8 |
10 |
15 |
15 |
14 |
12 |
12 |
13 |
9 |
15 |
13 |
| Scenario Percentage |
62% |
83% |
88% |
75% |
88% |
55% |
86% |
72% |
90% |
58% |
81% |
| Avg Max Decline |
11.07% |
7.84% |
11.00% |
9.03% |
6.28% |
9.19% |
8.05% |
5.20% |
9.49% |
7.65% |
11.66% |
| Max Decline |
31.51% |
27.41% |
27.67% |
17.77% |
16.81% |
20.45% |
17.50% |
9.50% |
28.71% |
16.93% |
30.56% |
| Avg Days To Max Decline |
19 |
17 |
19 |
17 |
14 |
17 |
14 |
16 |
18 |
9 |
13 |
| Avg Max Increase |
-1.74% |
-2.37% |
-2.68% |
-1.62% |
-2.37% |
-2.57% |
-2.96% |
-3.83% |
-2.72% |
-2.19% |
-1.57% |
| Max Increase |
-3.79% |
-6.91% |
-6.74% |
-7.73% |
-6.59% |
-7.87% |
-6.78% |
-13.93% |
-9.20% |
-10.11% |
-5.41% |
| Avg Days to Max Increase |
11 |
11 |
9 |
10 |
7 |
9 |
14 |
15 |
7 |
6 |
3 |
| 2008 Contract Condition |
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
|
| Action |
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
|
| High |
72.150 |
70.835 |
68.850 |
69.780 |
73.300 |
73.500 |
72.700 |
67.500 |
63.750 |
63.950 |
58.775 |
| Low |
67.400 |
68.000 |
65.400 |
64.700 |
64.400 |
65.750 |
66.835 |
60.150 |
58.150 |
57.000 |
53.875 |
| Close/Last |
68.250 |
68.850 |
67.135 |
65.200 |
73.150 |
70.050 |
67.900 |
60.850 |
62.300 |
57.880 |
58.475 |
|
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