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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February Lean Hogs(CME) as of Jan 01, 2010
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 36 38 38 39 40 40 40 40 40 40 40
Closed Higher 21 26 20 19 24 17 25 20 30 13 22
Exceeded High 18 20 16 13 18 13 21 16 24 8 17
Scenario Percentage 86% 77% 80% 68% 75% 76% 84% 80% 80% 62% 77%
Avg Max Increase 6.77% 6.57% 9.57% 11.70% 8.07% 9.77% 8.74% 9.34% 7.69% 10.04% 4.73%
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 16 16 21 19 16 18 19 16 16 17 8
Avg Max Decline -1.34% -1.81% -3.07% -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 10 11 8 9 9 8 8 8 4 2
2009 Contract Condition   Yes Yes Yes Yes       Yes    
Action   Yes Yes No No       No    
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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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years 36 38 38 39 40 40 40 40 40 40 40
Closed Lower 14 12 17 20 16 23 15 19 10 27 17
Penetrated Low 8 10 15 15 14 13 13 14 9 16 13
Scenario Percentage 57% 83% 88% 75% 88% 57% 87% 74% 90% 59% 76%
Avg Max Decline 11.07% 7.84% 11.00% 9.03% 6.28% 9.88% 8.54% 5.30% 9.49% 7.70% 11.46%
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 17 18 10 13
Avg Max Increase -1.74% -2.37% -2.68% -1.62% -2.37% -2.52% -2.78% -4.03% -2.72% -2.51% -1.52%
Max Increase -3.77% -6.91% -6.74% -7.73% -6.59% -7.87% -6.78% -13.93% -9.20% -10.11% -4.83%
Avg Days to Max Increase 11 11 9 10 7 8 13 16 7 6 3
2009 Contract Condition Yes         Yes Yes Yes   Yes Yes
Action No         Yes Yes Yes   Yes Not Yet
High 81.250 82.600 83.000 85.450 84.525 83.000 77.400 71.125 67.100 66.850 65.300
Low 71.700 72.900 77.800 77.400 79.000 74.700 69.700 62.100 60.500 58.850 55.550
Close/Last 73.675 79.650 80.175 81.400 82.600 75.950 70.650 62.975 67.025 60.875 58.550

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