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| MRCI's ScenarioSM Study |
| ScenarioSM Study for April Lean Hogs(CME) as of Jul 14, 2005 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
| Tested Years |
31 |
34 |
35 |
35 |
35 |
36 |
36 |
36 |
36 |
36 |
36 |
| Closed Higher |
15 |
15 |
18 |
12 |
20 |
20 |
24 |
19 |
22 |
14 |
19 |
| Exceeded High |
13 |
7 |
14 |
10 |
16 |
17 |
21 |
14 |
17 |
11 |
10 |
| Scenario Percentage |
87% |
47% |
78% |
83% |
80% |
85% |
88% |
74% |
77% |
79% |
53% |
| Avg Max Increase |
10.63% |
16.51% |
8.63% |
7.11% |
7.76% |
9.68% |
7.62% |
9.93% |
10.20% |
9.71% |
6.08% |
| Max Increase |
48.25% |
35.05% |
22.84% |
13.01% |
15.01% |
19.24% |
22.86% |
28.24% |
26.30% |
16.23% |
11.09% |
| Avg Days To Max Increase |
21 |
15 |
17 |
13 |
21 |
21 |
18 |
19 |
16 |
13 |
8 |
| Avg Max Decline |
-2.19% |
-1.04% |
-3.83% |
-2.13% |
-2.12% |
-1.57% |
-3.39% |
-1.79% |
-2.38% |
-1.53% |
-0.95% |
| Max Decline |
-7.98% |
-8.14% |
-7.46% |
-4.33% |
-5.29% |
-7.71% |
-8.74% |
-3.97% |
-8.38% |
-3.91% |
-1.86% |
| Avg Days to Max Decline |
9 |
8 |
10 |
7 |
10 |
12 |
10 |
8 |
8 |
3 |
2 |
| 2002 Contract Condition |
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
Yes |
|
|
| Action |
Yes |
Yes |
Yes |
Yes |
|
Yes |
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 |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
| Tested Years |
31 |
34 |
35 |
35 |
35 |
36 |
36 |
36 |
36 |
36 |
36 |
| Closed Lower |
16 |
19 |
17 |
22 |
14 |
16 |
12 |
16 |
14 |
22 |
17 |
| Penetrated Low |
14 |
13 |
15 |
13 |
13 |
12 |
9 |
8 |
11 |
17 |
11 |
| Scenario Percentage |
88% |
68% |
88% |
59% |
93% |
75% |
75% |
50% |
79% |
77% |
65% |
| Avg Max Decline |
11.00% |
9.87% |
6.06% |
6.69% |
6.42% |
5.13% |
8.15% |
8.90% |
10.66% |
9.59% |
11.08% |
| Max Decline |
23.15% |
18.77% |
17.37% |
18.94% |
19.03% |
10.59% |
20.97% |
15.56% |
24.52% |
32.35% |
24.07% |
| Avg Days To Max Decline |
20 |
17 |
15 |
15 |
17 |
18 |
13 |
19 |
23 |
7 |
5 |
| Avg Max Increase |
-2.34% |
-1.65% |
-1.99% |
-2.49% |
-3.48% |
-4.16% |
-1.76% |
-2.87% |
-1.85% |
-1.24% |
-1.22% |
| Max Increase |
-8.70% |
-6.77% |
-7.07% |
-11.23% |
-7.40% |
-15.59% |
-4.46% |
-5.79% |
-5.17% |
-3.20% |
-5.86% |
| Avg Days to Max Increase |
7 |
8 |
7 |
9 |
11 |
11 |
4 |
9 |
15 |
2 |
3 |
| 2002 Contract Condition |
|
|
|
|
Yes |
|
|
|
|
Yes |
Yes |
| Action |
|
|
|
|
Yes |
|
|
|
|
Yes |
Yes |
| High |
52.900 |
55.125 |
57.700 |
58.225 |
58.700 |
57.125 |
58.500 |
60.100 |
61.900 |
62.800 |
60.300 |
| Low |
50.550 |
52.250 |
55.500 |
55.500 |
55.000 |
51.750 |
53.800 |
55.100 |
59.100 |
58.400 |
51.550 |
| Close/Last |
52.100 |
54.950 |
57.225 |
57.500 |
55.125 |
55.250 |
58.475 |
60.050 |
60.900 |
60.350 |
51.875 |
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