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MRCI's ScenarioSM Study
ScenarioSM Study for April Lean Hogs(CME) as of May 16, 2003
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 29 32 33 33 33 34 34 34 34 34 34
Closed Higher 13 14 17 10 19 19 23 18 21 13 18
Exceeded High 11 7 13 8 15 17 20 13 16 10 11
Scenario Percentage 85% 50% 76% 80% 79% 89% 87% 72% 76% 77% 61%
Avg Max Increase 12.07% 16.51% 8.53% 7.08% 7.28% 9.68% 7.72% 10.51% 9.89% 9.74% 6.41%
Max Increase 48.25% 35.05% 22.84% 13.01% 13.66% 19.24% 22.86% 28.24% 26.30% 16.23% 11.09%
Avg Days To Max Increase 23 15 17 11 21 21 18 19 15 12 10
Avg Max Decline -2.56% -1.04% -3.98% -2.07% -1.91% -1.57% -3.17% -1.73% -2.38% -1.36% -0.91%
Max Decline -7.98% -8.14% -7.46% -4.33% -5.03% -7.71% -8.74% -3.97% -8.38% -3.71% -1.86%
Avg Days to Max Decline 10 8 10 4 10 12 10 8 8 5 2
2003 Contract Condition   Yes Yes   Yes Yes Yes        
Action   Yes Yes   Yes Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years 29 32 33 33 33 34 34 34 34 34 34
Closed Lower 16 18 16 22 13 15 11 15 13 21 16
Penetrated Low 14 12 15 13 12 12 8 8 10 16 10
Scenario Percentage 88% 67% 94% 59% 92% 80% 73% 53% 77% 76% 63%
Avg Max Decline 11.00% 10.41% 6.06% 6.69% 6.69% 5.13% 8.15% 8.90% 10.73% 9.52% 10.48%
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 16 18 13 19 22 7 4
Avg Max Increase -2.34% -1.61% -1.99% -2.49% -3.16% -4.16% -1.72% -2.87% -1.89% -1.11% -1.18%
Max Increase -8.70% -6.77% -7.07% -11.23% -6.96% -15.59% -4.46% -5.79% -5.17% -2.97% -6.74%
Avg Days to Max Increase 7 8 7 9 11 11 4 9 14 2 3
2003 Contract Condition       Yes       Yes Yes Yes Yes
Action       Yes       Yes Yes Yes Yes
High 41.500 45.000 49.250 51.500 52.175 53.500 59.300 60.475 60.150 56.700 54.550
Low 40.000 40.900 45.150 47.650 47.500 50.000 53.200 55.750 54.450 51.500 49.425
Close/Last 41.500 44.900 49.200 48.650 52.175 53.450 58.975 57.725 56.850 54.550 50.325