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MRCI's ScenarioSM Study
ScenarioSM Study for April Lean Hogs(CME) as of May 28, 2004
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 30 33 34 34 34 35 35 35 35 35 35
Closed Higher 14 14 17 11 19 20 23 18 22 14 19
Exceeded High 12 7 13 9 15 17 20 13 17 11 11
Scenario Percentage 86% 50% 76% 82% 79% 85% 87% 72% 77% 79% 58%
Avg Max Increase 11.11% 16.51% 8.53% 6.96% 7.28% 9.68% 7.72% 10.51% 10.20% 9.75% 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 21 15 17 11 21 21 18 19 16 13 10
Avg Max Decline -2.40% -1.04% -3.98% -2.13% -1.91% -1.57% -3.17% -1.73% -2.38% -1.59% -0.91%
Max Decline -7.98% -8.14% -7.46% -4.33% -5.03% -7.71% -8.74% -3.97% -8.38% -3.91% -1.86%
Avg Days to Max Decline 10 8 10 7 10 12 10 8 8 5 2
2004 Contract Condition Yes     Yes   Yes     Yes Yes Yes
Action Yes     Yes   No     Yes Yes Not Yet
Copyright © 2003 Moore Research Center, Inc. All Rights Reserved.
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 30 33 34 34 34 35 35 35 35 35 35
Closed Lower 16 19 17 22 14 15 12 16 13 21 16
Penetrated Low 14 13 15 13 13 12 9 8 10 16 10
Scenario Percentage 88% 68% 88% 59% 93% 80% 75% 50% 77% 76% 63%
Avg Max Decline 11.00% 9.87% 6.06% 6.69% 6.42% 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 17 18 13 19 22 7 4
Avg Max Increase -2.34% -1.65% -1.99% -2.49% -3.48% -4.16% -1.76% -2.87% -1.89% -1.11% -1.18%
Max Increase -8.70% -6.77% -7.07% -11.23% -7.40% -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
2004 Contract Condition   Yes Yes   Yes   Yes Yes      
Action   Yes No   Yes   Yes No      
High 60.200 60.500 60.250 58.950 60.400 62.400 61.475 59.475 59.400 62.275 68.150
Low 58.400 57.750 57.000 57.000 57.350 57.025 56.250 53.550 55.150 57.850 59.600
Close/Last 60.200 59.000 57.300 58.875 58.100 59.825 58.275 54.900 59.200 62.025 66.650