|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for April 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 |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
| Tested Years |
34 |
37 |
38 |
38 |
38 |
39 |
39 |
39 |
39 |
39 |
39 |
| Closed Higher |
16 |
16 |
21 |
14 |
21 |
22 |
26 |
19 |
24 |
14 |
19 |
| Exceeded High |
14 |
8 |
16 |
12 |
17 |
19 |
23 |
14 |
19 |
11 |
11 |
| Scenario Percentage |
88% |
50% |
76% |
86% |
81% |
86% |
88% |
74% |
79% |
79% |
58% |
| Avg Max Increase |
10.41% |
15.09% |
8.53% |
7.57% |
7.80% |
9.18% |
7.05% |
9.93% |
9.32% |
9.75% |
6.41% |
| 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 |
22 |
17 |
17 |
14 |
22 |
19 |
17 |
19 |
15 |
13 |
10 |
| Avg Max Decline |
-2.03% |
-1.19% |
-3.52% |
-2.29% |
-2.10% |
-1.51% |
-3.31% |
-1.79% |
-2.30% |
-1.59% |
-0.91% |
| 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 |
8 |
10 |
10 |
8 |
11 |
10 |
9 |
8 |
8 |
5 |
2 |
| 2008 Contract Condition |
|
|
Yes |
|
|
|
Yes |
|
Yes |
|
|
| Action |
|
|
No |
|
|
|
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 |
34 |
37 |
38 |
38 |
38 |
39 |
39 |
39 |
39 |
39 |
39 |
| Closed Lower |
18 |
21 |
17 |
23 |
16 |
17 |
13 |
19 |
15 |
25 |
20 |
| Penetrated Low |
16 |
14 |
15 |
14 |
14 |
13 |
10 |
11 |
12 |
20 |
13 |
| Scenario Percentage |
89% |
67% |
88% |
61% |
88% |
76% |
77% |
58% |
80% |
80% |
65% |
| Avg Max Decline |
10.10% |
9.22% |
6.06% |
6.91% |
6.55% |
4.96% |
8.18% |
8.59% |
10.54% |
9.73% |
10.52% |
| 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 |
19 |
16 |
15 |
16 |
16 |
19 |
13 |
18 |
23 |
9 |
6 |
| Avg Max Increase |
-2.47% |
-1.53% |
-1.99% |
-2.56% |
-3.31% |
-4.27% |
-1.58% |
-2.66% |
-1.95% |
-1.16% |
-1.51% |
| Max Increase |
-8.70% |
-6.77% |
-7.07% |
-11.23% |
-7.40% |
-15.59% |
-4.46% |
-6.12% |
-5.17% |
-3.20% |
-6.74% |
| Avg Days to Max Increase |
8 |
7 |
7 |
9 |
11 |
14 |
3 |
11 |
16 |
3 |
3 |
| 2008 Contract Condition |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
| Action |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
|
Yes |
Not Yet |
| High |
70.475 |
71.700 |
74.250 |
73.030 |
73.300 |
70.350 |
68.100 |
68.350 |
66.700 |
67.650 |
60.000 |
| Low |
67.350 |
66.800 |
66.550 |
66.650 |
68.900 |
63.900 |
63.850 |
62.900 |
60.900 |
59.600 |
54.125 |
| Close/Last |
68.800 |
67.050 |
73.430 |
70.800 |
69.635 |
64.750 |
67.500 |
63.750 |
66.450 |
59.950 |
57.075 |
|
|
