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| MRCI's ScenarioSM Study |
| ScenarioSM Study for April Lean Hogs(CME) as of Sep 07, 2010 |
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 |
36 |
39 |
40 |
40 |
40 |
41 |
41 |
41 |
41 |
41 |
41 |
| Closed Higher |
18 |
17 |
21 |
14 |
22 |
23 |
28 |
19 |
24 |
15 |
20 |
| Exceeded High |
15 |
8 |
16 |
12 |
18 |
20 |
24 |
14 |
19 |
12 |
12 |
| Scenario Percentage |
83% |
47% |
76% |
86% |
82% |
87% |
86% |
74% |
79% |
80% |
60% |
| Avg Max Increase |
10.40% |
15.09% |
8.53% |
7.57% |
8.19% |
9.08% |
6.98% |
9.93% |
9.32% |
9.53% |
6.40% |
| 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 |
-2.09% |
-1.19% |
-3.52% |
-2.29% |
-2.15% |
-1.52% |
-3.32% |
-1.79% |
-2.30% |
-1.86% |
-0.83% |
| Max Decline |
-7.98% |
-8.14% |
-7.46% |
-4.33% |
-5.29% |
-7.71% |
-8.74% |
-3.97% |
-8.38% |
-4.81% |
-1.86% |
| Avg Days to Max Decline |
8 |
10 |
10 |
8 |
10 |
11 |
10 |
8 |
8 |
7 |
2 |
| 2010 Contract Condition |
Yes |
|
|
|
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
| Action |
No |
|
|
|
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 |
36 |
39 |
40 |
40 |
40 |
41 |
41 |
41 |
41 |
41 |
41 |
| Closed Lower |
18 |
22 |
19 |
25 |
17 |
18 |
13 |
21 |
17 |
26 |
21 |
| Penetrated Low |
16 |
15 |
17 |
15 |
15 |
14 |
10 |
13 |
14 |
20 |
14 |
| Scenario Percentage |
89% |
68% |
89% |
60% |
88% |
78% |
77% |
62% |
82% |
77% |
67% |
| Avg Max Decline |
10.10% |
9.78% |
7.09% |
7.58% |
6.85% |
4.97% |
8.18% |
9.06% |
10.03% |
9.73% |
10.06% |
| Max Decline |
23.15% |
18.77% |
17.37% |
18.94% |
19.03% |
10.59% |
20.97% |
17.21% |
24.52% |
32.35% |
24.07% |
| Avg Days To Max Decline |
19 |
16 |
15 |
16 |
16 |
19 |
13 |
17 |
21 |
9 |
6 |
| Avg Max Increase |
-2.47% |
-1.70% |
-1.84% |
-2.50% |
-3.12% |
-4.32% |
-1.58% |
-3.08% |
-1.79% |
-1.16% |
-1.45% |
| Max Increase |
-8.70% |
-6.77% |
-7.07% |
-11.23% |
-7.40% |
-15.59% |
-4.46% |
-6.32% |
-5.17% |
-3.20% |
-6.74% |
| Avg Days to Max Increase |
8 |
7 |
6 |
9 |
10 |
15 |
3 |
11 |
14 |
3 |
3 |
| 2010 Contract Condition |
|
Yes |
Yes |
Yes |
|
|
|
Yes |
Yes |
|
|
| Action |
|
Yes |
Yes |
No |
|
|
|
Yes |
Yes |
|
|
| High |
72.500 |
72.200 |
68.150 |
63.250 |
64.050 |
66.900 |
71.135 |
71.600 |
74.300 |
72.950 |
74.150 |
| Low |
69.100 |
64.450 |
61.000 |
53.880 |
58.235 |
60.000 |
65.600 |
68.030 |
68.300 |
65.650 |
69.300 |
| Close/Last |
70.500 |
65.450 |
62.800 |
58.235 |
61.900 |
66.800 |
70.550 |
69.885 |
68.600 |
72.800 |
73.335 |
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