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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April Lean Hogs(CME) as of Dec 30, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   37 40 41 41 41 42 42 42 42 42 42
Closed Higher   18 18 22 14 23 23 29 20 25 15 21
Exceeded High   15 9 17 12 18 20 25 15 20 12 13
Scenario Percentage   83% 50% 77% 86% 78% 87% 86% 75% 80% 80% 62%
Avg Max Increase   10.40% 13.83% 8.43% 7.57% 8.19% 9.08% 7.43% 10.15% 8.90% 9.53% 5.96%
Max Increase   48.25% 35.05% 22.84% 13.01% 15.01% 19.24% 22.86% 28.25% 26.30% 16.23% 11.09%
Avg Days To Max Increase   22 17 17 14 22 19 18 19 15 13 9
Avg Max Decline   -2.09% -1.36% -3.48% -2.29% -2.15% -1.52% -3.27% -1.86% -2.37% -1.86% -0.85%
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 9 9 8 10 11 10 8 7 7 2
2011 Contract Condition     Yes Yes   Yes   Yes Yes Yes   Yes
Action     Yes Yes   No   Yes Yes Yes   Yes
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   37 40 41 41 41 42 42 42 42 42 42
Closed Lower   19 22 19 26 17 19 13 21 17 27 21
Penetrated Low   17 15 17 15 15 15 10 13 14 21 12
Scenario Percentage   89% 68% 89% 58% 88% 79% 77% 62% 82% 78% 57%
Avg Max Decline   9.73% 9.79% 7.09% 7.58% 6.85% 4.68% 8.18% 9.05% 10.03% 9.52% 5.13%
Max Decline   23.15% 18.78% 17.37% 18.93% 19.03% 10.59% 20.97% 17.21% 24.53% 32.35% 21.30%
Avg Days To Max Decline   18 16 15 16 16 18 13 17 21 9 6
Avg Max Increase   -2.41% -1.70% -1.84% -2.50% -3.12% -4.07% -1.58% -3.08% -1.79% -1.20% -0.88%
Max Increase   -8.70% -6.77% -7.07% -11.23% -7.40% -15.59% -4.46% -6.33% -5.17% -3.20% -2.51%
Avg Days to Max Increase   8 7 6 9 10 14 3 11 14 3 2
2011 Contract Condition   Yes     Yes   Yes       Yes  
Action   Yes     No   Yes       Yes  
High 75.675 75.375 75.750 77.300 78.575 82.350 80.725 81.825 83.950 94.550 95.000 94.175
Low 73.000 70.200 70.000 73.700 74.900 76.050 75.700 75.525 78.325 81.500 88.600 84.075
Close/Last 75.500 72.700 75.725 77.100 76.925 79.550 75.950 79.950 83.875 94.000 88.800 93.725

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