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| MRCI's ScenarioSM Study |
| ScenarioSM Study for June Lean Hogs(CME) as of Sep 17, 2001 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
29 |
30 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
| Closed Higher |
14 |
10 |
21 |
17 |
23 |
20 |
23 |
15 |
21 |
20 |
19 |
| Exceeded High |
10 |
9 |
15 |
13 |
19 |
19 |
18 |
14 |
19 |
15 |
7 |
| Scenario Percentage |
71% |
90% |
71% |
76% |
83% |
95% |
78% |
93% |
90% |
75% |
37% |
| Avg Max Increase |
9.23% |
6.50% |
5.80% |
7.79% |
8.29% |
9.00% |
9.34% |
9.73% |
11.13% |
7.70% |
5.26% |
| Max Increase |
20.43% |
9.99% |
10.12% |
18.26% |
21.48% |
29.71% |
25.88% |
19.19% |
23.06% |
17.35% |
8.69% |
| Avg Days To Max Increase |
14 |
12 |
22 |
18 |
18 |
17 |
20 |
18 |
19 |
14 |
12 |
| Avg Max Decline |
-3.50% |
-1.18% |
-1.62% |
-1.80% |
-2.65% |
-1.34% |
-2.76% |
-1.88% |
-1.91% |
-1.27% |
-0.76% |
| Max Decline |
-7.45% |
-2.46% |
-7.01% |
-5.95% |
-8.69% |
-4.80% |
-7.58% |
-6.47% |
-8.16% |
-4.44% |
-2.21% |
| Avg Days to Max Decline |
8 |
5 |
13 |
10 |
9 |
5 |
12 |
9 |
6 |
3 |
2 |
| 2001 Contract Condition |
|
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
Yes |
| Action |
|
|
Yes |
Yes |
Yes |
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 |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
29 |
30 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
| Closed Lower |
15 |
20 |
11 |
15 |
9 |
11 |
9 |
17 |
11 |
12 |
13 |
| Penetrated Low | 13 |
11 |
10 |
11 |
5 |
7 |
6 |
11 |
9 |
10 |
11 |
| Scenario Percentage |
87% |
55% |
91% |
73% |
56% |
64% |
67% |
65% |
82% |
83% |
85% |
| Avg Max Decline |
5.57% |
6.12% |
6.25% |
5.14% |
8.03% |
6.04% |
8.86% |
9.87% |
10.70% |
7.59% |
12.33% |
| Max Decline |
16.03% |
18.42% |
15.95% |
11.76% |
15.50% |
13.32% |
22.26% |
25.20% |
30.00% |
28.53% |
28.40% |
| Avg Days To Max Decline |
16 |
15 |
19 |
16 |
14 |
18 |
20 |
16 |
18 |
13 |
11 |
| Avg Max Increase |
-1.71% |
-2.56% |
-2.40% |
-3.55% |
-2.21% |
-2.95% |
-1.77% |
-1.56% |
-2.79% |
-2.25% |
-1.77% |
| Max Increase |
-5.41% |
-8.88% |
-5.64% |
-11.19% |
-6.86% |
-6.79% |
-6.59% |
-7.24% |
-6.95% |
-5.20% |
-4.70% |
| Avg Days to Max Increase |
10 |
10 |
7 |
8 |
4 |
20 |
14 |
5 |
12 |
6 |
-61 |
| 2001 Contract Condition |
Yes |
Yes |
|
|
|
|
|
|
|
Yes |
|
| Action |
Yes |
No |
|
|
|
|
|
|
|
Yes |
|
| High |
62.450 |
59.950 |
59.200 |
59.950 |
63.150 |
64.500 |
65.100 |
67.400 |
71.800 |
73.250 |
69.250 |
| Low |
59.650 |
55.200 |
56.150 |
58.100 |
59.300 |
61.550 |
62.050 |
62.850 |
67.150 |
67.500 |
66.100 |
| Close/Last |
59.650 |
55.950 |
58.750 |
59.375 |
62.400 |
62.425 |
63.700 |
67.150 |
69.000 |
67.575 |
68.825 |
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