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MRCI's ScenarioSM Study
ScenarioSM Study for June Lean Hogs(CME) as of Jul 29, 2004
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 32 33 35 35 35 35 35 35 35 35 35
Closed Higher 16 13 22 19 25 20 25 16 22 21 21
Exceeded High 12 12 16 14 21 19 20 15 20 16 9
Scenario Percentage 75% 92% 73% 74% 84% 95% 80% 94% 91% 76% 43%
Avg Max Increase 8.58% 5.78% 5.78% 7.38% 7.72% 9.00% 9.33% 10.07% 10.76% 7.73% 5.18%
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 10 22 18 19 17 20 18 18 14 11
Avg Max Decline -3.17% -1.17% -1.75% -2.01% -2.78% -1.34% -2.60% -1.95% -2.13% -1.25% -0.59%
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 7 13 10 10 5 12 8 6 3 2
2004 Contract Condition   Yes   Yes     Yes Yes Yes   Yes
Action   Yes   No     Yes Yes Yes   Yes
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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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 32 33 35 35 35 35 35 35 35 35 35
Closed Lower 16 20 13 16 10 14 10 19 13 14 14
Penetrated Low 13 11 12 11 6 8 7 13 11 11 11
Scenario Percentage 81% 55% 92% 69% 60% 57% 70% 68% 85% 79% 79%
Avg Max Decline 5.57% 6.12% 5.59% 5.14% 8.30% 6.14% 9.13% 11.11% 11.29% 8.02% 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 16 18 21 16 17 14 11
Avg Max Increase -1.71% -2.56% -2.70% -3.55% -1.95% -2.78% -1.47% -1.36% -2.37% -2.50% -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 3 19 16 5 10 6 -61
2004 Contract Condition Yes   Yes   Yes Yes       Yes  
Action No   Yes   Yes No       Not Yet  
High 64.350 64.600 66.200 67.100 65.650 65.075 64.350 66.650 75.000 76.475 77.400
Low 61.800 61.925 63.100 62.700 63.200 58.400 60.450 62.850 64.700 69.900 73.425
Close/Last 62.125 64.450 63.550 65.275 64.650 60.100 64.200 66.600 74.650 74.075 75.825