|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for June Lean Hogs(CME) as of Jul 31, 2006 |
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 |
34 |
35 |
37 |
37 |
37 |
37 |
37 |
37 |
37 |
37 |
37 |
| Closed Higher |
17 |
15 |
24 |
21 |
27 |
21 |
26 |
18 |
22 |
22 |
22 |
| Exceeded High |
13 |
14 |
18 |
16 |
23 |
20 |
21 |
17 |
20 |
17 |
10 |
| Scenario Percentage |
76% |
93% |
75% |
76% |
85% |
95% |
81% |
94% |
91% |
77% |
45% |
| Avg Max Increase |
8.55% |
6.25% |
6.27% |
7.59% |
7.30% |
8.65% |
9.12% |
9.25% |
10.76% |
8.00% |
5.73% |
| Max Increase |
20.43% |
10.89% |
11.38% |
18.26% |
21.48% |
29.71% |
25.88% |
19.19% |
23.06% |
17.35% |
10.69% |
| Avg Days To Max Increase |
15 |
10 |
23 |
18 |
18 |
17 |
19 |
16 |
18 |
13 |
11 |
| Avg Max Decline |
-2.97% |
-1.32% |
-1.72% |
-1.83% |
-2.83% |
-1.43% |
-2.65% |
-1.69% |
-2.13% |
-1.39% |
-0.50% |
| Max Decline |
-7.45% |
-2.64% |
-7.01% |
-5.95% |
-8.69% |
-4.80% |
-7.58% |
-6.47% |
-8.16% |
-4.44% |
-2.21% |
| Avg Days to Max Decline |
8 |
6 |
13 |
9 |
9 |
7 |
11 |
7 |
6 |
3 |
2 |
| 2005 Contract Condition |
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
|
| Action |
|
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 |
34 |
35 |
37 |
37 |
37 |
37 |
37 |
37 |
37 |
37 |
37 |
| Closed Lower |
17 |
20 |
13 |
16 |
10 |
15 |
11 |
19 |
15 |
15 |
15 |
| Penetrated Low |
14 |
11 |
12 |
11 |
6 |
9 |
8 |
13 |
13 |
12 |
12 |
| Scenario Percentage |
82% |
55% |
92% |
69% |
60% |
60% |
73% |
68% |
87% |
80% |
80% |
| Avg Max Decline |
5.28% |
6.12% |
5.59% |
5.14% |
8.30% |
6.26% |
8.75% |
11.11% |
10.67% |
8.51% |
12.51% |
| 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 |
15 |
15 |
19 |
16 |
16 |
16 |
21 |
16 |
17 |
14 |
11 |
| Avg Max Increase |
-1.62% |
-2.56% |
-2.70% |
-3.55% |
-1.95% |
-2.58% |
-1.75% |
-1.36% |
-2.40% |
-2.34% |
-1.59% |
| 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 |
18 |
18 |
5 |
9 |
6 |
-56 |
| 2005 Contract Condition |
Yes |
|
|
|
|
|
|
|
Yes |
Yes |
Yes |
| Action |
Yes |
|
|
|
|
|
|
|
Yes |
Yes |
Yes |
| High |
65.225 |
65.450 |
69.700 |
70.225 |
75.600 |
78.100 |
79.400 |
79.500 |
82.200 |
81.550 |
77.925 |
| Low |
64.500 |
63.500 |
63.725 |
66.250 |
69.150 |
70.575 |
76.200 |
75.500 |
77.500 |
74.400 |
70.850 |
| Close/Last |
64.500 |
65.450 |
67.875 |
69.350 |
75.575 |
77.975 |
78.350 |
79.300 |
79.275 |
77.450 |
72.000 |
|
|