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MRCI's ScenarioSM Study
ScenarioSM Study for June Lean Hogs(CME) as of Mar 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 33 34 36 36 36 36 36 36 36 36 36
Closed Higher 16 14 23 20 26 21 26 17 22 21 21
Exceeded High 12 13 17 15 22 20 21 16 20 16 9
Scenario Percentage 75% 93% 74% 75% 85% 95% 81% 94% 91% 76% 43%
Avg Max Increase 8.58% 5.89% 6.11% 7.73% 7.60% 8.65% 9.12% 9.67% 10.76% 7.73% 5.18%
Max Increase 20.43% 9.99% 11.38% 18.26% 21.48% 29.71% 25.88% 19.19% 23.06% 17.35% 8.69%
Avg Days To Max Increase 14 11 23 19 19 17 19 17 18 14 11
Avg Max Decline -3.17% -1.29% -1.79% -1.90% -2.95% -1.43% -2.65% -1.82% -2.13% -1.25% -0.59%
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 7 13 10 10 7 11 8 6 3 2
2006 Contract Condition Yes Yes Yes Yes Yes     Yes      
Action Yes Yes 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 33 34 36 36 36 36 36 36 36 36 36
Closed Lower 17 20 13 16 10 14 10 19 14 15 15
Penetrated Low 14 11 12 11 6 8 7 13 12 12 12
Scenario Percentage 82% 55% 92% 69% 60% 57% 70% 68% 86% 80% 80%
Avg Max Decline 5.28% 6.12% 5.59% 5.14% 8.30% 6.14% 9.13% 11.11% 11.24% 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 18 21 16 18 14 11
Avg Max Increase -1.62% -2.56% -2.70% -3.55% -1.95% -2.78% -1.47% -1.36% -2.41% -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 19 16 5 9 6 -56
2006 Contract Condition           Yes Yes   Yes    
Action           Yes Yes   Not Yet    
High 62.325 63.850 67.400 70.000 73.000 73.450 73.000 71.000 71.675    
Low 59.500 61.950 62.000 66.600 69.000 70.100 67.850 67.100 64.950    
Close/Last 62.325 63.125 66.975 69.600 72.975 72.325 69.150 69.950 65.275