|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for June Lean Hogs(CME) as of Jan 07, 2009 |
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 |
36 |
37 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
| Closed Higher |
19 |
16 |
25 |
22 |
29 |
21 |
28 |
19 |
22 |
23 |
23 |
| Exceeded High |
14 |
15 |
18 |
17 |
25 |
20 |
23 |
18 |
20 |
18 |
10 |
| Scenario Percentage |
74% |
94% |
72% |
77% |
86% |
95% |
82% |
95% |
91% |
78% |
43% |
| Avg Max Increase |
8.08% |
6.32% |
6.27% |
7.32% |
6.95% |
8.65% |
8.59% |
8.80% |
10.76% |
7.48% |
4.80% |
| Max Increase |
20.43% |
10.89% |
11.38% |
18.26% |
21.48% |
29.71% |
25.88% |
19.19% |
23.06% |
17.35% |
8.26% |
| Avg Days To Max Increase |
14 |
12 |
23 |
17 |
19 |
17 |
18 |
16 |
18 |
13 |
10 |
| Avg Max Decline |
-2.85% |
-1.48% |
-1.72% |
-1.76% |
-3.10% |
-1.43% |
-2.55% |
-1.80% |
-2.13% |
-1.51% |
-0.50% |
| Max Decline |
-7.45% |
-3.70% |
-7.01% |
-5.95% |
-8.69% |
-4.80% |
-7.58% |
-6.47% |
-8.16% |
-4.44% |
-2.21% |
| Avg Days to Max Decline |
8 |
8 |
13 |
9 |
12 |
7 |
12 |
7 |
6 |
3 |
2 |
| 2008 Contract Condition |
Yes |
|
Yes |
|
Yes |
|
Yes |
|
|
Yes |
Yes |
| Action |
No |
|
No |
|
Yes |
|
Yes |
|
|
Yes |
Not Yet |
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 |
36 |
37 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
| Closed Lower |
17 |
21 |
14 |
17 |
10 |
17 |
11 |
20 |
17 |
16 |
16 |
| Penetrated Low |
14 |
11 |
12 |
12 |
6 |
11 |
8 |
14 |
14 |
13 |
13 |
| Scenario Percentage |
82% |
52% |
86% |
71% |
60% |
65% |
73% |
70% |
82% |
81% |
81% |
| Avg Max Decline |
5.28% |
6.12% |
5.59% |
5.01% |
8.30% |
5.70% |
8.75% |
11.31% |
10.11% |
8.11% |
13.14% |
| 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 |
17 |
16 |
15 |
21 |
15 |
16 |
13 |
12 |
| Avg Max Increase |
-1.62% |
-2.56% |
-2.70% |
-3.55% |
-1.95% |
-2.12% |
-1.75% |
-1.25% |
-2.24% |
-2.25% |
-1.47% |
| 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 |
11 |
3 |
15 |
18 |
5 |
8 |
5 |
-51 |
| 2008 Contract Condition |
|
Yes |
|
Yes |
|
Yes |
|
Yes |
Yes |
|
|
| Action |
|
No |
|
Yes |
|
Yes |
|
Yes |
Yes |
|
|
| High |
79.600 |
78.550 |
78.750 |
77.300 |
77.050 |
77.700 |
78.400 |
81.100 |
76.500 |
77.100 |
78.600 |
| Low |
72.600 |
73.150 |
75.600 |
73.335 |
74.350 |
72.450 |
71.150 |
74.500 |
67.375 |
66.000 |
70.800 |
| Close/Last |
78.850 |
76.400 |
76.885 |
75.100 |
76.475 |
73.250 |
78.175 |
76.350 |
67.950 |
73.475 |
77.750 |
|
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