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| MRCI's ScenarioSM Study |
| ScenarioSM Study for July 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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
30 |
31 |
31 |
31 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
| Closed Higher |
9 |
18 |
17 |
22 |
19 |
24 |
14 |
20 |
22 |
16 |
15 |
| Exceeded High |
7 |
13 |
14 |
18 |
18 |
19 |
12 |
19 |
19 |
11 |
9 |
| Scenario Percentage |
78% |
72% |
82% |
82% |
95% |
79% |
86% |
95% |
86% |
69% |
60% |
| Avg Max Increase |
6.33% |
5.75% |
6.97% |
8.11% |
8.63% |
8.53% |
9.84% |
9.86% |
8.89% |
10.08% |
5.71% |
| Max Increase |
10.45% |
10.19% |
17.73% |
21.48% |
28.70% |
25.16% |
16.10% |
20.92% |
30.50% |
30.02% |
10.15% |
| Avg Days To Max Increase |
12 |
22 |
19 |
17 |
14 |
19 |
20 |
19 |
19 |
8 |
9 |
| Avg Max Decline |
-1.12% |
-1.49% |
-2.06% |
-2.39% |
-1.13% |
-2.34% |
-1.89% |
-1.78% |
-2.15% |
-1.58% |
-0.97% |
| Max Decline |
-3.17% |
-3.96% |
-5.04% |
-8.99% |
-5.15% |
-7.88% |
-5.44% |
-7.20% |
-7.12% |
-5.05% |
-4.18% |
| Avg Days to Max Decline |
2 |
16 |
9 |
8 |
5 |
11 |
7 |
7 |
12 |
4 |
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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
30 |
31 |
31 |
31 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
| Closed Lower |
21 |
13 |
14 |
9 |
12 |
8 |
18 |
12 |
10 |
16 |
17 |
| Penetrated Low | 12 |
12 |
11 |
5 |
8 |
4 |
11 |
9 |
10 |
13 |
17 |
| Scenario Percentage |
57% |
92% |
79% |
56% |
67% |
50% |
61% |
75% |
100% |
81% |
100% |
| Avg Max Decline |
5.65% |
5.43% |
4.58% |
6.82% |
5.09% |
9.13% |
9.77% |
10.01% |
8.85% |
7.74% |
13.33% |
| Max Decline |
17.32% |
14.41% |
10.96% |
14.73% |
11.62% |
20.65% |
24.29% |
29.39% |
32.27% |
27.57% |
26.87% |
| Avg Days To Max Decline |
16 |
19 |
16 |
9 |
18 |
21 |
16 |
18 |
19 |
11 |
13 |
| Avg Max Increase |
-2.27% |
-2.58% |
-3.10% |
-1.06% |
-3.60% |
-2.08% |
-1.78% |
-2.63% |
-3.19% |
-2.33% |
-2.06% |
| Max Increase |
-8.66% |
-6.72% |
-10.10% |
-2.36% |
-7.12% |
-6.15% |
-7.93% |
-6.77% |
-11.23% |
-5.60% |
-8.78% |
| Avg Days to Max Increase |
11 |
10 |
8 |
2 |
19 |
20 |
8 |
11 |
10 |
7 |
5 |
| 2001 Contract Condition |
Yes |
|
|
|
Yes |
|
|
|
Yes |
|
|
| Action |
No |
|
|
|
No |
|
|
|
Yes |
|
|
| High |
58.950 |
57.600 |
58.500 |
61.650 |
62.450 |
62.175 |
64.400 |
67.850 |
69.625 |
67.000 |
72.850 |
| Low |
54.775 |
55.700 |
56.150 |
57.775 |
59.050 |
59.550 |
61.025 |
63.600 |
65.600 |
62.650 |
66.425 |
| Close/Last |
55.950 |
56.900 |
57.675 |
60.850 |
59.875 |
61.400 |
63.875 |
66.225 |
65.725 |
66.600 |
72.750 |
|
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