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| MRCI's ScenarioSM Study |
| ScenarioSM Study for July Lean Hogs(CME) as of Jul 14, 2005 |
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 |
34 |
35 |
35 |
35 |
36 |
36 |
36 |
36 |
36 |
36 |
36 |
| Closed Higher |
12 |
20 |
20 |
25 |
20 |
27 |
16 |
22 |
25 |
18 |
17 |
| Exceeded High |
10 |
15 |
16 |
21 |
19 |
22 |
14 |
21 |
21 |
13 |
11 |
| Scenario Percentage |
83% |
75% |
80% |
84% |
95% |
81% |
88% |
95% |
84% |
72% |
65% |
| Avg Max Increase |
5.75% |
6.14% |
7.03% |
7.33% |
8.32% |
8.47% |
10.27% |
9.51% |
8.69% |
8.97% |
5.51% |
| Max Increase |
10.45% |
13.34% |
17.73% |
21.48% |
28.70% |
25.16% |
19.41% |
20.92% |
30.50% |
30.02% |
10.69% |
| Avg Days To Max Increase |
11 |
23 |
21 |
17 |
14 |
19 |
19 |
18 |
19 |
7 |
8 |
| Avg Max Decline |
-1.45% |
-1.65% |
-2.00% |
-2.51% |
-1.20% |
-2.31% |
-1.75% |
-1.71% |
-2.15% |
-1.41% |
-0.81% |
| Max Decline |
-3.23% |
-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 |
7 |
15 |
9 |
9 |
7 |
10 |
6 |
8 |
12 |
4 |
2 |
| 2002 Contract Condition |
|
|
Yes |
Yes |
|
Yes |
|
|
|
|
Yes |
| Action |
|
|
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 |
34 |
35 |
35 |
35 |
36 |
36 |
36 |
36 |
36 |
36 |
36 |
| Closed Lower |
21 |
15 |
15 |
10 |
15 |
9 |
20 |
14 |
11 |
18 |
19 |
| Penetrated Low |
12 |
14 |
11 |
6 |
10 |
5 |
13 |
11 |
11 |
14 |
19 |
| Scenario Percentage |
57% |
93% |
73% |
60% |
67% |
56% |
65% |
79% |
100% |
78% |
100% |
| Avg Max Decline |
5.65% |
4.78% |
4.58% |
7.06% |
4.62% |
8.66% |
10.40% |
10.43% |
9.13% |
7.84% |
12.52% |
| 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 |
12 |
16 |
22 |
14 |
17 |
19 |
12 |
13 |
| Avg Max Increase |
-2.27% |
-2.84% |
-3.10% |
-0.97% |
-3.15% |
-1.85% |
-1.66% |
-2.20% |
-3.46% |
-2.16% |
-2.35% |
| 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 |
9 |
8 |
2 |
16 |
24 |
8 |
9 |
10 |
6 |
5 |
| 2002 Contract Condition |
|
Yes |
|
|
Yes |
|
Yes |
Yes |
Yes |
Yes |
|
| Action |
|
Yes |
|
|
Yes |
|
Yes |
Yes |
Yes |
Not Yet |
|
| High |
63.350 |
63.550 |
61.900 |
63.000 |
62.400 |
63.600 |
64.900 |
63.800 |
59.350 |
55.600 |
52.550 |
| Low |
61.950 |
60.000 |
59.100 |
59.800 |
60.850 |
60.300 |
62.050 |
58.325 |
50.500 |
46.150 |
46.250 |
| Close/Last |
63.100 |
60.000 |
61.900 |
62.700 |
60.875 |
63.600 |
63.175 |
58.900 |
52.375 |
47.775 |
50.525 |
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