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MRCI's ScenarioSM Study
ScenarioSM Study for July Lean Hogs(CME) as of Jul 29, 2004
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 33 34 34 34 35 35 35 35 35 35 35
Closed Higher 11 19 19 24 19 26 15 21 24 18 17
Exceeded High 9 14 15 20 18 21 13 20 21 13 11
Scenario Percentage 82% 74% 79% 83% 95% 81% 87% 95% 88% 72% 65%
Avg Max Increase 5.62% 5.63% 6.62% 7.45% 8.63% 8.58% 10.58% 9.82% 8.69% 9.22% 5.80%
Max Increase 10.45% 10.19% 17.73% 21.48% 28.70% 25.16% 19.41% 20.92% 30.50% 30.02% 10.75%
Avg Days To Max Increase 10 23 20 17 14 19 21 19 19 8 9
Avg Max Decline -1.35% -1.64% -2.15% -2.34% -1.13% -2.26% -1.90% -1.83% -2.15% -1.41% -0.86%
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 16 9 9 5 11 7 8 12 4 3
2004 Contract Condition Yes   Yes     Yes Yes Yes Yes Yes Yes
Action Yes   No     Yes Yes Yes Yes Yes Yes
Copyright © 2003 Moore Research Center, Inc. All Rights Reserved.
Some data provided by Prophetfinance.com
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 33 34 34 34 35 35 35 35 35 35 35
Closed Lower 21 15 15 10 15 9 20 14 11 17 18
Penetrated Low 12 14 11 6 10 5 13 11 11 13 18
Scenario Percentage 57% 93% 73% 60% 67% 56% 65% 79% 100% 76% 100%
Avg Max Decline 5.65% 4.78% 4.58% 7.06% 4.62% 8.66% 10.40% 10.43% 9.13% 7.96% 12.94%
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 11 13
Avg Max Increase -2.27% -2.84% -3.10% -0.97% -3.15% -1.85% -1.66% -2.20% -3.46% -2.33% -2.16%
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 7 5
2004 Contract Condition   Yes   Yes Yes            
Action   Yes   Yes No            
High 61.950 63.300 63.850 62.850 62.350 61.650 62.750 70.750 74.900 77.250 79.200
Low 59.900 59.950 59.900 60.700 56.900 57.850 59.500 61.475 68.900 72.450 75.250
Close/Last 61.950 60.100 62.125 62.000 57.850 61.000 62.725 70.625 74.850 75.275 78.950