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| MRCI's ScenarioSM Study |
| ScenarioSM Study for July Lean Hogs(CME) as of Jul 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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
35 |
36 |
36 |
36 |
37 |
37 |
37 |
37 |
37 |
37 |
37 |
| Closed Higher |
13 |
21 |
21 |
26 |
20 |
27 |
17 |
22 |
26 |
18 |
18 |
| Exceeded High |
11 |
16 |
17 |
22 |
19 |
22 |
15 |
21 |
22 |
13 |
11 |
| Scenario Percentage |
85% |
76% |
81% |
85% |
95% |
81% |
88% |
95% |
85% |
72% |
61% |
| Avg Max Increase |
6.17% |
6.38% |
7.01% |
7.05% |
8.32% |
8.47% |
9.73% |
9.51% |
8.90% |
9.22% |
5.80% |
| Max Increase |
10.45% |
13.34% |
17.73% |
21.48% |
28.70% |
25.16% |
19.41% |
20.92% |
30.50% |
30.02% |
10.75% |
| Avg Days To Max Increase |
13 |
24 |
19 |
17 |
14 |
19 |
18 |
18 |
19 |
8 |
9 |
| Avg Max Decline |
-1.46% |
-1.57% |
-1.93% |
-2.45% |
-1.20% |
-2.31% |
-1.63% |
-1.71% |
-2.30% |
-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 |
15 |
9 |
9 |
7 |
10 |
6 |
8 |
13 |
4 |
3 |
| 2005 Contract Condition |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
| Action |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
No |
|
|
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 |
35 |
36 |
36 |
36 |
37 |
37 |
37 |
37 |
37 |
37 |
37 |
| Closed Lower |
21 |
15 |
15 |
10 |
16 |
10 |
20 |
15 |
11 |
19 |
19 |
| Penetrated Low |
12 |
14 |
11 |
6 |
11 |
6 |
13 |
12 |
11 |
14 |
19 |
| Scenario Percentage |
57% |
93% |
73% |
60% |
69% |
60% |
65% |
80% |
100% |
74% |
100% |
| Avg Max Decline |
5.65% |
4.78% |
4.58% |
7.06% |
4.72% |
7.89% |
10.40% |
9.84% |
9.13% |
8.04% |
12.70% |
| 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 |
14 |
22 |
14 |
16 |
19 |
12 |
14 |
| Avg Max Increase |
-2.27% |
-2.84% |
-3.10% |
-0.97% |
-3.01% |
-2.18% |
-1.66% |
-2.21% |
-3.46% |
-2.16% |
-2.39% |
| 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 |
15 |
25 |
8 |
8 |
10 |
6 |
5 |
| 2005 Contract Condition |
|
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|
|
|
|
|
|
Yes |
Yes |
| Action |
|
|
|
|
|
|
|
|
|
Yes |
Yes |
| High |
62.250 |
65.700 |
66.500 |
72.025 |
73.950 |
75.400 |
75.850 |
79.200 |
80.400 |
79.200 |
71.350 |
| Low |
60.600 |
60.700 |
62.400 |
65.500 |
67.650 |
72.250 |
72.025 |
75.750 |
75.250 |
69.850 |
64.850 |
| Close/Last |
62.150 |
63.550 |
65.350 |
71.900 |
73.900 |
74.625 |
75.625 |
77.900 |
78.750 |
71.400 |
65.525 |
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