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MRCI's ScenarioSM Study
ScenarioSM Study for July Lean Hogs(CME) as of Apr 30, 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 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% 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 11 23 21 17 14 19 19 18 19 8 9
Avg Max Decline -1.45% -1.65% -2.00% -2.51% -1.20% -2.31% -1.75% -1.71% -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 15 9 9 7 10 6 8 12 4 3
2006 Contract Condition Yes Yes Yes Yes     Yes   Yes    
Action Yes Yes Yes Yes     Yes   Not Yet    
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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% 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 16 22 14 17 19 12 14
Avg Max Increase -2.27% -2.84% -3.10% -0.97% -3.15% -1.85% -1.66% -2.20% -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 16 24 8 9 10 6 5
2006 Contract Condition         Yes Yes   Yes   Yes  
Action         Yes Yes   Yes      
High 60.700 64.250 66.250 69.750 70.550 70.100 68.800 69.750 68.600 68.550  
Low 59.000 59.100 63.200 65.600 67.250 65.400 65.050 64.475 63.450 67.850  
Close/Last 60.025 63.450 66.150 69.725 69.000 67.200 68.325 65.650 68.250 68.100