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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Lean Hogs(CME) as of Jan 01, 2008
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 36 37 37 37 38 38 38 38 38 38 38
Closed Higher 14 21 22 27 20 28 18 22 27 18 18
Exceeded High 12 16 18 23 19 23 16 21 22 13 11
Scenario Percentage 86% 76% 82% 85% 95% 82% 89% 95% 81% 72% 61%
Avg Max Increase 6.33% 6.38% 6.79% 6.92% 8.32% 8.30% 9.23% 9.51% 8.90% 9.17% 5.74%
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 14 24 19 17 14 19 18 18 19 8 9
Avg Max Decline -1.58% -1.57% -1.85% -2.55% -1.20% -2.29% -1.74% -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 8 15 8 10 7 10 6 8 13 4 3
2007 Contract Condition Yes   Yes Yes   Yes Yes   Yes    
Action Yes   Yes Yes   Yes Yes   No    
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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 36 37 37 37 38 38 38 38 38 38 38
Closed Lower 21 16 15 10 17 10 20 16 11 20 20
Penetrated Low 12 14 11 6 12 6 13 13 11 15 20
Scenario Percentage 57% 88% 73% 60% 71% 60% 65% 81% 100% 75% 100%
Avg Max Decline 5.65% 4.78% 4.58% 7.06% 4.61% 7.89% 10.40% 9.31% 9.13% 7.76% 12.92%
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 17 19 12 14
Avg Max Increase -2.27% -2.84% -3.10% -0.97% -2.71% -2.18% -1.66% -2.42% -3.46% -2.23% -2.37%
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 14 25 8 9 10 7 5
2007 Contract Condition   Yes     Yes     Yes   Yes Yes
Action   No     Yes     Yes   Yes Yes
High 66.075 66.175 71.100 73.350 73.100 76.150 78.300 79.500 78.950 76.550 76.975
Low 64.400 63.900 64.900 69.800 70.400 69.600 74.800 73.400 74.525 73.050 70.850
Close/Last 65.800 65.150 71.100 73.100 72.000 76.075 78.100 75.250 75.350 74.525 71.225

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