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| MRCI's ScenarioSM Study |
| ScenarioSM Study for August Lean Hogs(CME) as of Sep 17, 2001 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
31 |
31 |
31 |
31 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
| Closed Higher |
20 |
18 |
21 |
20 |
21 |
14 |
20 |
23 |
15 |
17 |
17 |
| Exceeded High |
14 |
16 |
17 |
19 |
17 |
11 |
18 |
18 |
11 |
13 |
13 |
| Scenario Percentage |
70% |
89% |
81% |
95% |
81% |
79% |
90% |
78% |
73% |
76% |
76% |
| Avg Max Increase |
4.93% |
7.59% |
7.72% |
7.91% |
9.51% |
12.52% |
10.31% |
9.43% |
13.90% |
11.21% |
6.30% |
| Max Increase |
9.28% |
17.67% |
22.84% |
28.20% |
29.21% |
23.29% |
17.33% |
29.29% |
42.67% |
46.56% |
13.41% |
| Avg Days To Max Increase |
19 |
18 |
18 |
16 |
21 |
18 |
23 |
21 |
15 |
12 |
10 |
| Avg Max Decline |
-1.44% |
-1.86% |
-1.71% |
-1.31% |
-2.51% |
-1.68% |
-1.89% |
-2.51% |
-2.65% |
-2.73% |
-0.83% |
| Max Decline |
-4.06% |
-4.26% |
-8.50% |
-5.82% |
-7.71% |
-3.83% |
-8.47% |
-7.54% |
-9.21% |
-5.81% |
-2.58% |
| Avg Days to Max Decline |
15 |
10 |
7 |
8 |
12 |
6 |
8 |
10 |
5 |
9 |
2 |
| 2001 Contract Condition |
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
| Action |
Yes |
Yes |
Yes |
|
Yes |
Yes |
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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
31 |
31 |
31 |
31 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
| Closed Lower |
10 |
13 |
10 |
11 |
10 |
17 |
12 |
9 |
16 |
15 |
15 |
| Penetrated Low | 9 |
10 |
7 |
8 |
6 |
12 |
9 |
9 |
16 |
12 |
10 |
| Scenario Percentage |
90% |
77% |
70% |
73% |
60% |
71% |
75% |
100% |
100% |
80% |
67% |
| Avg Max Decline |
3.44% |
5.76% |
5.00% |
5.06% |
7.81% |
9.87% |
10.75% |
9.78% |
8.57% |
6.76% |
13.33% |
| Max Decline |
7.05% |
11.88% |
12.76% |
11.56% |
19.33% |
24.72% |
34.26% |
35.00% |
23.66% |
13.34% |
27.30% |
| Avg Days To Max Decline |
16 |
17 |
10 |
15 |
23 |
18 |
17 |
17 |
15 |
12 |
14 |
| Avg Max Increase |
-2.77% |
-3.97% |
-0.91% |
-2.99% |
-1.83% |
-1.87% |
-2.38% |
-2.94% |
-3.60% |
-1.95% |
-2.46% |
| Max Increase |
-6.83% |
-12.46% |
-2.55% |
-5.92% |
-4.28% |
-7.90% |
-5.83% |
-5.19% |
-10.08% |
-11.54% |
-5.16% |
| Avg Days to Max Increase |
14 |
12 |
2 |
19 |
14 |
5 |
9 |
11 |
12 |
7 |
6 |
| 2001 Contract Condition |
|
|
|
Yes |
|
|
|
Yes |
|
|
|
| Action |
|
|
|
No |
|
|
|
Yes |
|
|
|
| High |
55.500 |
56.225 |
59.200 |
60.000 |
59.900 |
61.000 |
63.875 |
65.950 |
64.000 |
69.900 |
71.050 |
| Low |
54.000 |
54.200 |
55.800 |
57.600 |
57.600 |
58.800 |
60.100 |
62.400 |
59.275 |
64.050 |
66.950 |
| Close/Last |
54.625 |
55.875 |
58.800 |
58.150 |
59.225 |
60.400 |
62.650 |
62.450 |
63.950 |
69.050 |
70.725 |
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