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| MRCI's ScenarioSM Study |
| ScenarioSM Study for August 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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
35 |
35 |
35 |
35 |
36 |
36 |
36 |
36 |
36 |
36 |
36 |
| Closed Higher |
22 |
21 |
24 |
21 |
24 |
17 |
22 |
26 |
17 |
18 |
20 |
| Exceeded High |
16 |
18 |
19 |
20 |
20 |
14 |
20 |
20 |
13 |
14 |
14 |
| Scenario Percentage |
73% |
86% |
79% |
95% |
83% |
82% |
91% |
77% |
76% |
78% |
70% |
| Avg Max Increase |
5.56% |
7.61% |
7.20% |
7.66% |
9.26% |
12.23% |
9.93% |
9.42% |
12.38% |
10.16% |
5.02% |
| Max Increase |
15.72% |
17.67% |
22.84% |
28.20% |
29.21% |
23.29% |
17.33% |
29.29% |
42.67% |
43.06% |
13.41% |
| Avg Days To Max Increase |
20 |
19 |
17 |
17 |
20 |
19 |
21 |
21 |
15 |
12 |
8 |
| Avg Max Decline |
-1.57% |
-1.83% |
-1.95% |
-1.32% |
-2.47% |
-1.78% |
-1.75% |
-2.37% |
-2.37% |
-2.88% |
-0.63% |
| Max Decline |
-4.06% |
-4.26% |
-8.50% |
-5.82% |
-7.71% |
-4.71% |
-8.47% |
-7.54% |
-9.21% |
-5.81% |
-2.53% |
| Avg Days to Max Decline |
15 |
10 |
7 |
9 |
12 |
7 |
7 |
10 |
8 |
9 |
2 |
| 2005 Contract Condition |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
Yes |
| Action |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
No |
|
|
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 |
35 |
35 |
35 |
35 |
36 |
36 |
36 |
36 |
36 |
36 |
36 |
| Closed Lower |
12 |
14 |
11 |
14 |
11 |
18 |
14 |
10 |
18 |
18 |
16 |
| Penetrated Low |
11 |
10 |
8 |
10 |
7 |
13 |
10 |
10 |
17 |
13 |
10 |
| Scenario Percentage |
92% |
71% |
73% |
71% |
64% |
72% |
71% |
100% |
94% |
72% |
63% |
| Avg Max Decline |
3.06% |
5.76% |
5.30% |
4.59% |
7.22% |
10.64% |
11.65% |
9.94% |
8.57% |
7.19% |
13.15% |
| 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 |
11 |
13 |
20 |
17 |
18 |
18 |
16 |
14 |
13 |
| Avg Max Increase |
-2.81% |
-3.97% |
-0.84% |
-2.63% |
-1.53% |
-1.72% |
-2.23% |
-3.07% |
-3.37% |
-2.22% |
-1.95% |
| 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 |
12 |
12 |
2 |
16 |
13 |
5 |
8 |
11 |
11 |
7 |
5 |
| 2005 Contract Condition |
|
|
|
|
|
|
|
|
Yes |
Yes |
|
| Action |
|
|
|
|
|
|
|
|
Yes |
Not Yet |
|
| High |
61.600 |
61.950 |
69.000 |
70.000 |
71.575 |
72.000 |
75.850 |
77.050 |
76.250 |
69.800 |
69.100 |
| Low |
58.300 |
58.600 |
61.100 |
63.550 |
69.050 |
68.950 |
71.925 |
73.150 |
68.350 |
64.000 |
64.850 |
| Close/Last |
59.625 |
61.400 |
68.975 |
70.000 |
70.750 |
71.950 |
75.200 |
75.800 |
70.000 |
65.025 |
67.875 |
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