|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for August Lean Hogs(CME) as of Jun 30, 2007 |
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 |
36 |
36 |
36 |
36 |
37 |
37 |
37 |
37 |
37 |
37 |
37 |
| Closed Higher |
23 |
22 |
25 |
22 |
24 |
18 |
22 |
27 |
17 |
19 |
20 |
| Exceeded High |
17 |
19 |
20 |
21 |
20 |
15 |
20 |
21 |
13 |
14 |
15 |
| Scenario Percentage |
74% |
86% |
80% |
95% |
83% |
83% |
91% |
78% |
76% |
74% |
75% |
| Avg Max Increase |
5.78% |
7.58% |
6.95% |
7.37% |
9.26% |
11.54% |
9.93% |
9.50% |
12.38% |
10.66% |
5.82% |
| Max Increase |
15.72% |
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 |
20 |
19 |
17 |
17 |
20 |
18 |
21 |
21 |
15 |
12 |
10 |
| Avg Max Decline |
-1.51% |
-1.74% |
-1.96% |
-1.30% |
-2.47% |
-1.65% |
-1.75% |
-2.50% |
-2.37% |
-2.88% |
-0.76% |
| Max Decline |
-4.06% |
-4.26% |
-8.50% |
-5.82% |
-7.71% |
-4.71% |
-8.47% |
-7.54% |
-9.21% |
-5.81% |
-2.58% |
| Avg Days to Max Decline |
15 |
9 |
8 |
9 |
12 |
7 |
7 |
11 |
8 |
9 |
2 |
| 2007 Contract Condition |
|
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
|
|
|
| Action |
|
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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
36 |
36 |
36 |
36 |
37 |
37 |
37 |
37 |
37 |
37 |
37 |
| Closed Lower |
12 |
14 |
11 |
14 |
12 |
18 |
15 |
10 |
19 |
18 |
17 |
| Penetrated Low |
11 |
10 |
8 |
10 |
8 |
13 |
11 |
10 |
17 |
13 |
12 |
| Scenario Percentage |
92% |
71% |
73% |
71% |
67% |
72% |
73% |
100% |
89% |
72% |
71% |
| Avg Max Decline |
3.06% |
5.76% |
5.30% |
4.59% |
6.75% |
10.64% |
10.85% |
9.94% |
8.57% |
7.20% |
12.60% |
| 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 |
18 |
17 |
18 |
18 |
16 |
11 |
13 |
| Avg Max Increase |
-2.81% |
-3.97% |
-0.84% |
-2.63% |
-1.38% |
-1.72% |
-2.21% |
-3.07% |
-3.37% |
-2.22% |
-2.48% |
| Max Increase |
-6.83% |
-12.46% |
-2.55% |
-5.92% |
-4.28% |
-7.90% |
-5.83% |
-5.19% |
-10.08% |
-11.54% |
-5.18% |
| Avg Days to Max Increase |
12 |
12 |
2 |
16 |
11 |
5 |
7 |
11 |
11 |
7 |
6 |
| 2007 Contract Condition |
Yes |
|
|
Yes |
|
|
Yes |
|
Yes |
Yes |
|
| Action |
No |
|
|
Yes |
|
|
Yes |
|
Yes |
Not Yet |
|
| High |
63.400 |
69.500 |
71.900 |
71.900 |
74.500 |
77.250 |
78.500 |
78.100 |
75.500 |
76.000 |
|
| Low |
61.500 |
62.250 |
67.700 |
69.300 |
68.200 |
73.575 |
73.000 |
74.050 |
72.450 |
70.550 |
|
| Close/Last |
62.500 |
69.100 |
71.800 |
70.675 |
74.500 |
76.875 |
74.225 |
75.200 |
74.050 |
70.680 |
|
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