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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August Lean Hogs(CME) as of Apr 30, 2011
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 Jul
Tested Years   40 40 40 40 41 41 41 41 41 41 41
Closed Higher   25 24 29 22 26 21 23 30 18 19 23
Exceeded High   18 21 23 21 22 17 21 22 14 14 16
Scenario Percentage   72% 88% 79% 95% 85% 81% 91% 73% 78% 74% 70%
Avg Max Increase   5.90% 7.23% 6.76% 7.37% 8.78% 10.87% 9.71% 9.21% 11.64% 10.16% 5.26%
Max Increase   15.72% 17.68% 22.82% 28.19% 29.21% 23.29% 17.33% 29.29% 42.67% 43.06% 13.41%
Avg Days To Max Increase   21 17 18 17 18 18 21 20 16 12 8
Avg Max Decline   -1.54% -1.69% -2.20% -1.30% -2.31% -1.76% -1.67% -2.55% -3.00% -2.88% -0.46%
Max Decline   -4.06% -4.26% -8.50% -5.82% -7.71% -4.71% -8.47% -7.54% -11.11% -5.81% -2.54%
Avg Days to Max Decline   15 9 11 9 11 8 7 10 10 9 2
2011 Contract Condition   Yes Yes Yes Yes Yes Yes Yes   Yes    
Action   Yes Yes Yes Yes Yes Yes Yes        
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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 Jul
Tested Years   40 40 40 40 41 41 41 41 41 41 41
Closed Lower   14 16 11 18 14 19 18 11 22 22 18
Penetrated Low   12 10 8 14 10 14 14 11 20 16 6
Scenario Percentage   86% 63% 73% 78% 71% 74% 78% 100% 91% 73% 33%
Avg Max Decline   3.80% 5.76% 5.30% 4.66% 6.24% 10.69% 9.63% 10.59% 8.74% 7.31% 6.00%
Max Decline   11.94% 11.88% 12.76% 11.56% 19.33% 24.72% 34.26% 35.00% 23.66% 20.98% 14.46%
Avg Days To Max Decline   16 17 11 12 17 16 18 19 15 12 6
Avg Max Increase   -2.58% -3.97% -0.84% -2.40% -1.47% -1.73% -2.31% -3.14% -3.13% -2.32% 0.42%
Max Increase   -6.83% -12.46% -2.55% -5.92% -4.28% -7.90% -5.83% -5.19% -10.07% -11.54% 0.04%
Avg Days to Max Increase   11 12 2 13 10 5 8 11 10 7 2
2011 Contract Condition                 Yes      
Action                 Not Yet      
High 80.400 83.450 86.300 88.300 91.925 97.700 101.000 103.275 104.450 98.125    
Low 77.200 78.900 79.675 83.850 86.500 90.650 96.075 94.650 96.175 96.800    
Close/Last 79.750 81.400 84.650 87.700 91.550 97.325 99.075 103.150 97.225 97.575    

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