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| MRCI's ScenarioSM Study |
| ScenarioSM Study for October Lean Hogs(CME) as of Jul 14, 2005 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
| Tested Years |
32 |
33 |
34 |
35 |
35 |
35 |
35 |
35 |
35 |
35 |
36 |
| Closed Higher |
20 |
19 |
23 |
14 |
22 |
23 |
18 |
15 |
19 |
18 |
24 |
| Exceeded High |
16 |
16 |
18 |
12 |
18 |
17 |
16 |
11 |
17 |
15 |
14 |
| Scenario Percentage |
80% |
84% |
78% |
86% |
82% |
74% |
89% |
73% |
89% |
83% |
58% |
| Avg Max Increase |
6.21% |
7.07% |
9.01% |
9.78% |
8.14% |
9.05% |
11.26% |
14.04% |
9.20% |
9.02% |
4.93% |
| Max Increase |
13.88% |
22.10% |
30.19% |
23.22% |
18.19% |
25.89% |
44.70% |
33.79% |
32.64% |
18.10% |
13.06% |
| Avg Days To Max Increase |
17 |
12 |
22 |
18 |
20 |
18 |
19 |
19 |
16 |
10 |
6 |
| Avg Max Decline |
-2.66% |
-0.95% |
-2.85% |
-1.72% |
-2.23% |
-1.36% |
-2.68% |
-2.68% |
-4.54% |
-1.79% |
-0.59% |
| Max Decline |
-9.45% |
-5.79% |
-6.89% |
-5.74% |
-9.70% |
-6.61% |
-14.68% |
-5.53% |
-13.13% |
-10.53% |
-2.52% |
| Avg Days to Max Decline |
11 |
5 |
13 |
8 |
8 |
6 |
9 |
12 |
11 |
3 |
2 |
| 2001 Contract Condition |
Yes |
|
Yes |
|
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
| Action |
Yes |
|
Yes |
|
Yes |
|
Yes |
Yes |
Yes |
|
Not Yet |
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
| Tested Years |
32 |
33 |
34 |
35 |
35 |
35 |
35 |
35 |
35 |
35 |
36 |
| Closed Lower |
12 |
14 |
11 |
19 |
13 |
12 |
17 |
20 |
15 |
17 |
12 |
| Penetrated Low |
9 |
10 |
8 |
13 |
9 |
11 |
16 |
16 |
10 |
10 |
11 |
| Scenario Percentage |
75% |
71% |
73% |
68% |
69% |
92% |
94% |
80% |
67% |
59% |
92% |
| Avg Max Decline |
4.86% |
4.27% |
4.28% |
10.19% |
12.59% |
9.73% |
10.11% |
11.97% |
9.28% |
7.02% |
10.09% |
| Max Decline |
11.67% |
10.52% |
7.31% |
27.61% |
34.99% |
34.01% |
27.95% |
24.81% |
16.61% |
22.06% |
21.72% |
| Avg Days To Max Decline |
15 |
18 |
16 |
15 |
20 |
20 |
15 |
22 |
18 |
7 |
11 |
| Avg Max Increase |
-1.62% |
-2.53% |
-2.22% |
-1.67% |
-1.73% |
-3.46% |
-2.69% |
-2.99% |
-3.40% |
-0.28% |
-2.54% |
| Max Increase |
-9.88% |
-5.98% |
-7.02% |
-7.23% |
-4.50% |
-10.33% |
-8.28% |
-13.02% |
-9.42% |
-2.69% |
-5.96% |
| Avg Days to Max Increase |
3 |
16 |
12 |
6 |
10 |
21 |
10 |
12 |
9 |
5 |
4 |
| 2001 Contract Condition |
|
Yes |
|
Yes |
|
Yes |
|
|
|
Yes |
|
| Action |
|
No |
|
No |
|
Yes |
|
|
|
Not Yet |
|
| High |
50.975 |
52.000 |
53.050 |
53.700 |
55.900 |
57.100 |
55.150 |
58.500 |
60.800 |
62.400 |
61.750 |
| Low |
48.025 |
49.750 |
50.000 |
52.200 |
52.300 |
53.850 |
50.800 |
54.000 |
56.925 |
56.750 |
57.600 |
| Close/Last |
50.875 |
50.250 |
52.900 |
52.450 |
55.175 |
54.200 |
54.275 |
58.375 |
60.175 |
58.250 |
58.600 |
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