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MRCI's ScenarioSM Study
ScenarioSM Study for October Lean Hogs(CME) as of Oct 24, 2003
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 31 32 33 34 34 34 34 34 34 34 35
Closed Higher 20 19 22 14 21 22 17 14 18 18 23
Exceeded High 16 16 17 12 17 16 15 10 16 15 15
Scenario Percentage 80% 84% 77% 86% 81% 73% 88% 71% 89% 83% 65%
Avg Max Increase 6.21% 7.07% 8.99% 9.78% 8.03% 8.98% 10.92% 14.71% 8.99% 9.52% 5.50%
Max Increase 13.88% 22.10% 30.19% 23.22% 18.19% 25.89% 44.70% 33.79% 32.64% 21.46% 13.06%
Avg Days To Max Increase 17 12 22 18 20 17 18 20 16 10 9
Avg Max Decline -2.66% -0.95% -2.72% -1.72% -2.33% -1.42% -2.93% -2.63% -4.21% -1.79% -0.81%
Max Decline -9.45% -5.79% -6.89% -5.74% -9.70% -6.61% -14.68% -5.53% -13.13% -10.53% -2.74%
Avg Days to Max Decline 11 5 13 8 9 4 10 11 10 3 3
2003 Contract Condition Yes Yes   Yes Yes Yes Yes     Yes Yes
Action Yes Yes   Yes Yes Yes Yes     Yes Not Yet
Copyright © 2003 Moore Research Center, Inc. All Rights Reserved.
Some data provided by Prophetfinance.com
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 31 32 33 34 34 34 34 34 34 34 35
Closed Lower 11 13 11 19 13 12 17 20 15 16 12
Penetrated Low 8 10 8 13 9 11 16 16 10 11 11
Scenario Percentage 73% 77% 73% 68% 69% 92% 94% 80% 67% 69% 92%
Avg Max Decline 4.75% 4.27% 4.28% 10.19% 12.59% 9.73% 10.11% 11.97% 9.28% 6.83% 10.23%
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 14 18 16 15 20 20 15 22 18 9 12
Avg Max Increase -1.73% -2.53% -2.22% -1.67% -1.73% -3.46% -2.69% -2.99% -3.40% -0.80% -2.71%
Max Increase -9.88% -5.98% -7.02% -7.23% -4.50% -10.33% -8.28% -13.02% -9.42% -6.01% -7.17%
Avg Days to Max Increase 3 16 12 6 10 21 10 12 9 6 5
2003 Contract Condition     Yes         Yes Yes    
Action     Yes         Yes No    
High 52.950 53.450 54.400 51.950 53.000 53.950 57.900 59.600 59.400 55.100 61.200
Low 51.700 51.150 51.200 49.050 50.800 49.750 53.600 55.925 50.750 50.750 54.675
Close/Last 52.550 52.950 51.300 51.850 52.425 53.700 57.825 57.050 51.300 54.775 55.525