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MRCI's ScenarioSM Study
ScenarioSM Study for October Lean Hogs(CME) as of Dec 30, 2004
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 15
Scenario Percentage 80% 84% 78% 86% 82% 74% 89% 73% 89% 83% 63%
Avg Max Increase 6.21% 7.07% 9.01% 9.78% 8.14% 9.05% 11.26% 14.04% 9.20% 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 18 19 19 16 10 9
Avg Max Decline -2.66% -0.95% -2.85% -1.72% -2.23% -1.36% -2.68% -2.68% -4.54% -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 8 6 9 12 11 3 3
2004 Contract Condition     Yes   Yes Yes Yes Yes Yes   Yes
Action     Yes   Yes Yes Yes Yes Yes   Not Yet
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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 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 11 11
Scenario Percentage 75% 71% 73% 68% 69% 92% 94% 80% 67% 65% 92%
Avg Max Decline 4.86% 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 15 18 16 15 20 20 15 22 18 9 12
Avg Max Increase -1.62% -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
2004 Contract Condition Yes Yes               Yes  
Action Yes No               Not Yet  
High 54.250 52.400 53.200 53.400 57.650 60.250 62.650 66.300 70.100 71.000 77.850
Low 51.700 49.000 49.700 50.100 52.350 56.600 60.000 61.000 63.950 62.500 64.150
Close/Last 52.000 49.600 52.750 52.750 56.900 60.225 60.275 66.100 69.225 65.975 75.000