|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for October Lean Hogs(CME) as of Jul 31, 2006 |
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 |
33 |
34 |
35 |
36 |
36 |
36 |
36 |
36 |
36 |
36 |
37 |
| Closed Higher |
21 |
20 |
24 |
14 |
23 |
24 |
18 |
15 |
20 |
19 |
25 |
| Exceeded High |
17 |
17 |
19 |
12 |
19 |
17 |
16 |
11 |
18 |
16 |
16 |
| Scenario Percentage |
81% |
85% |
79% |
86% |
83% |
71% |
89% |
73% |
90% |
84% |
64% |
| Avg Max Increase |
6.19% |
6.84% |
8.67% |
9.78% |
7.83% |
9.05% |
11.26% |
14.04% |
9.64% |
9.41% |
5.29% |
| 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 |
21 |
18 |
19 |
18 |
19 |
19 |
17 |
9 |
9 |
| Avg Max Decline |
-2.81% |
-0.98% |
-2.82% |
-1.72% |
-2.09% |
-1.36% |
-2.68% |
-2.68% |
-4.24% |
-1.88% |
-0.76% |
| 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 |
| 2005 Contract Condition |
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
| Action |
Yes |
Yes |
Yes |
|
Yes |
No |
|
|
Yes |
Yes |
Yes |
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 |
33 |
34 |
35 |
36 |
36 |
36 |
36 |
36 |
36 |
36 |
37 |
| Closed Lower |
12 |
14 |
11 |
20 |
13 |
12 |
18 |
21 |
15 |
17 |
12 |
| Penetrated Low |
9 |
10 |
8 |
13 |
9 |
11 |
17 |
16 |
10 |
11 |
11 |
| Scenario Percentage |
75% |
71% |
73% |
65% |
69% |
92% |
94% |
76% |
67% |
65% |
92% |
| Avg Max Decline |
4.86% |
4.27% |
4.28% |
10.19% |
12.59% |
9.73% |
10.20% |
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% |
-2.54% |
-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 |
| 2005 Contract Condition |
|
|
|
Yes |
|
|
Yes |
Yes |
|
|
|
| Action |
|
|
|
No |
|
|
Yes |
No |
|
|
|
| High |
60.150 |
61.900 |
63.400 |
63.750 |
65.000 |
65.650 |
64.925 |
60.700 |
59.800 |
65.075 |
67.400 |
| Low |
53.750 |
56.800 |
61.000 |
61.850 |
62.200 |
62.650 |
59.500 |
53.600 |
56.200 |
58.000 |
61.600 |
| Close/Last |
59.900 |
61.825 |
63.375 |
62.725 |
64.225 |
64.375 |
60.625 |
56.550 |
57.525 |
63.700 |
67.200 |
|
|