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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Lean Hogs(CME) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   36 37 38 39 39 39 39 39 39 39 40
Closed Higher   23 22 26 16 23 27 19 16 22 20 26
Exceeded High   19 18 21 14 19 19 17 12 20 17 16
Scenario Percentage   83% 82% 81% 88% 83% 70% 89% 75% 91% 85% 62%
Avg Max Increase   5.75% 7.10% 8.32% 8.66% 7.83% 9.00% 10.82% 13.58% 9.14% 8.99% 5.29%
Max Increase   13.88% 22.09% 30.19% 23.22% 18.19% 25.89% 44.70% 33.79% 32.64% 21.46% 13.06%
Avg Days To Max Increase   17 11 20 18 19 18 19 20 16 9 9
Avg Max Decline   -2.90% -1.04% -2.57% -2.09% -2.09% -1.55% -2.69% -2.96% -3.97% -1.81% -0.76%
Max Decline   -9.45% -5.79% -6.89% -5.75% -9.70% -6.61% -14.68% -6.03% -13.13% -10.53% -2.74%
Avg Days to Max Decline   12 5 12 9 8 6 9 13 10 3 3
2008 Contract Condition     Yes Yes     Yes Yes   Yes   Yes
Action     Yes Yes     Yes Yes   Yes   Not Yet
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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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   36 37 38 39 39 39 39 39 39 39 40
Closed Lower   13 15 12 21 16 12 20 23 16 19 14
Penetrated Low   10 11 8 14 12 11 18 18 10 13 10
Scenario Percentage   77% 73% 67% 67% 75% 92% 90% 78% 63% 68% 71%
Avg Max Decline   4.53% 4.28% 4.28% 10.18% 9.89% 9.73% 9.94% 10.79% 9.28% 7.28% 3.71%
Max Decline   11.67% 10.52% 7.31% 27.61% 34.99% 34.02% 27.95% 24.81% 16.61% 22.06% 8.40%
Avg Days To Max Decline   14 17 16 14 17 20 15 21 18 8 7
Avg Max Increase   -1.46% -2.29% -2.22% -1.77% -1.86% -3.46% -2.59% -3.40% -3.40% -1.03% -1.32%
Max Increase   -9.88% -5.98% -7.02% -7.24% -4.52% -10.33% -8.27% -13.39% -9.42% -6.01% -3.25%
Avg Days to Max Increase   3 15 12 7 9 21 10 13 9 5 2
2008 Contract Condition   Yes     Yes Yes     Yes   Yes  
Action   Yes     Yes Yes     Yes   Yes  
High 68.500 68.950 68.250 74.700 75.750 74.700 74.850 76.250 77.400 74.800 78.750 70.400
Low 64.200 65.250 64.700 66.500 70.000 65.725 65.250 70.850 69.050 68.400 68.300 65.800
Close/Last 66.750 65.675 67.950 73.775 73.050 65.975 72.450 74.550 69.450 74.350 68.425 68.575

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