|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for October Lean Hogs(CME) as of Jan 07, 2009 |
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 |
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% |
22.10% |
30.19% |
23.22% |
18.19% |
25.89% |
44.70% |
33.79% |
32.64% |
21.46% |
13.06% |
| Avg Days To Max Increase |
17 |
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% |
-1.80% |
-0.76% |
| Max Decline |
-9.45% |
-5.79% |
-6.89% |
-5.74% |
-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 |
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 |
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 |
13 |
| Scenario Percentage |
77% |
73% |
67% |
67% |
75% |
92% |
90% |
78% |
63% |
68% |
93% |
| Avg Max Decline |
4.53% |
4.28% |
4.28% |
10.18% |
9.89% |
9.73% |
9.93% |
10.79% |
9.28% |
7.28% |
10.98% |
| 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 |
17 |
16 |
14 |
17 |
20 |
15 |
21 |
18 |
8 |
11 |
| Avg Max Increase |
-1.46% |
-2.29% |
-2.22% |
-1.77% |
-1.86% |
-3.46% |
-2.59% |
-3.40% |
-3.40% |
-1.03% |
-2.54% |
| Max Increase |
-9.88% |
-5.98% |
-7.02% |
-7.23% |
-4.52% |
-10.33% |
-8.28% |
-13.39% |
-9.42% |
-6.01% |
-7.17% |
| Avg Days to Max Increase |
3 |
15 |
12 |
7 |
9 |
21 |
10 |
13 |
9 |
5 |
5 |
| 2008 Contract Condition |
Yes |
|
|
Yes |
Yes |
|
|
Yes |
|
Yes |
|
| Action |
Yes |
|
|
Yes |
Yes |
|
|
Yes |
|
Yes |
|
| High |
68.950 |
68.250 |
74.700 |
75.750 |
74.700 |
74.850 |
76.250 |
77.400 |
74.800 |
78.750 |
70.400 |
| Low |
65.250 |
64.700 |
66.500 |
70.000 |
65.725 |
65.250 |
70.850 |
69.050 |
68.400 |
68.300 |
65.800 |
| Close/Last |
65.680 |
67.950 |
73.775 |
73.050 |
65.975 |
72.450 |
74.550 |
69.450 |
74.350 |
68.430 |
68.585 |
|
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