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| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Lean Hogs(CME) as of Jul 14, 2005 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
33 |
34 |
35 |
35 |
35 |
35 |
35 |
35 |
36 |
36 |
36 |
| Closed Higher |
22 |
12 |
23 |
20 |
18 |
15 |
19 |
13 |
23 |
10 |
25 |
| Exceeded High |
16 |
9 |
20 |
15 |
15 |
11 |
14 |
11 |
21 |
8 |
14 |
| Scenario Percentage |
73% |
75% |
87% |
75% |
83% |
73% |
74% |
85% |
91% |
80% |
56% |
| Avg Max Increase |
8.75% |
11.17% |
7.74% |
7.59% |
11.46% |
12.90% |
8.90% |
9.77% |
8.44% |
10.61% |
4.50% |
| Max Increase |
29.22% |
24.55% |
19.08% |
25.45% |
46.98% |
33.60% |
33.21% |
19.37% |
16.97% |
15.99% |
9.68% |
| Avg Days To Max Increase |
22 |
21 |
19 |
17 |
17 |
18 |
18 |
15 |
17 |
16 |
8 |
| Avg Max Decline |
-2.69% |
-1.43% |
-1.68% |
-1.85% |
-2.60% |
-1.80% |
-4.47% |
-2.76% |
-2.68% |
-1.80% |
-0.77% |
| Max Decline |
-6.89% |
-6.79% |
-8.67% |
-7.43% |
-8.24% |
-6.28% |
-6.72% |
-8.87% |
-10.12% |
-4.42% |
-2.09% |
| Avg Days to Max Decline |
16 |
4 |
8 |
8 |
14 |
7 |
16 |
11 |
7 |
6 |
1 |
| 2001 Contract Condition |
Yes |
|
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
|
|
| Action |
Yes |
|
Yes |
|
Yes |
Yes |
No |
|
Yes |
|
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
33 |
34 |
35 |
35 |
35 |
35 |
35 |
35 |
36 |
36 |
36 |
| Closed Lower |
10 |
22 |
12 |
15 |
17 |
20 |
16 |
21 |
13 |
25 |
11 |
| Penetrated Low |
9 |
15 |
9 |
12 |
16 |
16 |
14 |
12 |
12 |
17 |
7 |
| Scenario Percentage |
90% |
68% |
75% |
80% |
94% |
80% |
88% |
57% |
92% |
68% |
64% |
| Avg Max Decline |
5.13% |
6.68% |
12.75% |
8.70% |
11.93% |
10.71% |
7.16% |
11.45% |
9.36% |
8.73% |
16.98% |
| Max Decline |
12.04% |
19.90% |
34.58% |
31.77% |
31.38% |
24.36% |
16.90% |
22.35% |
18.06% |
44.65% |
47.59% |
| Avg Days To Max Decline |
15 |
16 |
20 |
20 |
19 |
21 |
15 |
19 |
15 |
10 |
11 |
| Avg Max Increase |
-0.82% |
-1.51% |
-1.56% |
-3.03% |
-2.50% |
-1.96% |
-3.21% |
-2.88% |
-3.62% |
-1.21% |
-1.68% |
| Max Increase |
-3.18% |
-6.21% |
-3.50% |
-9.21% |
-7.09% |
-11.01% |
-7.27% |
-9.81% |
-13.85% |
-5.67% |
-4.64% |
| Avg Days to Max Increase |
7 |
9 |
12 |
17 |
9 |
13 |
7 |
11 |
7 |
4 |
2 |
| 2001 Contract Condition |
|
Yes |
|
Yes |
|
|
|
Yes |
|
Yes |
Yes |
| Action |
|
No |
|
Yes |
|
|
|
Yes |
|
Yes |
Yes |
| High |
50.500 |
51.000 |
53.250 |
54.800 |
52.350 |
55.050 |
57.250 |
56.900 |
57.200 |
57.325 |
53.150 |
| Low |
47.150 |
49.750 |
50.000 |
51.050 |
48.600 |
51.125 |
53.600 |
53.000 |
53.300 |
46.700 |
47.450 |
| Close/Last |
50.425 |
50.050 |
52.700 |
51.075 |
51.650 |
54.850 |
55.625 |
54.325 |
54.825 |
51.650 |
50.325 |
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