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MRCI's ScenarioSM Study
ScenarioSM Study for December Lean Hogs(CME) as of Nov 14, 2002
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 30 31 32 32 32 32 32 32 33 33 33
Closed Higher 20 11 21 19 17 14 17 12 21 9 23
Exceeded High 14 8 18 14 14 10 13 10 19 7 12
Scenario Percentage 70% 73% 86% 74% 82% 71% 76% 83% 90% 78% 52%
Avg Max Increase 9.51% 12.06% 7.95% 7.65% 12.20% 13.34% 8.74% 9.44% 7.70% 10.62% 4.57%
Max Increase 29.22% 24.55% 19.08% 25.45% 46.98% 33.60% 33.21% 19.37% 16.97% 15.99% 9.44%
Avg Days To Max Increase 24 20 18 16 18 20 18 15 17 16 7
Avg Max Decline -2.68% -1.33% -1.45% -1.72% -2.53% -1.93% -4.30% -2.85% -2.25% -1.88% -0.72%
Max Decline -6.89% -6.79% -8.67% -7.43% -8.24% -6.28% -6.51% -8.87% -10.12% -4.42% -2.09%
Avg Days to Max Decline 17 4 7 6 12 8 15 9 7 7 1
2002 Contract Condition Yes           Yes   Yes Yes Yes
Action Yes           No   Yes Yes  
Copyright © 2001 Moore Research Center, Inc. All Rights Reserved.
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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 30 31 32 32 32 32 32 32 33 33 33
Closed Lower 9 20 11 13 15 18 15 19 12 23 10
Penetrated Low 8 14 8 11 15 14 13 12 11 16 7
Scenario Percentage 89% 70% 73% 85% 100% 78% 87% 63% 92% 70% 70%
Avg Max Decline 5.38% 5.74% 11.78% 8.34% 12.30% 10.76% 7.64% 11.45% 9.33% 8.70% 16.98%
Max Decline 12.04% 16.20% 34.58% 31.77% 31.38% 24.36% 16.90% 22.35% 18.06% 44.65% 47.59%
Avg Days To Max Decline 16 15 19 21 19 21 15 19 14 9 11
Avg Max Increase -0.97% -1.62% -1.52% -3.13% -2.54% -1.30% -3.13% -2.88% -2.69% -1.18% -1.68%
Max Increase -3.18% -6.21% -3.50% -9.21% -7.09% -10.33% -7.27% -9.81% -6.84% -5.67% -4.64%
Avg Days to Max Increase 8 10 12 19 9 14 7 11 6 4 2
2002 Contract Condition   Yes Yes Yes Yes Yes   Yes      
Action   Yes Yes Yes Yes Yes   No      
High 50.800 51.000 49.800 46.150 41.100 38.300 41.100 39.750 40.875 43.550 47.050
Low 50.500 49.000 45.150 39.850 36.025 35.200 37.900 32.850 33.600 38.325 42.600
Close/Last 50.700 49.750 45.300 40.300 37.575 37.025 40.050 35.300 40.550 43.125 44.600