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MRCI's ScenarioSM Study
ScenarioSM Study for December Lean Hogs(CME) as of Dec 25, 2003
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 32 33 34 34 34 34 34 34 35 35 35
Closed Higher 21 12 22 19 18 14 18 13 22 10 24
Exceeded High 15 9 19 14 15 10 13 11 20 8 12
Scenario Percentage 71% 75% 86% 74% 83% 71% 72% 85% 91% 80% 50%
Avg Max Increase 8.92% 11.17% 7.79% 7.65% 11.46% 13.34% 8.74% 9.77% 8.12% 10.27% 4.21%
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 22 21 19 16 17 20 18 15 17 15 7
Avg Max Decline -2.49% -1.43% -1.66% -1.72% -2.60% -1.93% -4.30% -2.76% -2.41% -1.80% -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 16 4 8 6 14 8 15 11 7 6 1
2003 Contract Condition   Yes Yes   Yes     Yes      
Action   Yes Yes   Yes     Yes      
Copyright © 2003 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 32 33 34 34 34 34 34 34 35 35 35
Closed Lower 10 21 12 15 16 20 16 20 13 24 11
Penetrated Low 9 15 9 12 16 16 14 12 12 17 7
Scenario Percentage 90% 71% 75% 80% 100% 80% 88% 60% 92% 71% 64%
Avg Max Decline 5.13% 6.68% 12.75% 8.70% 11.93% 10.71% 7.16% 11.45% 9.36% 8.67% 16.97%
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 10
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
2003 Contract Condition Yes     Yes   Yes Yes   Yes Yes Yes
Action Yes     No   Yes Yes   Yes Yes Not Yet
High 53.300 51.200 53.000 52.700 55.400 56.000 56.000 54.000 59.500 61.025 54.300
Low 50.200 48.725 49.800 49.875 52.200 53.400 50.000 49.650 52.900 51.150 48.400
Close/Last 50.300 50.925 52.800 52.350 55.350 54.800 50.125 53.925 53.600 53.325 49.950