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MRCI's ScenarioSM Study
ScenarioSM Study for December Lean Hogs(CME) as of Oct 31, 2004
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 13
Scenario Percentage 71% 75% 86% 74% 83% 71% 72% 85% 91% 80% 54%
Avg Max Increase 8.92% 11.17% 7.79% 7.65% 11.46% 13.34% 8.74% 9.77% 8.12% 10.61% 4.76%
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 16 17 20 18 15 17 16 8
Avg Max Decline -2.49% -1.43% -1.66% -1.72% -2.60% -1.93% -4.30% -2.76% -2.41% -1.80% -0.78%
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
2004 Contract Condition Yes   Yes Yes   Yes Yes   Yes   Yes
Action Yes   Yes Yes   Yes Yes   Not Yet    
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% 8.73% 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
2004 Contract Condition   Yes     Yes     Yes   Yes  
Action   No     No     No   Not Yet  
High 53.000 53.300 56.300 57.125 59.350 60.900 64.950 66.000 71.800 69.250 69.350
Low 49.550 50.000 52.175 54.550 55.000 56.600 60.500 60.400 61.900 63.500 67.700
Close/Last 53.000 52.750 55.650 57.050 55.500 60.825 64.750 63.725 69.125 67.450 69.175