|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Lean Hogs(CME) as of Apr 04, 2008 |
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 |
36 |
37 |
38 |
38 |
38 |
38 |
38 |
38 |
39 |
39 |
39 |
| Closed Higher |
24 |
14 |
24 |
23 |
18 |
16 |
22 |
15 |
24 |
11 |
27 |
| Exceeded High |
18 |
11 |
21 |
16 |
15 |
12 |
17 |
13 |
22 |
9 |
14 |
| Scenario Percentage |
75% |
79% |
88% |
70% |
83% |
75% |
77% |
87% |
92% |
82% |
52% |
| Avg Max Increase |
8.32% |
9.66% |
7.48% |
7.52% |
11.46% |
12.65% |
8.90% |
9.01% |
8.22% |
9.59% |
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 |
21 |
20 |
18 |
17 |
17 |
19 |
17 |
13 |
17 |
14 |
8 |
| Avg Max Decline |
-2.53% |
-1.92% |
-1.59% |
-1.95% |
-2.60% |
-1.97% |
-3.90% |
-2.52% |
-2.55% |
-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 |
7 |
8 |
9 |
14 |
8 |
13 |
9 |
7 |
6 |
1 |
| 2006 Contract Condition |
|
Yes |
|
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
|
| Action |
|
Yes |
|
Yes |
|
Yes |
Yes |
Yes |
|
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 |
36 |
37 |
38 |
38 |
38 |
38 |
38 |
38 |
39 |
39 |
39 |
| Closed Lower |
11 |
23 |
14 |
15 |
20 |
22 |
16 |
22 |
15 |
27 |
12 |
| Penetrated Low |
9 |
15 |
11 |
12 |
18 |
17 |
14 |
13 |
14 |
18 |
8 |
| Scenario Percentage |
82% |
65% |
79% |
80% |
90% |
77% |
88% |
59% |
93% |
67% |
67% |
| Avg Max Decline |
5.13% |
6.68% |
10.86% |
8.70% |
11.54% |
10.12% |
7.16% |
12.29% |
9.65% |
8.58% |
16.25% |
| Max Decline |
12.04% |
19.90% |
34.58% |
31.77% |
31.38% |
24.36% |
16.90% |
22.35% |
18.63% |
44.65% |
47.59% |
| Avg Days To Max Decline |
15 |
16 |
18 |
20 |
18 |
20 |
15 |
20 |
16 |
11 |
10 |
| Avg Max Increase |
-0.82% |
-1.51% |
-1.82% |
-3.03% |
-2.40% |
-1.89% |
-3.21% |
-2.75% |
-3.19% |
-1.21% |
-1.68% |
| Max Increase |
-3.18% |
-6.21% |
-3.69% |
-9.21% |
-7.09% |
-11.01% |
-7.27% |
-9.81% |
-13.85% |
-5.67% |
-4.64% |
| Avg Days to Max Increase |
7 |
9 |
11 |
17 |
9 |
13 |
7 |
10 |
7 |
4 |
2 |
| 2006 Contract Condition |
Yes |
|
Yes |
|
Yes |
|
|
|
Yes |
|
Yes |
| Action |
No |
|
Yes |
|
No |
|
|
|
Yes |
|
Yes |
| High |
56.000 |
55.075 |
55.500 |
56.100 |
56.750 |
59.500 |
60.225 |
64.500 |
65.600 |
65.375 |
65.850 |
| Low |
51.300 |
51.950 |
52.100 |
51.500 |
53.900 |
54.900 |
56.450 |
58.750 |
59.300 |
58.350 |
60.700 |
| Close/Last |
52.750 |
54.325 |
52.125 |
55.900 |
54.800 |
58.675 |
59.875 |
63.700 |
60.850 |
64.950 |
61.675 |
|
|
