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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Lean Hogs(CME) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   37 38 39 39 39 39 39 39 40 40 40
Closed Higher   25 14 24 24 19 16 23 15 24 11 28
Exceeded High   19 11 21 17 16 12 18 13 22 9 13
Scenario Percentage   76% 79% 88% 71% 84% 75% 78% 87% 92% 82% 46%
Avg Max Increase   8.05% 9.66% 7.48% 7.45% 11.14% 12.65% 8.49% 9.01% 8.22% 9.28% 3.97%
Max Increase   29.22% 24.56% 19.08% 25.45% 46.99% 33.60% 33.21% 19.37% 16.97% 15.99% 9.44%
Avg Days To Max Increase   20 20 18 17 17 19 16 13 17 13 6
Avg Max Decline   -2.40% -1.92% -1.59% -1.95% -2.55% -1.97% -3.73% -2.51% -2.55% -1.80% -0.71%
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   15 7 8 8 13 8 13 9 7 6 1
2008 Contract Condition   Yes     Yes Yes   Yes       Yes
Action   Yes     Yes Yes   Yes       Not Yet
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   37 38 39 39 39 39 39 39 40 40 40
Closed Lower   11 24 15 15 20 23 16 23 16 28 12
Penetrated Low   9 16 12 12 18 18 14 14 15 19 7
Scenario Percentage   82% 67% 80% 80% 90% 78% 88% 61% 94% 68% 58%
Avg Max Decline   5.13% 6.77% 10.09% 8.70% 11.54% 9.84% 7.16% 12.94% 10.07% 8.16% 8.79%
Max Decline   12.04% 19.90% 34.58% 31.77% 31.38% 24.36% 16.90% 22.35% 18.63% 44.65% 27.50%
Avg Days To Max Decline   15 15 17 20 18 20 15 20 15 10 8
Avg Max Increase   -0.82% -1.68% -1.67% -3.03% -2.40% -2.14% -3.20% -2.67% -3.03% -1.18% -1.31%
Max Increase   -3.18% -6.21% -3.69% -9.21% -7.09% -11.01% -7.26% -9.82% -13.85% -5.66% -4.64%
Avg Days to Max Increase   7 9 10 17 9 14 7 10 7 4 2
2008 Contract Condition     Yes Yes     Yes   Yes Yes Yes  
Action     Yes Yes     Yes   Yes Yes Yes  
High 68.000 77.000 79.450 77.200 77.750 78.200 79.150 76.950 77.000 70.600 64.700 59.750
Low 64.700 66.500 71.050 68.200 68.100 73.000 72.000 71.500 68.800 64.000 54.700 53.900
Close/Last 67.800 76.900 75.200 69.200 74.375 74.500 72.400 75.900 69.550 64.200 54.800 59.500

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