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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February Lean Hogs(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years 34 36 36 37 38 38 38 38 38 38 38
Closed Higher 21 24 19 18 22 17 25 20 28 13 21
Exceeded High 18 19 15 13 17 13 21 16 23 8 16
Scenario Percentage 86% 79% 79% 72% 77% 76% 84% 80% 82% 62% 76%
Avg Max Increase 6.77% 6.53% 9.77% 11.70% 8.52% 9.77% 8.74% 9.34% 7.91% 10.18% 4.97%
Max Increase 20.61% 24.73% 44.63% 33.46% 25.43% 15.91% 16.85% 21.15% 24.91% 17.74% 12.01%
Avg Days To Max Increase 16 16 21 19 17 18 19 16 17 18 9
Avg Max Decline -1.34% -1.76% -3.04% -1.48% -3.53% -2.39% -2.36% -2.08% -2.95% -2.45% -0.57%
Max Decline -6.86% -6.80% -13.45% -5.74% -7.59% -5.21% -7.32% -10.34% -7.69% -5.97% -2.10%
Avg Days to Max Decline 6 8 11 8 10 9 8 8 8 4 2
2007 Contract Condition   Yes Yes Yes Yes Yes   Yes     Yes
Action   Yes Yes Yes Yes Yes   Yes     Yes
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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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years 34 36 36 37 38 38 38 38 38 38 38
Closed Lower 12 12 16 19 16 21 13 17 10 25 16
Penetrated Low 7 10 14 14 14 11 11 12 9 14 13
Scenario Percentage 58% 83% 88% 74% 88% 52% 85% 71% 90% 56% 81%
Avg Max Decline 12.06% 7.84% 11.50% 9.58% 6.28% 8.74% 7.48% 5.11% 9.49% 7.70% 11.66%
Max Decline 31.51% 27.41% 27.67% 17.77% 16.81% 20.45% 17.50% 9.50% 28.71% 16.93% 30.56%
Avg Days To Max Decline 17 17 21 18 14 16 15 15 18 9 13
Avg Max Increase -1.45% -2.37% -2.59% -1.76% -2.37% -2.46% -3.28% -3.73% -2.72% -2.36% -1.57%
Max Increase -3.74% -6.91% -6.74% -7.73% -6.59% -7.87% -6.78% -13.93% -9.20% -10.11% -5.41%
Avg Days to Max Increase 11 11 8 11 7 8 14 13 7 6 3
2007 Contract Condition Yes           Yes   Yes Yes  
Action No           No   Yes Yes  
High 57.175 57.000 58.500 60.500 61.300 63.850 65.700 68.150 68.750 65.375 64.600
Low 54.025 54.300 55.825 57.150 58.350 60.100 60.500 60.600 63.950 61.350 59.100
Close/Last 54.700 56.950 57.275 59.075 60.950 63.675 61.900 68.050 65.175 61.700 64.525

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