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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, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   35 37 37 38 39 39 39 39 39 39 39
Closed Higher   21 25 19 18 23 17 25 20 29 13 22
Exceeded High   18 19 15 13 18 13 21 16 24 8 17
Scenario Percentage   86% 76% 79% 72% 78% 76% 84% 80% 83% 62% 77%
Avg Max Increase   6.77% 6.53% 9.77% 11.70% 8.07% 9.77% 8.74% 9.34% 7.69% 10.18% 4.85%
Max Increase   20.61% 24.73% 44.63% 33.46% 25.43% 15.91% 16.85% 21.15% 24.91% 17.74% 12.03%
Avg Days To Max Increase   16 16 21 19 16 18 19 16 16 18 9
Avg Max Decline   -1.34% -1.76% -3.04% -1.48% -3.46% -2.39% -2.36% -2.08% -2.98% -2.45% -0.50%
Max Decline   -6.86% -6.80% -13.45% -5.74% -7.58% -5.21% -7.32% -10.34% -7.69% -5.97% -2.10%
Avg Days to Max Decline   6 8 11 8 9 9 8 8 8 4 2
2008 Contract Condition     Yes     Yes       Yes   Yes
Action     No     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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   35 37 37 38 39 39 39 39 39 39 39
Closed Lower   13 12 17 20 16 22 14 18 10 26 16
Penetrated Low   8 10 15 15 14 12 12 13 9 15 12
Scenario Percentage   62% 83% 88% 75% 88% 55% 86% 72% 90% 58% 75%
Avg Max Decline   11.07% 7.84% 11.00% 9.03% 6.28% 9.18% 8.05% 5.20% 9.49% 7.65% 4.94%
Max Decline   31.51% 27.40% 27.67% 17.77% 16.81% 20.45% 17.50% 9.50% 28.71% 16.93% 10.85%
Avg Days To Max Decline   19 17 19 17 14 17 14 16 18 9 9
Avg Max Increase   -1.74% -2.37% -2.68% -1.62% -2.37% -2.57% -2.96% -3.83% -2.72% -2.19% -0.98%
Max Increase   -3.77% -6.92% -6.74% -7.74% -6.59% -7.87% -6.78% -13.93% -9.20% -10.11% -3.28%
Avg Days to Max Increase   11 11 9 10 7 9 14 15 7 6 2
2008 Contract Condition   Yes   Yes Yes   Yes Yes Yes   Yes  
Action   Yes   Yes Yes   Yes Yes Yes   Yes  
High 71.400 72.150 70.825 68.850 69.775 73.300 73.500 72.700 67.500 63.750 63.950 58.775
Low 66.200 67.400 68.000 65.400 64.700 64.400 65.750 66.825 60.150 58.150 57.000 53.875
Close/Last 71.000 68.250 68.850 67.125 65.200 73.150 70.050 67.900 60.850 62.300 57.875 58.475

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