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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years 33 36 37 37 37 38 38 38 38 38 38
Closed Higher 16 16 20 14 21 22 25 19 23 14 19
Exceeded High 14 8 16 12 17 19 22 14 18 11 10
Scenario Percentage 88% 50% 80% 86% 81% 86% 88% 74% 78% 79% 53%
Avg Max Increase 10.41% 15.09% 8.53% 7.57% 7.80% 9.18% 7.31% 9.93% 9.73% 9.74% 6.28%
Max Increase 48.25% 35.05% 22.84% 13.01% 15.01% 19.24% 22.86% 28.24% 26.30% 16.23% 11.09%
Avg Days To Max Increase 22 17 17 14 22 19 17 19 16 13 8
Avg Max Decline -2.03% -1.19% -3.52% -2.29% -2.10% -1.51% -3.33% -1.79% -2.43% -1.59% -0.95%
Max Decline -7.98% -8.14% -7.46% -4.33% -5.29% -7.71% -8.74% -3.97% -8.38% -3.91% -1.86%
Avg Days to Max Decline 8 10 10 8 11 10 9 8 8 5 2
2007 Contract Condition Yes Yes Yes Yes   Yes     Yes    
Action 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years 33 36 37 37 37 38 38 38 38 38 38
Closed Lower 17 20 17 22 15 16 13 18 15 24 19
Penetrated Low 15 13 15 13 13 12 10 10 12 19 13
Scenario Percentage 88% 65% 88% 59% 87% 75% 77% 56% 80% 79% 68%
Avg Max Decline 10.56% 9.87% 6.06% 6.69% 6.42% 5.13% 8.18% 8.87% 10.54% 9.63% 10.52%
Max Decline 23.15% 18.77% 17.37% 18.94% 19.03% 10.59% 20.97% 15.56% 24.52% 32.35% 24.07%
Avg Days To Max Decline 20 17 15 15 17 18 13 17 23 8 6
Avg Max Increase -2.35% -1.65% -1.99% -2.49% -3.48% -4.16% -1.58% -2.32% -1.95% -1.33% -1.51%
Max Increase -8.70% -6.77% -7.07% -11.23% -7.40% -15.59% -4.46% -5.79% -5.17% -3.20% -6.74%
Avg Days to Max Increase 7 8 7 9 11 11 3 9 16 3 3
2007 Contract Condition         Yes   Yes Yes   Yes Yes
Action         No   Yes Yes   Yes Yes
High 58.975 61.250 62.100 63.600 64.975 68.500 70.150 68.300 68.500 69.450 68.675
Low 56.100 57.775 59.150 60.325 61.300 62.150 66.000 64.825 62.525 65.900 62.950
Close/Last 57.775 60.500 61.500 63.550 62.700 68.375 68.300 65.525 68.225 67.750 63.850

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