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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, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   34 37 38 38 38 39 39 39 39 39 39
Closed Higher   16 16 21 14 21 22 26 19 24 14 19
Exceeded High   14 8 16 12 17 19 23 14 19 11 11
Scenario Percentage   88% 50% 76% 86% 81% 86% 88% 74% 79% 79% 58%
Avg Max Increase   10.41% 15.09% 8.53% 7.57% 7.80% 9.18% 7.05% 9.93% 9.32% 9.75% 6.41%
Max Increase   48.25% 35.05% 22.84% 13.01% 15.01% 19.24% 22.86% 28.25% 26.30% 16.23% 11.09%
Avg Days To Max Increase   22 17 17 14 22 19 17 19 15 13 10
Avg Max Decline   -2.03% -1.19% -3.52% -2.29% -2.10% -1.51% -3.31% -1.79% -2.30% -1.59% -0.91%
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
2008 Contract Condition       Yes       Yes   Yes    
Action       No       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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   34 37 38 38 38 39 39 39 39 39 39
Closed Lower   18 21 17 23 16 17 13 19 15 25 20
Penetrated Low   16 14 15 14 14 13 10 11 12 20 11
Scenario Percentage   89% 67% 88% 61% 88% 76% 77% 58% 80% 80% 55%
Avg Max Decline   10.10% 9.22% 6.06% 6.91% 6.55% 4.96% 8.18% 8.59% 10.54% 9.73% 5.22%
Max Decline   23.15% 18.78% 17.37% 18.93% 19.03% 10.59% 20.97% 15.56% 24.53% 32.35% 21.30%
Avg Days To Max Decline   19 16 15 16 16 19 13 18 23 9 5
Avg Max Increase   -2.47% -1.53% -1.98% -2.56% -3.31% -4.27% -1.58% -2.66% -1.95% -1.16% -0.90%
Max Increase   -8.70% -6.77% -7.07% -11.23% -7.40% -15.59% -4.46% -6.12% -5.17% -3.20% -2.51%
Avg Days to Max Increase   8 7 7 9 11 14 3 11 16 3 2
2008 Contract Condition   Yes Yes   Yes Yes Yes   Yes   Yes Yes
Action   Yes Yes   Yes Yes Yes   Yes   Yes Not Yet
High 71.700 70.475 71.700 74.250 73.025 73.300 70.350 68.100 68.350 66.700 67.650 60.000
Low 69.500 67.350 66.800 66.550 66.650 68.900 63.900 63.850 62.900 60.900 59.600 54.125
Close/Last 70.575 68.800 67.050 73.425 70.800 69.625 64.750 67.500 63.750 66.450 59.950 57.075

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