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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, 2010
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 35 38 39 39 39 40 40 40 40 40 40
Closed Higher 17 17 21 14 21 22 27 19 24 14 19
Exceeded High 15 8 16 12 17 19 23 14 19 11 11
Scenario Percentage 88% 47% 76% 86% 81% 86% 85% 74% 79% 79% 58%
Avg Max Increase 10.40% 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% 28.24% 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 -2.09% -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
2009 Contract Condition Yes Yes         Yes        
Action Yes No         No        
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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 35 38 39 39 39 40 40 40 40 40 40
Closed Lower 18 21 18 24 17 18 13 20 16 26 21
Penetrated Low 16 14 16 15 15 14 10 12 13 20 14
Scenario Percentage 89% 67% 89% 62% 88% 78% 77% 60% 81% 77% 67%
Avg Max Decline 10.10% 9.22% 6.65% 7.58% 6.85% 4.97% 8.18% 9.31% 10.47% 9.73% 10.06%
Max Decline 23.15% 18.77% 17.37% 18.94% 19.03% 10.59% 20.97% 17.21% 24.52% 32.35% 24.07%
Avg Days To Max Decline 19 16 15 16 16 19 13 18 23 9 6
Avg Max Increase -2.47% -1.53% -1.91% -2.50% -3.12% -4.32% -1.58% -2.81% -1.93% -1.16% -1.45%
Max Increase -8.70% -6.77% -7.07% -11.23% -7.40% -15.59% -4.46% -6.12% -5.17% -3.20% -6.74%
Avg Days to Max Increase 8 7 6 9 10 15 3 10 15 3 3
2009 Contract Condition     Yes Yes Yes Yes   Yes Yes Yes Yes
Action     Yes Yes Yes Yes   Yes Yes Not Yet Yes
High 86.000 92.500 91.950 88.750 82.500 76.050 73.600 73.400 71.725 64.050 63.750
Low 81.900 81.500 84.800 79.400 74.400 67.350 68.325 66.500 60.250 56.875 59.750
Close/Last 83.875 88.950 88.050 81.175 75.650 70.150 73.500 68.700 62.975 60.900 60.350

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