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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 Dec 31, 2010
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   36 39 40 40 40 41 41 41 41 41 41
Closed Higher   18 17 21 14 22 23 28 19 24 15 20
Exceeded High   15 8 16 12 18 20 24 14 19 12 12
Scenario Percentage   83% 47% 76% 86% 82% 87% 86% 74% 79% 80% 60%
Avg Max Increase   10.40% 15.09% 8.53% 7.57% 8.19% 9.08% 6.98% 9.93% 9.32% 9.53% 6.40%
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   -2.09% -1.19% -3.52% -2.29% -2.15% -1.52% -3.32% -1.79% -2.30% -1.86% -0.82%
Max Decline   -7.98% -8.14% -7.46% -4.33% -5.29% -7.71% -8.74% -3.97% -8.38% -4.81% -1.86%
Avg Days to Max Decline   8 10 10 8 10 11 10 8 8 7 2
2010 Contract Condition   Yes       Yes Yes Yes     Yes Yes
Action   No       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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   36 39 40 40 40 41 41 41 41 41 41
Closed Lower   18 22 19 25 17 18 13 21 17 26 21
Penetrated Low   16 15 17 15 15 14 10 13 14 20 12
Scenario Percentage   89% 68% 89% 60% 88% 78% 77% 62% 82% 77% 57%
Avg Max Decline   10.10% 9.79% 7.09% 7.58% 6.85% 4.97% 8.18% 9.05% 10.03% 9.73% 5.13%
Max Decline   23.15% 18.78% 17.37% 18.93% 19.03% 10.59% 20.97% 17.21% 24.53% 32.35% 21.30%
Avg Days To Max Decline   19 16 15 16 16 19 13 17 21 9 6
Avg Max Increase   -2.47% -1.70% -1.84% -2.50% -3.12% -4.32% -1.58% -3.08% -1.79% -1.16% -0.88%
Max Increase   -8.70% -6.77% -7.07% -11.23% -7.40% -15.59% -4.46% -6.33% -5.17% -3.20% -2.51%
Avg Days to Max Increase   8 7 6 9 10 15 3 11 14 3 2
2010 Contract Condition     Yes Yes Yes       Yes Yes    
Action     Yes Yes No       Yes Yes    
High 72.175 72.500 72.200 68.150 63.250 64.050 66.900 71.125 71.600 74.300 72.950 74.150
Low 66.700 69.100 64.450 61.000 53.875 58.225 60.000 65.600 68.025 68.300 65.650 69.300
Close/Last 69.175 70.500 65.450 62.800 58.225 61.900 66.800 70.550 69.875 68.600 72.800 73.325

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