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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, 2013
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   38 41 42 42 42 43 43 43 43 43 43
Closed Higher   18 19 23 14 24 23 30 20 26 15 21
Exceeded High   15 10 18 12 19 20 25 15 21 12 12
Scenario Percentage   83% 53% 78% 86% 79% 87% 83% 75% 81% 80% 57%
Avg Max Increase   10.40% 13.06% 8.05% 7.57% 7.89% 9.08% 7.43% 10.15% 8.59% 9.52% 5.82%
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 16 18 14 22 19 18 19 15 13 8
Avg Max Decline   -2.09% -1.24% -3.57% -2.29% -2.11% -1.52% -3.27% -1.86% -2.31% -1.86% -0.88%
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 8 10 8 10 11 10 8 8 7 2
2012 Contract Condition     Yes Yes   Yes   Yes   Yes Yes  
Action     Yes Yes   Yes   No   Yes Not Yet  
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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   38 41 42 42 42 43 43 43 43 43 43
Closed Lower   20 22 19 27 17 20 13 22 17 28 22
Penetrated Low   17 15 17 15 15 16 10 13 14 22 12
Scenario Percentage   85% 68% 89% 56% 88% 80% 77% 59% 82% 79% 55%
Avg Max Decline   9.73% 9.79% 7.09% 7.58% 6.85% 4.88% 8.18% 9.05% 10.03% 9.36% 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   18 16 15 16 16 18 13 17 21 10 6
Avg Max Increase   -2.41% -1.70% -1.84% -2.50% -3.12% -3.93% -1.58% -3.08% -1.79% -1.29% -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 14 3 11 14 3 2
2012 Contract Condition   Yes     Yes   Yes   Yes     Yes
Action   No     No   Yes   No     Not Yet
High 91.300 87.775 90.425 92.400 93.100 93.600 95.750 94.500 93.835 89.250 90.980 90.730
Low 86.450 83.275 84.050 87.625 87.350 88.400 91.950 89.500 85.450 85.700 87.700 82.800
Close/Last 87.300 85.800 87.750 92.100 89.725 93.500 92.725 93.300 87.700 88.885 89.430 83.430

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