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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 37 38 40 40 40 40 40 40 40 40 40
Closed Higher 19 16 25 22 30 21 28 19 22 23 23
Exceeded High 14 15 18 17 25 20 23 18 20 18 9
Scenario Percentage 74% 94% 72% 77% 83% 95% 82% 95% 91% 78% 39%
Avg Max Increase 8.08% 6.32% 6.27% 7.32% 6.95% 8.65% 8.59% 8.80% 10.76% 7.36% 4.71%
Max Increase 20.43% 10.89% 11.38% 18.26% 21.48% 29.71% 25.88% 19.19% 23.06% 16.88% 7.53%
Avg Days To Max Increase 14 12 23 17 19 17 18 16 18 12 9
Avg Max Decline -2.85% -1.48% -1.72% -1.76% -3.10% -1.43% -2.55% -1.80% -2.13% -1.51% -0.31%
Max Decline -7.45% -3.70% -7.01% -5.95% -8.69% -4.80% -7.58% -6.47% -8.16% -4.44% -1.49%
Avg Days to Max Decline 8 8 13 9 12 7 12 7 6 3 2
2009 Contract Condition         Yes            
Action         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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 37 38 40 40 40 40 40 40 40 40 40
Closed Lower 18 22 15 18 10 18 12 21 18 17 17
Penetrated Low 15 12 13 12 6 12 9 15 15 14 14
Scenario Percentage 83% 55% 87% 67% 60% 67% 75% 71% 83% 82% 82%
Avg Max Decline 5.80% 6.87% 6.08% 5.01% 8.30% 6.30% 8.65% 11.35% 10.27% 8.43% 13.04%
Max Decline 16.03% 18.42% 15.95% 11.76% 15.50% 13.32% 22.26% 25.20% 30.00% 28.53% 28.40%
Avg Days To Max Decline 15 15 19 17 16 16 21 16 16 13 11
Avg Max Increase -1.53% -2.41% -2.49% -3.55% -1.95% -2.22% -1.78% -1.48% -2.31% -2.64% -1.35%
Max Increase -5.41% -8.88% -5.64% -11.19% -6.86% -6.79% -6.59% -7.24% -6.95% -7.67% -4.70%
Avg Days to Max Increase 9 10 6 11 3 14 17 6 8 6 -48
2009 Contract Condition Yes Yes Yes Yes   Yes Yes Yes Yes Yes Yes
Action Yes Yes Yes No   Yes Yes Yes Yes Yes Yes
High 100.250 96.500 90.675 86.600 83.250 82.700 82.600 77.025 75.925 74.825 69.475
Low 93.725 88.000 83.675 76.350 78.400 76.450 72.700 69.525 70.525 63.800 63.400
Close/Last 96.200 90.000 86.675 79.975 83.050 79.900 75.500 72.525 72.400 64.525 63.925

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