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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 Jun 01, 2011
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 38 39 41 41 41 41 41 41 41 41 41
Closed Higher 19 16 26 23 31 21 28 20 23 24 23
Exceeded High 14 15 19 18 26 20 23 19 21 18 10
Scenario Percentage 74% 94% 73% 78% 84% 95% 82% 95% 91% 75% 43%
Avg Max Increase 8.08% 6.32% 6.47% 7.17% 6.86% 8.65% 8.59% 8.75% 10.53% 7.95% 5.73%
Max Increase 20.43% 10.89% 11.38% 18.26% 21.48% 29.71% 25.88% 19.19% 23.06% 17.35% 10.69%
Avg Days To Max Increase 14 12 23 17 19 17 18 16 19 13 11
Avg Max Decline -2.85% -1.48% -1.78% -1.70% -3.08% -1.43% -2.55% -1.94% -2.03% -1.51% -0.50%
Max Decline -7.45% -3.70% -7.01% -5.95% -8.69% -4.80% -7.58% -6.47% -8.16% -4.44% -2.21%
Avg Days to Max Decline 8 8 13 9 12 7 12 8 6 3 2
2011 Contract Condition Yes   Yes   Yes Yes Yes   Yes    
Action Yes   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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 38 39 41 41 41 41 41 41 41 41 41
Closed Lower 19 23 15 18 10 19 13 21 18 17 18
Penetrated Low 16 12 13 12 6 13 10 15 15 14 15
Scenario Percentage 84% 52% 87% 67% 60% 68% 77% 71% 83% 82% 83%
Avg Max Decline 6.18% 6.87% 6.08% 5.01% 8.30% 6.12% 8.11% 11.35% 10.27% 8.43% 12.56%
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 14 15 19 17 16 14 19 16 16 13 11
Avg Max Increase -1.44% -2.41% -2.49% -3.55% -1.95% -2.47% -1.59% -1.48% -2.31% -2.64% -1.32%
Max Increase -5.41% -8.88% -5.64% -11.19% -6.86% -6.79% -6.59% -7.24% -6.95% -7.66% -4.70%
Avg Days to Max Increase 9 10 6 11 3 14 15 6 8 6 -44
2011 Contract Condition   Yes   Yes       Yes   Yes Yes
Action   No   No       Yes   Yes Not Yet
High 83.200 84.180 87.450 88.300 89.550 93.280 101.000 104.100 104.150 104.350 96.335
Low 80.030 80.300 81.950 82.280 84.335 87.750 91.400 99.200 94.530 94.680 86.930
Close/Last 83.135 82.750 84.950 84.835 88.750 93.050 100.950 100.200 103.885 95.230 90.180

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