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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 38 39 39 39 40 40 40 40 40 40 40
Closed Higher 14 21 22 29 20 29 18 22 28 19 18
Exceeded High 12 16 18 25 19 24 16 21 22 13 11
Scenario Percentage 86% 76% 82% 86% 95% 83% 89% 95% 79% 68% 61%
Avg Max Increase 6.33% 6.38% 6.79% 6.58% 8.32% 8.13% 9.23% 9.51% 8.90% 9.22% 5.80%
Max Increase 10.45% 13.34% 17.73% 21.48% 28.70% 25.16% 19.41% 20.92% 30.50% 30.02% 10.75%
Avg Days To Max Increase 14 24 19 17 14 18 18 18 19 8 9
Avg Max Decline -1.58% -1.57% -1.85% -2.86% -1.20% -2.19% -1.74% -1.71% -2.30% -1.41% -0.86%
Max Decline -3.23% -3.96% -5.04% -8.99% -5.15% -7.88% -5.44% -7.20% -7.12% -5.05% -4.18%
Avg Days to Max Decline 8 15 8 11 7 10 6 8 13 4 3
2009 Contract Condition       Yes              
Action       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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 38 39 39 39 40 40 40 40 40 40 40
Closed Lower 23 18 17 10 19 11 22 18 12 21 22
Penetrated Low 13 16 12 6 14 7 15 15 12 16 21
Scenario Percentage 57% 89% 71% 60% 74% 64% 68% 83% 100% 76% 95%
Avg Max Decline 6.39% 5.14% 4.42% 7.06% 4.98% 7.71% 10.50% 9.04% 9.73% 8.41% 13.13%
Max Decline 17.32% 14.41% 10.96% 14.73% 11.62% 20.65% 24.29% 29.39% 32.27% 27.57% 26.87%
Avg Days To Max Decline 16 19 17 12 14 22 14 17 20 13 13
Avg Max Increase -2.20% -2.59% -3.04% -0.97% -2.53% -2.37% -1.75% -2.37% -3.65% -2.15% -2.47%
Max Increase -8.66% -6.72% -10.10% -2.36% -7.12% -6.15% -7.93% -6.77% -11.23% -5.60% -8.78%
Avg Days to Max Increase 10 8 10 2 13 23 8 8 10 7 5
2009 Contract Condition Yes Yes Yes   Yes Yes Yes Yes Yes Yes Yes
Action Yes Yes No   Yes Yes Yes Yes Yes Yes Not Yet
High 94.550 89.300 85.200 82.000 81.850 82.050 78.150 76.900 75.800 71.175 66.250
Low 86.200 82.500 74.650 78.200 75.675 72.550 70.500 71.450 66.750 64.425 56.275
Close/Last 88.100 84.950 78.750 81.925 79.675 75.475 74.350 72.300 67.300 65.625 58.675

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