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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 Apr 30, 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 Jun
Tested Years   39 40 40 40 41 41 41 41 41 41 41
Closed Higher   14 22 23 30 20 29 19 23 29 19 18
Exceeded High   12 17 19 26 19 24 17 22 22 13 11
Scenario Percentage   86% 77% 83% 87% 95% 83% 89% 96% 76% 68% 61%
Avg Max Increase   6.33% 6.47% 6.66% 6.48% 8.32% 8.13% 9.24% 9.30% 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 18 17 14 18 18 18 19 8 9
Avg Max Decline   -1.58% -1.68% -1.78% -2.83% -1.20% -2.19% -1.80% -1.64% -2.30% -1.42% -0.86%
Max Decline   -3.23% -3.96% -5.04% -8.98% -5.15% -7.88% -5.44% -7.20% -7.12% -5.06% -4.18%
Avg Days to Max Decline   8 15 8 12 7 10 7 7 13 4 3
2011 Contract Condition   Yes Yes Yes Yes Yes Yes Yes Yes   Yes  
Action   Yes Yes 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 Jun
Tested Years   39 40 40 40 41 41 41 41 41 41 41
Closed Lower   24 18 17 10 20 12 22 18 12 22 23
Penetrated Low   13 16 12 6 15 8 15 15 12 17 13
Scenario Percentage   54% 89% 71% 60% 75% 67% 68% 83% 100% 77% 57%
Avg Max Decline   6.39% 5.14% 4.42% 7.06% 4.89% 7.13% 10.50% 9.04% 9.73% 8.28% 4.26%
Max Decline   17.32% 14.41% 10.96% 14.73% 11.62% 20.65% 24.29% 29.39% 32.27% 27.57% 13.31%
Avg Days To Max Decline   16 19 17 12 13 19 14 17 20 13 8
Avg Max Increase   -2.20% -2.59% -3.05% -0.97% -2.67% -2.05% -1.75% -2.37% -3.65% -2.07% -0.39%
Max Increase   -8.66% -6.72% -10.10% -2.36% -7.12% -6.15% -7.93% -6.77% -11.23% -5.60% -3.86%
Avg Days to Max Increase   10 8 10 2 13 20 8 8 10 6 3
2011 Contract Condition                   Yes    
Action                   Yes    
High 81.450 82.050 85.600 87.200 89.000 92.600 98.500 102.700 103.850 104.050 97.000  
Low 78.500 78.750 80.450 81.200 84.175 87.250 91.150 97.375 94.325 95.625 95.450  
Close/Last 81.375 81.600 83.475 84.650 88.175 92.450 98.325 99.850 103.750 96.400 96.475  

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