|
 |
| 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 |
|
|
|
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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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
