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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, 2013
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   41 42 42 42 43 43 43 43 43 43 43
Closed Higher   15 24 24 32 21 31 20 24 29 20 20
Exceeded High   13 19 20 27 20 26 18 23 22 14 12
Scenario Percentage   87% 79% 83% 84% 95% 84% 90% 96% 76% 70% 60%
Avg Max Increase   6.37% 6.22% 6.79% 6.67% 8.46% 7.79% 8.96% 8.91% 8.90% 9.04% 5.36%
Max Increase   10.45% 13.34% 17.73% 21.48% 28.70% 25.16% 19.41% 20.92% 30.50% 30.02% 10.69%
Avg Days To Max Increase   15 23 19 18 15 19 17 18 19 8 8
Avg Max Decline   -1.56% -1.73% -1.72% -2.76% -1.21% -2.20% -2.00% -1.62% -2.30% -1.36% -0.87%
Max Decline   -3.23% -3.96% -5.04% -8.98% -5.15% -7.88% -5.53% -7.20% -7.12% -5.06% -4.18%
Avg Days to Max Decline   8 14 8 11 6 11 7 7 13 3 2
2012 Contract Condition     Yes   Yes   Yes Yes     Yes Yes
Action     Yes   No   Yes No     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   41 42 42 42 43 43 43 43 43 43 43
Closed Lower   25 18 18 10 21 12 23 19 14 23 23
Penetrated Low   13 16 13 6 15 8 16 16 14 17 13
Scenario Percentage   52% 89% 72% 60% 71% 67% 70% 84% 100% 74% 57%
Avg Max Decline   6.39% 5.14% 4.59% 7.06% 4.89% 7.13% 10.61% 9.02% 9.28% 8.05% 3.92%
Max Decline   17.32% 14.41% 10.96% 14.73% 11.62% 20.65% 24.29% 29.39% 32.27% 27.57% 10.42%
Avg Days To Max Decline   16 19 17 12 13 19 15 16 19 13 7
Avg Max Increase   -2.20% -2.59% -2.93% -0.97% -2.67% -2.05% -1.76% -2.44% -3.25% -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 11 2 13 20 8 8 8 6 3
2012 Contract Condition   Yes   Yes   Yes     Yes Yes    
Action   No   Yes   No     Yes Yes    
High 96.775 97.000 98.500 99.950 99.750 98.900 98.680 100.585 100.085 94.885 91.000 97.050
Low 92.250 92.900 94.250 96.875 95.650 91.700 94.300 97.750 90.300 86.150 83.700 90.385
Close/Last 96.550 95.250 98.400 98.225 99.225 94.835 98.600 99.100 91.650 86.250 91.000 96.635

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