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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August Lean Hogs(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years 37 37 37 37 38 38 38 38 38 38 38
Closed Higher 23 23 26 22 25 19 22 28 17 19 21
Exceeded High 17 20 21 21 21 16 20 21 13 14 15
Scenario Percentage 74% 87% 81% 95% 84% 84% 91% 75% 76% 74% 71%
Avg Max Increase 5.78% 7.41% 6.80% 7.37% 9.07% 10.95% 9.93% 9.50% 12.38% 10.66% 5.82%
Max Increase 15.72% 17.67% 22.84% 28.20% 29.21% 23.29% 17.33% 29.29% 42.67% 46.56% 13.41%
Avg Days To Max Increase 20 18 17 17 19 17 21 21 15 12 10
Avg Max Decline -1.51% -1.75% -2.10% -1.30% -2.41% -1.70% -1.75% -2.50% -2.37% -2.88% -0.76%
Max Decline -4.06% -4.26% -8.50% -5.82% -7.71% -4.71% -8.47% -7.54% -9.21% -5.81% -2.58%
Avg Days to Max Decline 15 10 9 9 12 7 7 11 8 9 2
2007 Contract Condition   Yes Yes   Yes Yes   Yes     Yes
Action   Yes Yes   Yes Yes   No     Not Yet
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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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years 37 37 37 37 38 38 38 38 38 38 38
Closed Lower 13 14 11 15 12 18 16 10 20 19 17
Penetrated Low 11 10 8 11 8 13 12 10 18 14 12
Scenario Percentage 85% 71% 73% 73% 67% 72% 75% 100% 90% 74% 71%
Avg Max Decline 3.06% 5.76% 5.30% 4.49% 6.75% 10.64% 10.14% 9.94% 8.43% 6.79% 12.60%
Max Decline 7.05% 11.88% 12.76% 11.56% 19.33% 24.72% 34.26% 35.00% 23.66% 13.34% 27.30%
Avg Days To Max Decline 16 17 11 12 18 17 19 18 15 10 13
Avg Max Increase -2.81% -3.97% -0.84% -2.38% -1.38% -1.72% -2.46% -3.07% -3.33% -2.01% -2.48%
Max Increase -6.83% -12.46% -2.55% -5.92% -4.28% -7.90% -5.83% -5.19% -10.08% -11.54% -5.18%
Avg Days to Max Increase 12 12 2 14 11 5 8 11 11 7 6
2007 Contract Condition Yes     Yes     Yes   Yes Yes  
Action No     Yes     Yes   Yes Yes  
High 63.400 69.500 71.900 71.900 74.500 77.250 78.500 78.100 75.500 76.000 75.975
Low 61.500 62.250 67.700 69.300 68.200 73.575 73.000 74.050 72.450 70.550 69.600
Close/Last 62.500 69.100 71.800 70.675 74.500 76.875 74.225 75.200 74.050 70.675 73.325

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