MRCI Online
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| ScenarioSM Study for August 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 | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul |
| Tested Years | 39 | 39 | 39 | 39 | 40 | 40 | 40 | 40 | 40 | 40 | 40 |
| Closed Higher | 24 | 23 | 28 | 22 | 26 | 20 | 22 | 29 | 18 | 19 | 22 |
| Exceeded High | 17 | 20 | 22 | 21 | 22 | 16 | 20 | 22 | 14 | 14 | 16 |
| Scenario Percentage | 71% | 87% | 79% | 95% | 85% | 80% | 91% | 76% | 78% | 74% | 73% |
| Avg Max Increase | 5.78% | 7.41% | 6.90% | 7.37% | 8.78% | 10.95% | 9.93% | 9.21% | 11.64% | 10.66% | 6.21% |
| 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 | 18 | 17 | 18 | 17 | 21 | 20 | 16 | 12 | 10 |
| Avg Max Decline | -1.51% | -1.75% | -2.16% | -1.30% | -2.31% | -1.70% | -1.75% | -2.55% | -3.00% | -2.88% | -0.63% |
| Max Decline | -4.06% | -4.26% | -8.50% | -5.82% | -7.71% | -4.71% | -8.47% | -7.54% | -11.11% | -5.81% | -2.58% |
| Avg Days to Max Decline | 15 | 10 | 11 | 9 | 11 | 7 | 7 | 10 | 10 | 9 | 2 |
| 2009 Contract Condition | Yes | Yes | |||||||||
| Action | No | No | |||||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
