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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, 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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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 39 39 39 39 40 40 40 40 40 40 40
Closed Lower 14 16 11 17 13 19 18 11 21 21 18
Penetrated Low 12 10 8 13 9 14 14 11 19 16 13
Scenario Percentage 86% 62% 73% 76% 69% 74% 78% 100% 90% 76% 72%
Avg Max Decline 3.80% 5.76% 5.30% 4.73% 6.62% 10.69% 9.63% 10.59% 8.91% 7.34% 12.77%
Max Decline 11.94% 11.88% 12.76% 11.56% 19.33% 24.72% 34.26% 35.00% 23.66% 21.35% 27.30%
Avg Days To Max Decline 16 17 11 13 18 16 18 19 16 10 13
Avg Max Increase -2.58% -3.97% -0.84% -2.22% -1.64% -1.73% -2.31% -3.14% -3.24% -2.32% -2.28%
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 11 12 2 13 11 5 8 11 11 7 6
2009 Contract Condition Yes Yes   Yes Yes   Yes Yes Yes Yes Yes
Action Yes No   Yes Yes   Yes Yes Yes Yes Yes
High 85.900 82.500 80.250 79.800 79.750 76.825 76.800 75.600 71.625 67.050 65.550
Low 80.400 72.650 75.600 73.650 70.950 70.000 72.225 66.900 65.425 57.225 54.350
Close/Last 82.500 76.000 79.950 77.200 74.125 74.550 73.375 68.975 65.975 60.650 56.025

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