|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for August Lean Hogs(CME) as of May 31, 2010 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Aug |
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% |
10.37% |
5.87% |
| Max Increase |
|
15.72% |
17.68% |
22.82% |
28.19% |
29.21% |
23.29% |
17.33% |
29.29% |
42.67% |
43.06% |
13.41% |
| Avg Days To Max Increase |
|
20 |
18 |
18 |
17 |
18 |
17 |
21 |
20 |
16 |
11 |
9 |
| 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 |
| 2010 Contract Condition |
|
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
Yes |
|
| Action |
|
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
Not Yet |
|
|
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Aug |
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 |
6 |
| Scenario Percentage |
|
86% |
63% |
73% |
76% |
69% |
74% |
78% |
100% |
90% |
76% |
33% |
| Avg Max Decline |
|
3.80% |
5.76% |
5.30% |
4.73% |
6.62% |
10.69% |
9.63% |
10.59% |
8.91% |
7.33% |
6.06% |
| Max Decline |
|
11.94% |
11.88% |
12.76% |
11.56% |
19.33% |
24.72% |
34.26% |
35.00% |
23.66% |
21.35% |
14.86% |
| Avg Days To Max Decline |
|
16 |
17 |
11 |
13 |
18 |
16 |
18 |
19 |
16 |
11 |
6 |
| Avg Max Increase |
|
-2.58% |
-3.97% |
-0.84% |
-2.22% |
-1.64% |
-1.73% |
-2.31% |
-3.14% |
-3.24% |
-2.32% |
0.42% |
| Max Increase |
|
-6.83% |
-12.46% |
-2.55% |
-5.92% |
-4.28% |
-7.90% |
-5.83% |
-5.19% |
-10.07% |
-11.54% |
0.04% |
| Avg Days to Max Increase |
|
11 |
12 |
2 |
13 |
11 |
5 |
8 |
11 |
11 |
7 |
2 |
| 2010 Contract Condition |
|
|
|
|
Yes |
Yes |
|
|
|
Yes |
|
|
| Action |
|
|
|
|
Yes |
Yes |
|
|
|
Not Yet |
|
|
| High |
69.200 |
71.000 |
74.000 |
76.275 |
76.500 |
78.850 |
79.850 |
83.750 |
87.525 |
87.300 |
83.725 |
|
| Low |
61.600 |
66.125 |
69.200 |
73.500 |
73.775 |
73.875 |
72.500 |
77.575 |
82.975 |
80.700 |
81.950 |
|
| Close/Last |
66.100 |
70.650 |
73.800 |
76.100 |
75.300 |
74.625 |
79.825 |
83.150 |
86.600 |
82.800 |
83.650 |
|
|
|
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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
