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MRCI's Scenario Study
MRCI's
Scenario
SM
Study
Scenario
SM
Study for August Lean Hogs(CME) as of Apr 30, 2011
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
40
40
40
40
41
41
41
41
41
41
41
Closed Higher
25
24
29
22
26
21
23
30
18
19
23
Exceeded High
18
21
23
21
22
17
21
22
14
14
16
Scenario Percentage
72%
88%
79%
95%
85%
81%
91%
73%
78%
74%
70%
Avg Max Increase
5.90%
7.23%
6.76%
7.37%
8.78%
10.87%
9.71%
9.21%
11.64%
10.16%
5.26%
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
21
17
18
17
18
18
21
20
16
12
8
Avg Max Decline
-1.54%
-1.69%
-2.20%
-1.30%
-2.31%
-1.76%
-1.67%
-2.55%
-3.00%
-2.88%
-0.46%
Max Decline
-4.06%
-4.26%
-8.50%
-5.82%
-7.71%
-4.71%
-8.47%
-7.54%
-11.11%
-5.81%
-2.54%
Avg Days to Max Decline
15
9
11
9
11
8
7
10
10
9
2
2011 Contract Condition
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Action
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Copyright © 1989-
Moore Research Center, Inc.
All Rights Reserved.
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
40
40
40
40
41
41
41
41
41
41
41
Closed Lower
14
16
11
18
14
19
18
11
22
22
18
Penetrated Low
12
10
8
14
10
14
14
11
20
16
6
Scenario Percentage
86%
63%
73%
78%
71%
74%
78%
100%
91%
73%
33%
Avg Max Decline
3.80%
5.76%
5.30%
4.66%
6.24%
10.69%
9.63%
10.59%
8.74%
7.31%
6.00%
Max Decline
11.94%
11.88%
12.76%
11.56%
19.33%
24.72%
34.26%
35.00%
23.66%
20.98%
14.46%
Avg Days To Max Decline
16
17
11
12
17
16
18
19
15
12
6
Avg Max Increase
-2.58%
-3.97%
-0.84%
-2.40%
-1.47%
-1.73%
-2.31%
-3.14%
-3.13%
-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
10
5
8
11
10
7
2
2011 Contract Condition
Yes
Action
Not Yet
High
80.400
83.450
86.300
88.300
91.925
97.700
101.000
103.275
104.450
98.125
Low
77.200
78.900
79.675
83.850
86.500
90.650
96.075
94.650
96.175
96.800
Close/Last
79.750
81.400
84.650
87.700
91.550
97.325
99.075
103.150
97.225
97.575
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