|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM 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 |
|
|
|
|
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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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
