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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, 2013
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   42 42 42 42 43 43 43 43 43 43 43
Closed Higher   27 26 31 23 28 23 24 30 19 21 24
Exceeded High   20 23 24 22 24 18 22 22 15 16 18
Scenario Percentage   74% 88% 77% 96% 86% 78% 92% 73% 79% 76% 75%
Avg Max Increase   5.83% 7.04% 6.95% 7.51% 8.39% 10.57% 9.32% 9.21% 11.28% 10.52% 5.89%
Max Increase   15.72% 17.68% 22.82% 28.19% 29.21% 23.29% 17.33% 29.29% 42.67% 46.56% 13.41%
Avg Days To Max Increase   19 17 18 16 19 17 21 20 17 13 9
Avg Max Decline   -1.56% -1.65% -2.16% -1.28% -2.24% -1.91% -1.65% -2.55% -3.01% -2.96% -0.57%
Max Decline   -4.06% -4.26% -8.50% -5.82% -7.71% -4.71% -8.47% -7.54% -11.11% -6.47% -2.58%
Avg Days to Max Decline   13 9 11 9 13 8 6 10 11 9 1
2012 Contract Condition   Yes Yes Yes   Yes Yes     Yes Yes  
Action   Yes Yes No   Yes No     Yes Yes  
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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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   42 42 42 42 43 43 43 43 43 43 43
Closed Lower   14 16 11 19 14 19 19 13 23 22 19
Penetrated Low   12 10 8 14 10 14 15 13 21 16 9
Scenario Percentage   86% 63% 73% 74% 71% 74% 79% 100% 91% 73% 47%
Avg Max Decline   3.80% 5.76% 5.30% 4.66% 6.24% 10.69% 9.51% 9.94% 8.50% 7.34% 5.39%
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 12 17 16 17 17 15 10 7
Avg Max Increase   -2.58% -3.97% -0.84% -2.40% -1.47% -1.73% -2.41% -2.79% -2.99% -2.32% -0.45%
Max Increase   -6.83% -12.46% -2.55% -5.92% -4.28% -7.90% -5.83% -5.19% -10.07% -11.54% -4.54%
Avg Days to Max Increase   11 12 2 13 10 5 8 9 10 7 2
2012 Contract Condition         Yes     Yes Yes     Yes
Action         No     Yes Yes     Yes
High 95.150 96.875 98.000 98.300 97.930 98.135 100.100 100.050 95.335 91.300 95.000 96.600
Low 91.350 93.200 95.000 94.900 90.550 94.000 97.635 90.585 87.150 84.730 88.100 88.650
Close/Last 94.300 96.375 96.700 97.925 94.350 97.900 99.000 91.850 87.600 90.950 94.780 92.950

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