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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years 37 38 39 40 40 40 40 40 40 40 41
Closed Higher 24 22 26 16 23 27 19 16 22 20 27
Exceeded High 20 18 21 14 19 19 17 12 20 17 16
Scenario Percentage 83% 82% 81% 88% 83% 70% 89% 75% 91% 85% 59%
Avg Max Increase 5.51% 7.10% 8.32% 8.66% 7.83% 9.00% 10.82% 13.58% 9.14% 8.99% 5.29%
Max Increase 13.88% 22.10% 30.19% 23.22% 18.19% 25.89% 44.70% 33.79% 32.64% 21.46% 13.06%
Avg Days To Max Increase 16 11 20 18 19 18 19 20 16 9 9
Avg Max Decline -2.82% -1.04% -2.57% -2.09% -2.09% -1.55% -2.69% -2.96% -3.97% -1.80% -0.76%
Max Decline -9.45% -5.79% -6.89% -5.74% -9.70% -6.61% -14.68% -6.03% -13.13% -10.53% -2.74%
Avg Days to Max Decline 12 5 12 9 8 6 9 13 10 3 3
2009 Contract Condition Yes                   Yes
Action Yes                   Not Yet
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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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years 37 38 39 40 40 40 40 40 40 40 41
Closed Lower 13 16 13 22 17 13 21 24 17 20 14
Penetrated Low 10 12 9 15 13 12 19 19 11 13 13
Scenario Percentage 77% 75% 69% 68% 76% 92% 90% 79% 65% 65% 93%
Avg Max Decline 4.53% 4.81% 4.56% 10.11% 9.83% 10.08% 10.24% 11.44% 10.27% 7.28% 10.98%
Max Decline 11.67% 10.59% 7.31% 27.61% 34.99% 34.01% 27.95% 24.81% 20.13% 22.06% 21.72%
Avg Days To Max Decline 14 18 17 15 18 21 15 21 18 8 11
Avg Max Increase -1.46% -2.29% -2.34% -1.91% -1.84% -3.74% -2.58% -3.67% -3.08% -1.03% -2.54%
Max Increase -9.88% -5.98% -7.02% -7.23% -4.52% -10.33% -8.28% -13.39% -9.42% -6.01% -7.17%
Avg Days to Max Increase 3 15 12 7 9 21 10 13 8 5 5
2009 Contract Condition   Yes Yes Yes Yes Yes Yes Yes Yes Yes  
Action   Yes Yes Yes Yes Yes Yes Yes Yes Not Yet  
High 74.700 75.100 71.525 69.300 69.550 67.900 66.950 62.800 60.850 53.825 54.150
Low 70.100 67.550 64.500 62.500 65.975 60.725 61.000 53.950 51.700 43.050 48.025
Close/Last 74.375 69.900 67.100 66.900 66.800 62.675 61.300 56.050 53.900 48.150 50.075

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