|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for October 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 |
Oct |
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% |
22.09% |
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% |
-1.81% |
-0.76% |
| Max Decline |
|
-9.45% |
-5.79% |
-6.89% |
-5.75% |
-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 |
| 2010 Contract Condition |
|
Yes |
|
|
Yes |
Yes |
Yes |
|
Yes |
|
|
|
| Action |
|
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 |
Oct |
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 |
10 |
| Scenario Percentage |
|
77% |
75% |
69% |
68% |
76% |
92% |
90% |
79% |
65% |
65% |
71% |
| Avg Max Decline |
|
4.53% |
4.81% |
4.56% |
10.11% |
9.83% |
10.08% |
10.24% |
11.44% |
10.26% |
7.28% |
3.71% |
| Max Decline |
|
11.67% |
10.59% |
7.31% |
27.61% |
34.99% |
34.02% |
27.95% |
24.81% |
20.13% |
22.06% |
8.40% |
| Avg Days To Max Decline |
|
14 |
18 |
17 |
15 |
18 |
21 |
15 |
21 |
18 |
8 |
7 |
| Avg Max Increase |
|
-1.46% |
-2.29% |
-2.34% |
-1.91% |
-1.84% |
-3.74% |
-2.58% |
-3.67% |
-3.08% |
-1.03% |
-1.32% |
| Max Increase |
|
-9.88% |
-5.98% |
-7.02% |
-7.24% |
-4.52% |
-10.33% |
-8.27% |
-13.39% |
-9.42% |
-6.01% |
-3.25% |
| Avg Days to Max Increase |
|
3 |
15 |
12 |
7 |
9 |
21 |
10 |
13 |
8 |
5 |
2 |
| 2010 Contract Condition |
|
|
Yes |
Yes |
|
|
|
Yes |
|
|
|
|
| Action |
|
|
Yes |
Yes |
|
|
|
Not Yet |
|
|
|
|
| High |
67.300 |
68.700 |
68.225 |
70.200 |
70.175 |
73.550 |
77.725 |
77.400 |
76.200 |
|
|
|
| Low |
64.300 |
66.500 |
65.700 |
64.725 |
64.100 |
68.150 |
72.775 |
72.575 |
74.450 |
|
|
|
| Close/Last |
66.875 |
67.900 |
67.550 |
65.825 |
70.100 |
73.150 |
76.875 |
75.250 |
75.875 |
|
|
|
|
|
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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
