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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 Dec 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   39 40 41 42 42 42 42 42 42 42 43
Closed Higher   26 23 27 18 25 28 19 18 24 20 29
Exceeded High   22 19 22 16 21 19 17 14 22 17 17
Scenario Percentage   85% 83% 81% 89% 84% 68% 89% 78% 92% 85% 59%
Avg Max Increase   5.64% 7.22% 8.34% 8.68% 7.46% 9.00% 10.82% 12.71% 8.45% 8.99% 5.07%
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   17 11 20 17 18 18 19 17 15 9 9
Avg Max Decline   -2.78% -1.05% -2.53% -2.28% -1.97% -1.55% -2.69% -2.79% -3.65% -1.81% -0.77%
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 11 11 7 6 9 11 9 3 3
2011 Contract Condition   Yes Yes Yes Yes Yes     Yes Yes   Yes
Action   Yes Yes Yes Yes Yes     Yes 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   39 40 41 42 42 42 42 42 42 42 43
Closed Lower   13 17 14 22 17 14 23 24 17 22 14
Penetrated Low   10 13 10 15 13 13 20 19 11 15 10
Scenario Percentage   77% 76% 71% 68% 76% 93% 87% 79% 65% 68% 71%
Avg Max Decline   4.53% 4.83% 4.37% 10.11% 9.83% 9.86% 9.98% 11.44% 10.26% 6.68% 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 17 15 15 18 21 15 21 18 8 7
Avg Max Increase   -1.46% -2.42% -2.03% -1.91% -1.84% -3.51% -2.52% -3.67% -3.08% -1.37% -1.32%
Max Increase   -9.88% -5.98% -7.02% -7.24% -4.52% -10.33% -8.27% -13.39% -9.42% -6.19% -3.25%
Avg Days to Max Increase   3 15 11 7 9 19 9 13 8 7 2
2011 Contract Condition             Yes Yes     Yes  
Action             Yes No     Yes  
High 78.300 80.800 82.250 86.650 89.825 93.200 94.600 89.725 90.175 93.875 94.000 93.375
Low 70.000 76.000 77.350 81.200 84.175 84.650 87.575 82.575 82.800 85.375 85.025 83.050
Close/Last 77.750 78.550 82.150 85.650 88.600 93.100 89.025 85.300 86.225 92.400 85.500 93.375

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