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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, 2013
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   40 41 42 43 43 43 43 43 43 43 44
Closed Higher   27 23 28 18 25 28 20 19 24 20 30
Exceeded High   23 19 23 16 21 19 18 15 22 17 17
Scenario Percentage   85% 83% 82% 89% 84% 68% 90% 79% 92% 85% 57%
Avg Max Increase   5.48% 7.22% 8.07% 8.68% 7.46% 9.00% 10.32% 11.97% 8.45% 8.54% 4.71%
Max Increase   13.88% 22.09% 30.19% 23.22% 18.19% 25.89% 44.70% 33.79% 32.64% 18.10% 13.06%
Avg Days To Max Increase   18 11 20 17 18 18 18 17 15 10 7
Avg Max Decline   -2.96% -1.05% -2.43% -2.28% -1.97% -1.55% -2.80% -2.69% -3.65% -1.81% -0.55%
Max Decline   -9.45% -5.79% -6.89% -5.75% -9.70% -6.61% -14.68% -6.03% -13.13% -10.53% -2.51%
Avg Days to Max Decline   12 5 11 11 7 6 10 11 9 3 2
2012 Contract Condition   Yes   Yes Yes     Yes Yes     Yes
Action   Yes   Yes No     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   40 41 42 43 43 43 43 43 43 43 44
Closed Lower   13 18 14 23 18 15 23 24 18 23 14
Penetrated Low   10 13 10 16 14 14 20 19 12 14 10
Scenario Percentage   77% 72% 71% 70% 78% 93% 87% 79% 67% 61% 71%
Avg Max Decline   4.53% 4.83% 4.37% 10.06% 9.51% 9.33% 9.98% 11.44% 10.44% 6.97% 3.40%
Max Decline   11.67% 10.59% 7.31% 27.61% 34.99% 34.02% 27.95% 24.81% 20.13% 22.06% 6.88%
Avg Days To Max Decline   14 17 15 16 18 20 15 21 17 7 6
Avg Max Increase   -1.46% -2.42% -2.03% -1.94% -2.01% -3.32% -2.52% -3.67% -2.85% -0.69% -1.32%
Max Increase   -9.88% -5.98% -7.02% -7.24% -4.52% -10.33% -8.27% -13.39% -9.42% -2.89% -3.25%
Avg Days to Max Increase   3 15 11 7 9 18 9 13 7 4 2
2012 Contract Condition     Yes     Yes Yes     Yes Yes  
Action     No     Yes Yes     Yes Yes  
High 86.400 86.850 86.100 88.050 90.000 89.980 86.385 83.135 83.885 84.300 80.600 77.450
Low 83.000 84.000 80.350 83.650 87.750 81.900 79.780 78.450 79.030 77.335 72.085 70.385
Close/Last 85.300 86.300 83.850 88.030 88.900 82.900 80.400 82.885 82.950 80.300 74.180 77.180

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