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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Lean Hogs(CME) as of Jan 01, 2007
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 35 36 37 37 37 37 37 37 38 38 38
Closed Higher 23 13 24 22 18 16 21 15 24 11 26
Exceeded High 17 10 21 16 15 12 16 13 22 9 14
Scenario Percentage 74% 77% 88% 73% 83% 75% 76% 87% 92% 82% 54%
Avg Max Increase 8.31% 10.38% 7.48% 7.52% 11.46% 12.65% 9.31% 9.01% 8.22% 9.59% 4.50%
Max Increase 29.22% 24.55% 19.08% 25.45% 46.98% 33.60% 33.21% 19.37% 16.97% 15.99% 9.68%
Avg Days To Max Increase 22 22 18 17 17 19 18 13 17 14 8
Avg Max Decline -2.67% -1.81% -1.59% -1.95% -2.60% -1.97% -4.00% -2.52% -2.55% -1.80% -0.77%
Max Decline -6.89% -6.79% -8.67% -7.43% -8.24% -6.28% -6.72% -8.87% -10.12% -4.42% -2.09%
Avg Days to Max Decline 17 7 8 9 14 8 14 9 7 6 1
2006 Contract Condition   Yes   Yes   Yes Yes Yes   Yes  
Action   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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 35 36 37 37 37 37 37 37 38 38 38
Closed Lower 11 23 13 15 19 21 16 21 14 26 12
Penetrated Low 9 15 10 12 17 16 14 12 13 17 8
Scenario Percentage 82% 65% 77% 80% 89% 76% 88% 57% 93% 65% 67%
Avg Max Decline 5.13% 6.68% 11.59% 8.70% 11.87% 10.71% 7.16% 11.45% 8.96% 8.73% 16.25%
Max Decline 12.04% 19.90% 34.58% 31.77% 31.38% 24.36% 16.90% 22.35% 18.06% 44.65% 47.59%
Avg Days To Max Decline 15 16 18 20 19 21 15 19 16 10 10
Avg Max Increase -0.82% -1.51% -1.63% -3.03% -2.35% -1.96% -3.21% -2.88% -3.52% -1.21% -1.68%
Max Increase -3.18% -6.21% -3.50% -9.21% -7.09% -11.01% -7.27% -9.81% -13.85% -5.67% -4.64%
Avg Days to Max Increase 7 9 11 17 8 13 7 11 7 4 2
2006 Contract Condition Yes   Yes   Yes       Yes   Yes
Action No   Yes   No       Yes   Yes
High 56.000 55.075 55.500 56.100 56.750 59.500 60.225 64.500 65.600 65.375 65.850
Low 51.300 51.950 52.100 51.500 53.900 54.900 56.450 58.750 59.300 58.350 60.700
Close/Last 52.750 54.325 52.125 55.900 54.800 58.675 59.875 63.700 60.850 64.950 61.675

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