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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, 2008
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 36 37 38 38 38 38 38 38 39 39 39
Closed Higher 24 14 24 23 18 16 22 15 24 11 27
Exceeded High 18 11 21 16 15 12 17 13 22 9 14
Scenario Percentage 75% 79% 88% 70% 83% 75% 77% 87% 92% 82% 52%
Avg Max Increase 8.32% 9.66% 7.48% 7.52% 11.46% 12.65% 8.90% 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 21 20 18 17 17 19 17 13 17 14 8
Avg Max Decline -2.53% -1.92% -1.59% -1.95% -2.60% -1.97% -3.90% -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 16 7 8 9 14 8 13 9 7 6 1
2007 Contract Condition Yes Yes   Yes     Yes       Yes
Action Yes Yes   No     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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 36 37 38 38 38 38 38 38 39 39 39
Closed Lower 11 23 14 15 20 22 16 22 15 27 12
Penetrated Low 9 15 11 12 18 17 14 13 14 18 8
Scenario Percentage 82% 65% 79% 80% 90% 77% 88% 59% 93% 67% 67%
Avg Max Decline 5.13% 6.68% 10.86% 8.70% 11.54% 10.12% 7.16% 12.29% 9.65% 8.58% 16.25%
Max Decline 12.04% 19.90% 34.58% 31.77% 31.38% 24.36% 16.90% 22.35% 18.63% 44.65% 47.59%
Avg Days To Max Decline 15 16 18 20 18 20 15 20 16 11 10
Avg Max Increase -0.82% -1.51% -1.82% -3.03% -2.40% -1.89% -3.21% -2.75% -3.19% -1.21% -1.68%
Max Increase -3.18% -6.21% -3.69% -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 9 13 7 10 7 4 2
2007 Contract Condition     Yes   Yes Yes   Yes Yes Yes  
Action     Yes   Yes Yes   Yes Yes Yes  
High 64.600 68.950 69.950 67.400 65.700 67.000 73.000 74.700 69.700 61.550 56.150
Low 61.000 64.300 64.100 64.500 62.700 61.200 60.950 64.675 61.650 53.450 50.650
Close/Last 64.450 68.325 65.000 65.725 64.825 61.425 72.900 68.825 62.250 53.875 54.900

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