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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, 2010
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 38 39 40 40 40 40 40 40 41 41 41
Closed Higher 25 14 24 24 20 16 23 15 25 12 29
Exceeded High 19 11 21 17 16 12 18 13 23 10 15
Scenario Percentage 76% 79% 88% 71% 80% 75% 78% 87% 92% 83% 52%
Avg Max Increase 8.05% 9.66% 7.48% 7.45% 11.13% 12.65% 8.49% 9.01% 8.78% 9.93% 4.83%
Max Increase 29.22% 24.55% 19.08% 25.45% 46.98% 33.60% 33.21% 19.37% 21.17% 15.99% 9.68%
Avg Days To Max Increase 20 20 18 17 17 19 16 13 17 14 8
Avg Max Decline -2.40% -1.92% -1.59% -1.95% -2.55% -1.97% -3.73% -2.52% -2.63% -2.05% -0.72%
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 15 7 8 8 13 8 13 9 7 6 1
2009 Contract Condition         Yes       Yes Yes Yes
Action         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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 38 39 40 40 40 40 40 40 41 41 41
Closed Lower 12 25 16 16 20 24 17 24 16 28 12
Penetrated Low 10 17 13 13 18 19 15 14 15 19 8
Scenario Percentage 83% 68% 81% 81% 90% 79% 88% 58% 94% 68% 67%
Avg Max Decline 5.28% 6.89% 9.96% 9.05% 11.54% 10.51% 7.96% 12.94% 10.07% 8.21% 16.25%
Max Decline 12.04% 19.90% 34.58% 31.77% 31.38% 24.36% 19.07% 22.35% 18.63% 44.65% 47.59%
Avg Days To Max Decline 16 16 18 21 18 20 15 20 15 10 10
Avg Max Increase -0.92% -1.81% -1.66% -3.22% -2.40% -2.36% -3.02% -2.66% -3.03% -1.18% -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 8 9 10 17 9 14 7 10 7 4 2
2009 Contract Condition Yes Yes Yes Yes   Yes Yes Yes      
Action Yes Yes Yes Yes   Yes Yes No      
High 69.500 67.400 68.450 66.600 66.100 64.675 59.225 53.425 53.100 57.650 60.100
Low 63.800 61.800 64.800 60.100 61.625 54.350 51.300 43.075 46.150 47.400 54.275
Close/Last 66.200 65.850 65.600 62.675 62.850 55.700 53.225 46.225 49.600 56.700 58.600

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