|
MRCI's ScenarioSM Study |
ScenarioSM Study for December Lean Hogs(CME) as of May 31, 2010 |
Condition 1:
Higher Monthly Close. Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
Tested Month |
Dec |
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% |
11.14% |
12.65% |
8.49% |
9.01% |
8.78% |
9.93% |
4.83% |
Max Increase |
|
29.22% |
24.56% |
19.08% |
25.45% |
46.99% |
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% |
-2.51% |
-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 |
2010 Contract Condition |
|
|
Yes |
Yes |
Yes |
|
Yes |
|
|
|
|
|
Action |
|
|
Yes |
Yes |
Not Yet |
|
|
|
|
|
|
|
Condition 2:
Lower Monthly Close. Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
Tested Month |
Dec |
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 |
7 |
Scenario Percentage |
|
83% |
68% |
81% |
81% |
90% |
79% |
88% |
58% |
94% |
68% |
58% |
Avg Max Decline |
|
5.28% |
6.89% |
9.96% |
9.05% |
11.54% |
10.51% |
7.96% |
12.94% |
10.07% |
8.21% |
8.80% |
Max Decline |
|
12.04% |
19.90% |
34.58% |
31.77% |
31.38% |
24.36% |
19.07% |
22.35% |
18.63% |
44.65% |
27.50% |
Avg Days To Max Decline |
|
16 |
16 |
18 |
21 |
18 |
20 |
15 |
20 |
15 |
10 |
8 |
Avg Max Increase |
|
-0.92% |
-1.81% |
-1.66% |
-3.22% |
-2.40% |
-2.36% |
-3.02% |
-2.67% |
-3.03% |
-1.18% |
-1.31% |
Max Increase |
|
-3.18% |
-6.21% |
-3.69% |
-9.21% |
-7.09% |
-11.01% |
-7.26% |
-9.82% |
-13.85% |
-5.66% |
-4.64% |
Avg Days to Max Increase |
|
8 |
9 |
10 |
17 |
9 |
14 |
7 |
10 |
7 |
4 |
2 |
2010 Contract Condition |
|
Yes |
|
|
|
Yes |
|
|
|
|
|
|
Action |
|
No |
|
|
|
Not Yet |
|
|
|
|
|
|
High |
67.700 |
68.050 |
68.000 |
71.050 |
75.150 |
74.350 |
72.900 |
|
|
|
|
|
Low |
64.900 |
62.500 |
63.000 |
65.950 |
69.950 |
68.775 |
71.375 |
|
|
|
|
|
Close/Last |
67.450 |
64.100 |
67.825 |
70.400 |
74.300 |
71.925 |
72.800 |
|
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|
|
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