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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 Dec 30, 2011
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   40 41 42 42 42 42 42 42 43 43 43
Closed Higher   26 16 26 25 20 18 25 15 27 12 31
Exceeded High   20 13 23 17 16 14 19 13 24 10 15
Scenario Percentage   77% 81% 88% 68% 80% 78% 76% 87% 89% 83% 48%
Avg Max Increase   8.14% 9.51% 7.19% 7.45% 11.14% 11.80% 8.22% 9.01% 8.59% 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 19 18 17 17 17 16 13 17 14 8
Avg Max Decline   -2.35% -2.23% -1.53% -1.95% -2.55% -1.89% -3.80% -2.51% -2.59% -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   14 9 7 8 13 7 12 9 7 6 1
2011 Contract Condition   Yes Yes Yes     Yes Yes   Yes   Yes
Action   Yes Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   40 41 42 42 42 42 42 42 43 43 43
Closed Lower   13 25 16 17 22 24 17 26 16 30 12
Penetrated Low   10 17 13 14 19 19 15 16 15 21 7
Scenario Percentage   77% 68% 81% 82% 86% 79% 88% 62% 94% 70% 58%
Avg Max Decline   5.28% 6.89% 9.96% 8.78% 11.17% 10.51% 7.96% 12.11% 10.07% 7.66% 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% -3.04% -2.35% -2.36% -3.02% -2.76% -3.03% -1.17% -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 16 8 14 7 10 7 4 2
2011 Contract Condition         Yes Yes     Yes   Yes  
Action         Yes No     Yes   Yes  
High 78.750 83.000 85.500 89.100 90.450 85.825 87.250 90.775 90.025 88.000 91.475 88.900
Low 73.950 77.800 80.000 80.525 83.850 80.675 80.825 83.425 82.400 80.500 86.450 84.775
Close/Last 78.625 81.200 84.875 89.000 85.225 83.425 83.950 88.525 82.900 87.800 87.475 88.175

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