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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, 2013
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   41 42 43 43 43 43 43 43 44 44 44
Closed Higher   27 17 26 25 21 19 25 15 28 13 32
Exceeded High   21 13 23 17 17 15 19 13 25 11 16
Scenario Percentage   78% 76% 88% 68% 81% 79% 76% 87% 89% 85% 50%
Avg Max Increase   7.88% 9.51% 7.19% 7.45% 10.65% 11.18% 8.22% 9.01% 8.84% 9.83% 4.60%
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 18 13 8
Avg Max Decline   -2.25% -2.23% -1.53% -1.95% -2.64% -1.79% -3.80% -2.51% -2.48% -2.05% -0.70%
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 14 7 12 9 7 6 1
2012 Contract Condition   Yes Yes     Yes Yes     Yes Yes Yes
Action   Yes No     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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   41 42 43 43 43 43 43 43 44 44 44
Closed Lower   13 25 17 18 22 24 18 27 16 30 12
Penetrated Low   10 17 14 15 19 19 16 16 15 21 7
Scenario Percentage   77% 68% 82% 83% 86% 79% 89% 59% 94% 70% 58%
Avg Max Decline   5.28% 6.89% 9.57% 8.37% 11.17% 10.51% 8.10% 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 17 20 18 20 14 20 15 10 8
Avg Max Increase   -0.92% -1.81% -1.86% -2.90% -2.35% -2.36% -2.86% -2.76% -3.03% -1.17% -1.31%
Max Increase   -3.18% -6.21% -4.56% -9.21% -7.09% -11.01% -7.26% -9.82% -13.85% -5.66% -4.64%
Avg Days to Max Increase   8 9 10 15 8 14 7 10 7 4 2
2012 Contract Condition       Yes Yes     Yes Yes      
Action       Yes Yes     Yes No      
High 81.550 83.700 86.000 85.850 83.530 80.050 80.900 82.300 78.430 75.885 79.800 84.680
Low 76.335 79.450 83.550 78.800 77.600 76.250 76.850 75.300 70.050 70.050 73.780 76.650
Close/Last 79.650 83.650 84.950 79.885 78.200 80.030 80.300 78.030 72.400 73.750 78.280 84.085

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