MRCI's ScenarioSM Study

ScenarioSM Study for April Lean Hogs(CME) as of Sep 30, 2006
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years	32	35	36	36	36	37	37	37	37	37	37
Closed Higher	15	15	19	13	21	21	25	19	22	14	19
Exceeded High	13	7	15	11	17	18	22	14	17	11	10
Scenario Percentage	87%	47%	79%	85%	81%	86%	88%	74%	77%	79%	53%
Avg Max Increase	10.63%	16.51%	8.72%	7.55%	7.80%	9.55%	7.31%	9.93%	10.20%	9.74%	6.28%
Max Increase	48.25%	35.05%	22.84%	13.01%	15.01%	19.24%	22.86%	28.24%	26.30%	16.23%	11.09%
Avg Days To Max Increase	21	15	18	12	22	20	17	19	16	13	8
Avg Max Decline	-2.19%	-1.04%	-3.62%	-2.18%	-2.10%	-1.52%	-3.33%	-1.79%	-2.38%	-1.59%	-0.95%
Max Decline	-7.98%	-8.14%	-7.46%	-4.33%	-5.29%	-7.71%	-8.74%	-3.97%	-8.38%	-3.91%	-1.86%
Avg Days to Max Decline	9	8	10	6	11	11	9	8	8	5	2
2007 Contract Condition	Yes	Yes	Yes	Yes
Action	Yes	Yes	Yes	Yes

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Some data provided by Prophetfinance.com

Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years	32	35	36	36	36	37	37	37	37	37	37
Closed Lower	17	20	17	22	14	16	12	17	15	23	18
Penetrated Low	15	13	15	13	13	12	9	9	12	18	12
Scenario Percentage	88%	65%	88%	59%	93%	75%	75%	53%	80%	78%	67%
Avg Max Decline	10.56%	9.87%	6.06%	6.69%	6.42%	5.13%	8.15%	9.35%	10.54%	9.77%	10.71%
Max Decline	23.15%	18.77%	17.37%	18.94%	19.03%	10.59%	20.97%	15.56%	24.52%	32.35%	24.07%
Avg Days To Max Decline	20	17	15	15	17	18	13	18	23	8	6
Avg Max Increase	-2.35%	-1.65%	-1.99%	-2.49%	-3.48%	-4.16%	-1.76%	-2.62%	-1.95%	-1.33%	-1.38%
Max Increase	-8.70%	-6.77%	-7.07%	-11.23%	-7.40%	-15.59%	-4.46%	-5.79%	-5.17%	-3.20%	-6.74%
Avg Days to Max Increase	7	8	7	9	11	11	4	9	16	2	3
2007 Contract Condition					Yes
Action					Not Yet
High	58.975	61.250	62.100	63.600	64.975
Low	56.100	57.775	59.150	60.325	61.300
Close/Last	57.775	60.500	61.500	63.550	62.700