MRCI's ScenarioSM Study

ScenarioSM Study for August Lean Hogs(CME) as of Apr 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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years	35	35	35	35	36	36	36	36	36	36	36
Closed Higher	22	21	24	21	24	17	22	26	17	18	20
Exceeded High	16	18	19	20	20	14	20	20	13	14	15
Scenario Percentage	73%	86%	79%	95%	83%	82%	91%	77%	76%	78%	75%
Avg Max Increase	5.56%	7.61%	7.20%	7.66%	9.26%	12.23%	9.93%	9.42%	12.38%	10.66%	5.82%
Max Increase	15.72%	17.67%	22.84%	28.20%	29.21%	23.29%	17.33%	29.29%	42.67%	46.56%	13.41%
Avg Days To Max Increase	20	19	17	17	20	19	21	21	15	12	10
Avg Max Decline	-1.57%	-1.83%	-1.95%	-1.32%	-2.47%	-1.78%	-1.75%	-2.37%	-2.37%	-2.88%	-0.76%
Max Decline	-4.06%	-4.26%	-8.50%	-5.82%	-7.71%	-4.71%	-8.47%	-7.54%	-9.21%	-5.81%	-2.58%
Avg Days to Max Decline	15	10	7	9	12	7	7	10	8	9	2
2006 Contract Condition	Yes	Yes	Yes	Yes		Yes		Yes
Action	Yes	Yes	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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years	35	35	35	35	36	36	36	36	36	36	36
Closed Lower	12	14	11	14	11	18	14	10	18	18	16
Penetrated Low	11	10	8	10	7	13	10	10	17	13	11
Scenario Percentage	92%	71%	73%	71%	64%	72%	71%	100%	94%	72%	69%
Avg Max Decline	3.06%	5.76%	5.30%	4.59%	7.22%	10.64%	11.65%	9.94%	8.57%	7.20%	12.32%
Max Decline	7.05%	11.88%	12.76%	11.56%	19.33%	24.72%	34.26%	35.00%	23.66%	13.34%	27.30%
Avg Days To Max Decline	16	17	11	13	20	17	18	18	16	11	13
Avg Max Increase	-2.81%	-3.97%	-0.84%	-2.63%	-1.53%	-1.72%	-2.23%	-3.07%	-3.37%	-2.22%	-2.24%
Max Increase	-6.83%	-12.46%	-2.55%	-5.92%	-4.28%	-7.90%	-5.83%	-5.19%	-10.08%	-11.54%	-5.16%
Avg Days to Max Increase	12	12	2	16	13	5	8	11	11	7	6
2006 Contract Condition					Yes		Yes		Yes
Action					Yes		Yes
High	60.700	62.950	65.750	66.700	67.050	66.200	66.975	66.800	67.275
Low	56.500	59.900	62.300	64.300	63.200	62.500	63.400	62.600	66.600
Close/Last	60.200	62.300	65.650	66.000	64.750	65.775	64.400	66.700	66.675